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.
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.
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]