Searching for Option Prices to calculate Volatility Index

Discussion in 'Chit Chat' started by lilylilo, Nov 10, 2017.

  1. lilylilo

    lilylilo

    Hi I'm doing a thesis on the topic of volatility index (VIX). VIX is actually a ticker symbol for CBOE which shows market expectation of 30 days implied volatility.
    I am calculating the volatility index for S&P 500 index options for the year 2007, 2008 and 2009 to see the level of VIX before, during and after the global financial crisis.
    I will then compare the VIX index I obtained from the calculation with the actual value of Volatility Index. Is there any website where i can find the historical data for the Option's price of S&P 500 index for the year I have stated?
     
  2. Robert Morse

    Robert Morse Sponsor

  3. What fields do you want? Would date,symbol,closing_bid,closing_ask,underlying_last for the two relevant expiries (3rd friday expiries gt 9 and lt 70 dte) each day do? If so I can post a file here, or if too large to attach pm you an ftp link.

    BTW, "chit-chat" is the wrong subforum for this post. Also you are aware that VIX involves no explicit IV calc, right? It's just an average of two weighted price strips.