.VXV - does not chart
Author: MrIzzy
Creation Date: 9/8/2011 10:14 PM
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MrIzzy

#1
Hi There,

I am looking for the .VXV index - it is the CBOE 3 month volatlity index. In a chart window, I only see the last bar (today). Why?
The same plot window creates a complete chart of .VIX or .SPX for example.

Thanks
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Eugene

#2
Have you called Fidelity?

FAQ: I have a problem with Fidelity data
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Cone

#3
No Data here. The chart history does not seem to be available for .VXV
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Eugene

#4
I can add VXV to a future release of the CBOE static provider. Perhaps no big deal as the data is available.
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MrIzzy

#5
Hi Eugene,

Thank you - so when can we expect to see the VXV data in a chart?

Izzy
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Eugene

#6
When the Extension Manager signals about an available update to this provider (if installed): CBOE Static Provider

Sorry can't be more specific now. A 'mission critical' task is waiting for my input.
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Eugene

#7
Let's say October.
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MrIzzy

#8
Thank you, Eugene.
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MrIzzy

#9
Hi Eugene,

CBOE maintains a spreadsheet with VXV data, see here
http://www.cboe.com/publish/scheduledtask/mktdata/datahouse/vxvdailyprices.csv


So - is there a way to import the data from the .CSV file and into WealthLab so it will be accessible to the startegies?

Thanks in advance - please forgive if it's a simple question - I've never used the import data command before.
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MrIzzy

#10
Please disregard - I was able to load the data
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Eugene

#11
And if you're like me who doesn't like download ASCII files - even in an automated way - then here's something for you:
CODE:
Please log in to see this code.
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Eugene

#12
QUOTE:

Thank you - so when can we expect to see the VXV data in a chart?

Adding the VXV and some other volatility indices turned out to be a feasible task so I thought let's release it timely rather than later. I'll be unavailable for custom coding for the rest of the month.

Here you go:

CBOE Put/Call Ratio static data provider now supports VXV, VIX, VXN, VXD (volatility indices) in addition to Put/Call ratio data.
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Eugene

#13
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MrIzzy

#14
Thank you, Eugene. That was very helpful.

Izzy
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MrIzzy

#15
Hi Eugene,

The code you provided was very helpful. It is easy to run the software now as I don't have to manually downlaod the vxvdsilyprices file every day and import it into WL. So many thanks.

We run the procedure on many tickers. We also do many optimizations. Does this mean we access the internat and download the file every time it runs? Can we somehow modify the code to download the file only once, the first time we run the procedure?

I was thinking of using a bool (boolean) variable called "firstTime" , and only initializing the Bars vxv object the first time we run it. This approach didn't work since it says

error CS0165 : use of unassigned local variable 'vxvbars'



CODE:
Please log in to see this code.

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Eugene

#16
Perhaps you have overlooked my forum post in this thread from 9/10/2011 12:47 PM. Forget about that code, it's not required any longer.

Download and install the CBOE provider (Extensions section > Providers), create and update the CBOE DataSet (be sure to tick the CBOE volatility indices checkbox), and the included CBOE symbols like VXV will always be up to date.
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richard1000

#17
Hello Eugene. Can I also request some additional symbols to be added to CBOE provider?


KCJ, ICJ, JCJ
http://www.cboe.com/micro/impliedcorrelation/default.aspx
updated daily csv file
http://www.cboe.com/publish/scheduledtask/mktdata/datahouse/implied_correlation_hist.csv

SKEW
http://www.cboe.com/micro/skew/introduction.aspx
updated daily csv file
http://www.cboe.com/publish/scheduledtask/mktdata/datahouse/Skewdailyprices.csv
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Eugene

#18
Hello Richard,

KCJ, ICJ, JCJ - No, no way (irregular structure, rotating contracts).

SKEW - Yes, possible. Next release.
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richard1000

#19
Then for KCJ, ICJ, JCJ, only way is to manually edit and import as ascii? Any other efficient way to import the data?

So far, I can find no (free) data provider with historical data for these symbols. I did find that eSignal has it but of course, it can't be imported yet.
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Eugene

#20
You might want to review the code in this thread for insights.
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Eugene

#21
Richard,

Requested by you, the SKEW index has been added to the CBOE provider.