I'm looking at these data: call and put options on VIX. I'm interested in daily quotes (all strikes and maturities) for - at least - 2009/10. Could you list link of possible sources? and possibily esperience-based download instructons?. Most sources I've already checked let you download VIX options data only in addition to S&P500 options data, which I do not need. Thanks in Advance. Any suggestion is more than welcome.
$\begingroup$ You can get the SPX option data and compute the VIX values yourself or check out iVolatility.com. $\endgroup$– strimp099Dec 25, 2014 at 5:38
$\begingroup$ thanks @strimp099. But I know I can get VIX index values here or re-construct them by myself, as you suggested. But I am looking at VIX options data... $\endgroup$– Gabriele PompaDec 25, 2014 at 11:15
$\begingroup$ Ah sorry, did you check iVolatility.com for VIX options data? $\endgroup$– strimp099Dec 25, 2014 at 15:28
1$\begingroup$ no problem! I found $2.5/month here $\endgroup$– Gabriele PompaDec 25, 2014 at 15:50
Unfortunately, there is no publicly available reliable source for historical VIX options data. Also, probably, in addition to VIX options you may need corresponding underlying futures data to do analysis (not only the corresponding VIX spot price).
You can always go with an established commercial provider, of course.
$\begingroup$ Thanks @Eli. I see, VIX options will be a problem. However, VIX index historical data are freely available here and VIX futures here (yes, correctly this is the underlying for a VIX option). Since VIX futures are listed by contract name (instead of listing the term structure for each trade date), I didn't find them directly workable. However, with the expiration calendar available here, you can easily reconstruct their daily term structure. $\endgroup$ Dec 24, 2014 at 14:09
$\begingroup$ These are European options, so one can imply the futures levels - prob best to imply futures levels across a range of strikes and take a median. $\endgroup$ Apr 25, 2017 at 19:11
Interactive Brokers offers historical data for VIX options. You need to have an account , other than that - historical data downloads are available for no extra charge. You have to write some code to download the data and deal with pacing violations and API request restrictions (no more than 2000 bars returned per request), so you'd have to split time duration into several smaller ones, if you need to download more data than fits in that limit.
Alternatively, you can look a tool like this one, I decided that it is much easier than spending time to code my own solution...
Just for future visitors of this post: You can also buy VIX option data directly from the exchange where they are traded, the Cboe: [https://datashop.cboe.com]
Many good answers, also worth mentioning you can simply reverse engineer it based on VIX, VVIX and rates historical data, and plug this into a pricing model