Is there a place to find historic VIX implied 30-day volatility?

Discussion in 'ETFs' started by Saltynuts, Nov 6, 2018.

  1. VXX, VIXY, TVIX, UVXY, among others, are all supposed to be keyed to the implied 30-day VIX volatility. I'm sure I'm not saying this exactly right. But anyways, is there any place that shows what that implied 30-day volatility is, hopefully both currently and historically?

  2. TommyR


    check CBOE website if its free otherwise a site called market chameleon is good. higher frequency gets expensive so id go on like quantconnect and run backtests in their highest tick resolutions just printing and time-stamping all the tick data as it gets fed then use the logs from those. they have to pay for this data access its not one of the free libraries so not sure this would go down great.
  3. TommyR


    actually i think if you want the implied volatility of the VIX atm contracts at one month to expiration you will need to do it by the manual method. run a back test choosing each time the atm vix call and put, logging the price and time. does anyone have better free ways of doing it?
  4. Yeah now I'm even confusing it myself. The VIX you can get historical quotes on pretty easy I believe. But what I don't think you can get is the 30 day implied VIX based on the futures markets that all the volatility funds, TVIX, VXX, etc. seem to follow. Just seem so much different and harder.