VIX Term Structure Historical Data
This page is a guide to downloading VIX term structure historical data from CBOE website. VIX term structure, as officially used by CBOE, is calculated from S&P500 option prices and it is not the same as VIX futures curve (see the difference explained here). If you are looking for VIX futures historical data, see instructions here.
How to Download VIX Term Structure Data from CBOE Website
You need to have an account on MyCBOE, which is free.
The page for downloading VIX Term Structure historical data is here:
On that page you can find several tabs at the top:
- Submit a Point in Time Query
- Submit a Query
- My Querys
- My Results
To download VIX term structure historical data in Excel format, choose “Submit a Query”.
On that page you need to select your data preferences.
Historical Data Preferences
First you need to select type of query – choose particular S&P500 options expiration months either by expiration date or month number (1st expiration on a given date, 2nd, 3rd etc.), or constant maturity (calculated by interpolating multiple months, like when calculating the VIX index).
Then you need to set range of dates. Available history goes back to November 2010.
If you have selected the expiration dates query type, the page will load individual expiration months after you have selected the dates range. You can select one or more months.
In the final step select frequency of data. Available frequencies are daily, weekly, monthly, 1 hour, 1 minute, and 15 seconds. Note that if you select 1 minute or 15 seconds, there will be a lot of rows and you will probably have to run many queries if you want longer history or multiple expiration months.
Downloading the Data
Then you click the “Submit” button and you are taken to another page (“My Results”), which lists all your recent queries. Wait a minute or two for the data to be ready and then you can download the file. The file is a .zip, which contains a .xls (old Excel) file.