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Historical Intraday VIX Futures (CBOE) (VX) Data

VIX Futures (CBOE) (VX) Datasets

Frequency
Start Date End Date
Intraday Bars
5-Aug-2008
29-Oct-2024
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Data is updated daily and all customers receive 1 month of free updates (thereafter, an annual subscription of $99.95 is required for the updates)


This dataset contains continuous data series and individual futures contracts in 1-minute, 5-minute, 30-minute, 1-hour, and 1-day timeframes.


Continuous data is from 5-Aug-2008 , Individual contracts start with VXZ08 (December 2008)

The dataset includes both individual futures contracts and continuous futures data series. Continuous futures data series are a single series of chained front-month contracts which are adjusted to avoid price jumps on roll-dates (this series is ideally suited for backtesting trading strategies).

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There are three types of continuous data in the dataset:
Unadjusted - actual historic traded prices with no adjustments
Absolute-Adjusted - prices adjusted for price jumps on contract roll date by using the absolute value of the price movement
Ratio-Adjusted - prices adjusted for price jumps on contract roll date by using the percentage movement.

More details on the adjustments are available at https://firstratedata.com/about/price_adjustment#futures


This Dataset is Available in the below Bundles :

Our intraday data and tick data are sourced direct from major exchanges and tested for completeness and consistency. The files are in comma-separated (csv) format, zipped and available for immediate download
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