vix_utils
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Published
20 hours ago •
dougransom
dougransom
URLs for retrieving cash vix data no longer avaliable
Hello,
it seems that destination URLs for cash VIX assets are no longer avaliable:
DEBUG:root:
Reading URL https://ww2.cboe.com/publish/scheduledtask/mktdata/datahouse/vixcurrent.csv lines_to_discard 1
DEBUG:root:
Reading URL https://ww2.cboe.com/publish/scheduledtask/mktdata/datahouse/vvixtimeseries.csv lines_to_discard 1
DEBUG:root:
Reading URL https://ww2.cboe.com/publish/scheduledtask/mktdata/datahouse/vix9ddailyprices.csv lines_to_discard 3
DEBUG:root:
Reading URL https://ww2.cboe.com/publish/scheduledtask/mktdata/datahouse/vix3mdailyprices.csv lines_to_discard 2
DEBUG:root:
Reading URL https://ww2.cboe.com/publish/scheduledtask/mktdata/datahouse/vix6mdailyprices.csv lines_to_discard 2
DEBUG:root:
Reading URL https://ww2.cboe.com/publish/scheduledtask/mktdata/datahouse/gvzhistory.csv lines_to_discard 1
DEBUG:root:
Reading URL https://ww2.cboe.com//publish/scheduledtask/mktdata/datahouse/RVOL_History.csv lines_to_discard 1
DEBUG:root:
Reading URL https://ww2.cboe.com//publish/scheduledtask/mktdata/datahouse/RVOL3M_History.csv lines_to_discard 1
DEBUG:root:
Reading URL https://ww2.cboe.com//publish/scheduledtask/mktdata/datahouse/RVOL6M_History.csv lines_to_discard 1
DEBUG:root:
Reading URL https://ww2.cboe.com//publish/scheduledtask/mktdata/datahouse/RVOL12M_History.csv lines_to_discard 1
<title>ww2.cboe.com | 522: Connection timed out</title>
<meta charset="UTF-8" />
<meta http-equiv="Content-Type" content="text/html; charset=UTF-8" />
<meta http-equiv="X-UA-Co
DEBUG:urllib3.connectionpool:Starting new HTTPS connection (1): data.nasdaq.com:443
vvixtimeseries.csv: <!DOCTYPE html>
<!--[if lt IE 7]> <html class="no-js ie6 oldie" lang="en-US"> <![endif]-->
<!--[if IE 7]> <html class="no-js ie7 oldie" lang="en-US"> <![endif]-->
<!--[if IE 8]> <html class="no-js ie8 oldie" lang="en-US"> <![endif]-->
<!--[if gt IE 8]><!--> <html class="no-js" lang="en-US"> <!--<![endif]-->
<head>
Best regards
Hello dougransom,
test.ps1 seems using old vixtutil comand line:
mkdir test_output
cd test_output
vixutil -i -m continuous.pkl -t term.pkl -c cash.pkl --calendar calendar.pkl -w continuous_weights.pkl
vixutil -i -m continuous.csv -t term.csv -c cash.csv --calendar calendar.csv -w continuous_weights.csv
vixutil -i -m continuous.html -t term.html -c cash.html --calendar calendar.html -w continuous_weights.html
vixutil -i -m continuous.xlsx -t term.xlsx -c cash.xlsx --calendar calendar.xlsx -w continuous_weights.xlsx
cd ..
vixutil -h is not showing -i options any more:
options:
-h, --help show this help message and exit
-f output_file output the history of vix futures to a file in record format.
Includes weekly and monthly expiries. The file extension
determines the file type. Valid extensions are: ['.csv',
'.pkl', '.xlsx', '.html']. Python programmers may prefer to
use the API
-g output_file output the history of vix monthly expiry futures in wide
format, with a column for each tenor. The file extension
determines the file type. Valid extensions are: ['.csv',
'.pkl', '.xlsx', '.html']. Python programmers may prefer to
use the API
-j output_file weighted mean of the front two month vix futures for an
average thirty day tenor . The file extension determines the
file type. Valid extensions are: ['.csv', '.pkl', '.xlsx',
'.html']. Python programmers may prefer to use the API
-w output_file output the weights of the various vix futures front two
months to make a 30 day average tenor. Note the weights are
as of the beginning of the trading day. The file extension
determines the file type. Valid extensions are: ['.csv',
'.pkl', '.xlsx', '.html']. Python programmers may prefer to
use the API
-c output_file output the vix cash term structure a file in record format.
The file extension determines the file type. Valid extensions
are: ['.csv', '.pkl', '.xlsx', '.html']. Python programmers
may prefer to use the API . Some other indexes from CBOE will
also be included. The file extension determines the file
type. Valid extensions are: ['.csv', '.pkl', '.xlsx',
'.html']. Python programmers may prefer to use the API
-d output_file output the vix cash term structure a file in wide format,with
a column for each index. The file extension determines the
file type. Valid extensions are: ['.csv', '.pkl', '.xlsx',
'.html']. Python programmers may prefer to use the API . Some
other indexes from CBOE will also be included. The file
extension determines the file type. Valid extensions are:
['.csv', '.pkl', '.xlsx', '.html']. Python programmers may
prefer to use the API
--calendar output_file
Expirys for vix futures for a given trade date
--loglevel output_file
Level for logging module to display, default is ERROR
Best regards
test.ps1 should be deleted, i will in a future release.
I think -c or -d are what you want, though they should be called spot term structure not cash term structure. I'll eventually correct that terminology.