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CBOE static data provider

What it is

This is a static provider for Wealth-Lab that downloads daily historical data from Chicago Board Options Exchange (CBOE). The data includes Put/Call Ratio, certain Volatility Indices, and Futures: XBT - Bitcoin, VX - Volatility Index (VIX), VU - Russell 2000 Volatility Index, and VA - S&P 500 Variance Futures.

The following data are available:

• CBOE Total Put/Call Ratio and Exchange Volume (1995 to present) - TOTALPC
• CBOE Index Put/Call Ratio and Volume (2003 to present) - INDEXPC
• CBOE Equity Put/Call Ratio and Volume (2003 to present) - EQUITYPC
• CBOE S&P 500 Index® (SPX®) Put/Call Ratio (2010 to present) - SPXPC
• CBOE Volatility Index® (VIX®) Put/Call Ratios (2006 to present) - VIXPC
• CBOE OEX Put/Call Ratio (2019 to present) - OEXPC
• CBOE Exchange traded products Put/Call Ratio (2019 to present) - ETPPC
  

• CBOE volatility indices:
  • CBOE S&P 500® 3-Month Volatility Index® - VIX3M
  • CBOE S&P 500® 6-Month Volatility Index® - VIX6M (VXMT before provider v2019.01)
  • CBOE Volatility Index® - VIX
  • CBOE Nasdaq-100 Volatility Index - VXN
  • CBOE DJIA Volatility Index - VXD
• CBOE skew index - SKEW
• XBT monthly Futures contracts starting January 2018
• VX monthly Futures contracts starting May 2004
• VU, VA monthly Futures contracts
  

At least one symbol should be selected before creating a DataSet. Note that the symbol names are fixed and can not be changed. The DataSet composition can't be changed after creating. Individual symbols cannot be deleted. If you want to modify a DataSet, simply create a new one and delete the old one.

Put/Call Ratio

The Put/Call Ratios only contain the closing prices (Volume is not supported after 4-Oct-2019):

Volatility Indices

The CBOE volatility indices are available as OHLC:

Futures for Bitcoin, Volatility Index and other

NOTE! In 2018 CBOE changed the location and symbology of its futures data (such as Bitcoin XBT). The data returned by the provider is out of date. Due to lack of demand, adjusting to this change is not on our short-term plans.

1. It's possible to add an individual contract or a range of monthly contracts (supported futures are: XBT, VX, VU and VA).
   • To add a single contract, check "From" and select a month/year
   • To add a range, enable both "From" and "To" and select a starting month/year and an ending month/year. The ending date can be selected only if a starting date is picked. The ending date by default is December of current year but if CBOE has rolled out contracts for upcoming year, you can select a date in next year, too.
2. There will be contracts that always return "No data available". These are the tickers missing at CBOE website themselves e.g. Dec 2004, Jul 2005 etc. These symbols cannot be removed currently.
3. Any zero-priced bars (O=H=L=C == 0) are removed from the data. However, if valid Close price exists for a bar but H/L/C == 0, provider will attempt to recover this bar as O=H=L=C.
   

Issues and limitations

• With "on demand data update" enabled, data is not updated automatically.
  • Solution: update your CBOE DataSet as usual (Update DataSet / Update All Data). We do not plan to fix this issue.
• Re: missing Bitcoin futures (XBT) data see above.