Historical VIX spread data

Discussion in 'Data Sets and Feeds' started by FCXoptions, Sep 9, 2015.

  1. Does anybody know of any good sources to get historical data on the exchange based spreads for VIX futures? I've been trying to work with just the individual contract closing prices to manually build the spreads in excel, but I know it isn't the most accurate. I am just trying to find a better solution where I know the data is relatively accurate.

    Any suggestions would be greatly appreciated!

    I downloaded the outrights from Quandl so that was a start and then use vixcentral to compare, but I don't have any way to pull the data from vixcentral into excel to work with it.
  2. i960


    CQG might have this. Aside from that while your synthetics won't be perfect, they might be good enough for whatever it is you're trying to analyze (which hopefully isn't any kind of arbitrage).
    FCXoptions likes this.
  3. Haha definitely not arbitrage, thanks. I'll check on cqg.