VIX Futures Historical Data Download
You can download daily OHLC historical data of VIX futures from the official website of CFE (CBOE Futures Exchange).
Go to this page:
cfe.cboe.com/Data/HistoricalData.aspx
There are download links to futures historical data of many different underlying indices. VIX futures are listed as the first (“VX – CBOE S&P 500 Volatility Index (VIX) Futures”). Scroll down or click on the “VX” to see a list of individual futures contract months.
Click on a particular month link to download the file.
VIX Futures Contract Month Data File Format
Historical data of individual VIX futures contract months are in the .csv format.
The columns in the spreadsheet are:
- Trade Date
- Futures (which contract month)
- Open
- High
- Low
- Close
- Settle
- Change
- Total Volume
- EFP (Exchange for Physical)
- Open Interest
Final Settlement and Expiration Dates History
For contracts which have already expired, the last row of data in the CSV file is the final settlement day. You can easily recognize it not only because it is at the end, but also because all prices (Open, High, Low, Close) except the “Settle” price are zero, as well as Volume. The number in the “Settle” column is the final settlement value of the futures contract.
Here you can find VIX futures expiration calendar and expiration dates history.
Here you can find details about VIX futures expiration and settlement, as well as other contract specifications.
Daily Overview of CFE Futures Trading
Alternatively to the CSV files, which have the disadvantage that there is a separate file for each contract month, you can see an overview of all futures contracts for a particular day (not just VIX futures but also mini-VIX and futures on other indices like OVZ, GVZ, VXEEM).
Go to this page:
cfe.cboe.com/data/CFEMktStat.aspx
Select date and click on “Get Report”.
The page first displays merely a summary of trading volume and open interest by contract. To see the prices (Open, High, Low, Close, Settle) click on the “Futures: Price & Volume Detail” button, which is just below the date selection.
The data is just a html page (not Excel or any file to download).