Where I can high-frequency intraday data on VIX? Is it available on Bloomberg Terminals? I see many questions posted on Quant.stackexechange about VIX options therefore I am sure someone knows where I can get intraday data.
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$\begingroup$ 'VIX Index' in Bbg. With usual constraint of 200 days for intraday data. $\endgroup$– Alexander DidenkoAug 1, 2014 at 11:38
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3 Answers
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You can get EOD data free from cboe
If you need tick, intraday and options data check out market data
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You can find VIX intraday history back to 2003 at Pi Trading, http://pitrading.com. Look under the market data package.
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$\begingroup$ If you actually traded VIX related securities, you would know high frequency data on the VIX index does not exist. Unlike stocks, the value of the VIX index (CBOE) is only updated every 15 seconds, 4 beats per minute. And since the Q mentioned Bloomberg, this level of data (minute) is equivalent to their offerings. $\endgroup$– SpzToidSep 2, 2014 at 7:52
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If you need tick data for the VIX, you can try tickdata.com which has v high-quality high-resolution data.
If 1-minute bars are sufficient, then firstratedata.com has about 15 years of 1-min data.
