I'm doing some analysis on VIX and VSTOXX futures and require historical prices of each contract as a result. VIX info is free to download on CBOE website: http://cfe.cboe.com/products/historicalvix.aspx. Basically I can download daily settlement price for each VIX future contract ever traded. I am trying to find the same for VSTOXX but not see it anywhere on Eurexchange. I placed a request but was told I need to place an order. Is that true? where can I find such info. I do not mind paying but just want to get more info. Regards, Li
- Yes, you'd need to place a data order in data shop on Eurexchange. The problem: You can't select a single instrument (like VSTOXX), but you are getting all traded options and futures series.
- Alternatively, if you are an institutional investor, you could buy a data cut from OptionMetrics.
- Lastly, you could write a parser and grab the prices online, but that won't include historical prices (only going forward).