CBOE Put/Call Ratio static data provider
Author: Eugene
Creation Date: 5/29/2010 6:45 AM
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Eugene

#1
CBOE static data provider, which is a part of Community.Providers, has been released for download from our web site. Now you can download the historical CBOE Put/Call Ratio data to your Wealth-Lab Developer/Pro, for free.

CBOE Static Provider - installation
CBOE static data provider - home page
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Eugene

#2
In Wealth-Lab Pro/Developer's "Open Strategy" window, click "Download..." to download an example strategy based on a Trading System Lab article (Active Trader Magazine, 10/2007):

ActiveTrader Mag 10-2007 | CBOE Put/Call Ratio
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Eugene

#3
CBOE static data provider updated to 2010.09

Summary of changes:

Added: new symbol - CBOE S&P 500 Index (SPX) Put/Call Ratio
Changed: possible to install in Wealth-Lab 6
Fixed: failure to reload chart
Fixed: total volume for VIX Put/Call ratio

Wealth-Lab 6 customers, please install the provider from the Extensions section of our site.
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gfparker

#4
I downloaded the CBOE extension and it seemed to install ok. I did an update on CBOE and data manager reported adding 1728 bars but when I go to display the data in a new chart I get No data available. I tried the update again in data manager but it reports all data in the provider CBOE is up to date. I'm using WL Pro 6.0, what am I doing wrong?
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Eugene

#5
Check your data loading range - start with All Data.
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gfparker

#6
Found the problem, when I opened the CBOE chart window, I already had another chart open with streaming data from Fidelity. The CBOE chart then defaults to streaming and won't show any historical data. Once you turn off streaming for the CBOE chart the historical data shows up,
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Eugene

#7
Something I haven't thought of but should. ;)

When you turned Streaming on, active Streaming provider backfills the chart (if it has ability to backfill) by requesting the static data from the "companion" historical data provider. For Fidelity it's Fidelity static, for Yahoo RT - it's Yahoo static and so on. Neither Fidelity nor any other provider would recognize the artificial symbol names created by the CBOE provider, that's why the chart will always be blank while streaming is enabled.
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Eugene

#8
CBOE static data provider updated to version 2011.01 on 01/12/2011.

This is mostly a maintenance release fixing some bugs (like potential removal of penultimate bar when no data was received during update), and adding a MarketInfo.

Update to Wealth-Lab 6.1 to be able to install and use the provider.
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Eugene

#9
CBOE static data provider updated to version 2011.06.

Note: this update is required for any CBOE provider user: yesterday the vendor's changed their data format, causing the provider to crash Wealth-Lab. This bug is fixed.
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Eugene

#10
CBOE static data provider updated to version 2011.09.

* Added: Support for volatility indices: VXV, VIX, VXN, VXD (based on request by MrIzzy)
* Changed: possible to install in Wealth-Lab 6.2+
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Eugene

#11
CBOE static data provider updated to version 2012.01.

* Added: SKEW index (requested by richard1000)
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Eugene

#12
CBOE static data provider updated to version 2014.12.

* Added: VXMT index (requested by AbsoluteReturn)
* Fix: data not downloaded or downloaded with errors if Windows decimal separator is not "."
* Change: (internal) multithreaded download routine rewritten. Should improve work on modern multi-core CPUs (e.g. servers)
* Change: possible to install in Wealth-Lab 6.6+
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Eugene

#13
rmandel00 wrote in a thread that no longer exists:


I am interested in monitoring the term structure of the VIX futures. We already have an extension that allows to import and daily update a number of CBOE indicators like the Put/Call Ratio and a few of the VIX ETNs.While the closing values of the daily VIX futures are available on the CBOE website, it is apparently not possible to download them directly to WLP. I have tried using Quandl extension to get the VIX futures but they are always one day behind. Can the CBOE extension be modified to import this data? Do you have any other suggestions about obtaining up to date daily VIX futures.
Thanks,
Ricardo
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Eugene

#14
Ricardo,

If you take a minute to review the Wiki documentation and this thread, you'll see that VIX is downloadable by this provider since 2011.
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rmandel00

#15
Eugene,
I think what you are referring to is:
http://www2.wealth-lab.com/wl5WIKI/CBOEStaticProvider.ashx
including VIX, VXD, VXN VXV.

I am interested in the futures that have symbols such as /VXH7, /VXJ7 etc. Each month uses one of
the following letters: F, G, H, J, K, M, N, Q, U, V, X, Z. These are all available on CBOE but apparently not on the
CBOE extension. Any way to get them from CBOE extension?
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Eugene

#16
Thank you for pointing me in the right direction. I've found what you're looking for on CBOE website: VX - CBOE S&P 500 Volatility Index (VIX) Futures Price and Volume Detail. Yes, this is not supported by the provider currently.

If I were to consider, are you OK with the monthly contracts as is? I do not want to get into the hassle of continuous contract creation and back-adjustment.
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rmandel00

#17
I would be happy with the current (from the current month up to 4 months into the future). It is more difficult to specify and download all the old /VX futures than to just download the current ones that are trading at any time. It seems like currently traded VIX futures go up to 9 months into the future. I have downloaded present and past futures but can't update until one day late. Hence, trades that require closing prices are delayed by one day.

Would it be possible to get the code for the CBOE extension and modify it myself to give me the desired results?
Thanks,
Ricardo
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Cone

#18
Suggestion for creating a continuous contract for /VX...

1. Use the splice method. Splicing will create a gap in the contract, but it's easily predicable for strategies.
2. Rollover on the Friday before the 3rd Thursday's expiration.

Here's a nifty routine for finding that rollover day for a specified month and year:
CODE:
Please log in to see this code.
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Eugene

#19
Thanks for the code Robert. A tweak is to be made to account for offbeat expiration calendar of VX futures (on third Wednesday) with some exceptions. For some odd reason, expiration date this March is on 4th Wednesday (22).

Simple splicing is the way to go; just one VX continuous contract would make things simple. I'll look into it later next month.

Ricardo, this extension is closed source and therefore its code isn't disclosed. The data is indeed delayed by one day which is a CBOE policy: "CFE Data does not become available until approximately 10:00 a.m. C.T. the following business day."
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rmandel00

#20
Eugene and Cone, Thanks for your information. I do need to compare each monthly future so one continuous contract doesn't really work for me.
Ricardo
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Eugene

#21
Okay. I'll see what can be done about adding monthly contracts.
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rmandel00

#22
Eugene,
I really appreciate that you will look to see if the monthly contracts can be added. I don't need the weeklies. The URL page where the daily data is first updated is:
http://cfe.cboe.com/data/dailyvxfutureseodvalues/default.aspx

The historical data at CBOE takes an additional day before it is posted.
Ricardo
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Eugene

#23
That's just settlement prices. I already looked that up and will not consider them (as an incomplete source). Unfortunately, CBOE doesn't seem to release OHLC until the day after.
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rmandel00

#24
Thanks for looking it over.
Ricardo
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Eugene

#25
Ricardo, I will implement it in the upcoming 2017.04 build. Please stay tuned.
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Eugene

#26
Ricardo, please update the extension and restart WLP. Support for downloading the individual VX Futures contracts has been added. Please refer to the Wiki page for more information:

CBOE static data provider, see section at the bottom
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Harapa

#27
Symbol Change:
'VXV' is now 'VIX3M'
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Eugene

#28
Thanks for the heads-up.
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Eugene

#29
What's new in 2017.12?

* Change: VXV renamed to VIX3M at CBOE