CBOE static data provider
Modified on 2020/10/12 10:20 by Eugene — Categorized as: Providers
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 The data returned by the provider is out of date.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.
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.
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.
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.