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I am preparing a study about Volatility and Variance Swaps. Does anyone know where I can found historical public data regarding this instruments? Thanks!

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  • $\begingroup$ Could you find any data on variance swaps? I would like to do some research, too. $\endgroup$ – Researcher121 Oct 21 '20 at 12:28
  • $\begingroup$ Note that it seems that OP never came back to this site so I don't expect an answer from her. I would like at the others answers to get started with your collection process. $\endgroup$ – Bob Jansen Oct 21 '20 at 13:00
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There are no free resources that provide historical bid and ask prices for option chains. You should consider buying them from a data provider.

However, you can start accumulating data from yahoo using the getOptionChain function of the {quantmod} R package.

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    $\begingroup$ Option chains are not varswap or volswap prices, though of course the two are related. Given all the arbitrary choices made in turning option chain data into a varswap price (mid-price or mid-vol, weighting, etc) it is fair to say two market participants could be quite far apart in varswap prices even with identical option chain feed data. $\endgroup$ – Brian B Mar 19 '14 at 14:06
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You're not going to find any public sources. Suggest you ask a counterparty. There are also data vendors who collate var swap data, e.g. Markit.

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If you are looking for exact volatility and variance swap market prices then as others have said you need to go to a data provider.

If you are satisfied with good/accurate approximate prices for both instruments, then the paper It takes three to smile explains how to find these prices from three quoted options.

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