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I see that there is a CBOE page for collecting individual moments of term structure data, however, I'm wondering if anyone knows how to access historical data in bulk. Here's the CBOE page:

http://www.cboe.com/trading-tools/strategy-planning-tools/term-structure-data

I saw this page, which seems to indicate that bulk data was previously available, but it looks like the full term structure is no longer available through the above page.

https://www.macroption.com/vix-term-structure-historical-data/

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  • $\begingroup$ Not sure about CBOE. But if you have access to option metrics, then you have call options data on the SPX, and you can easily compute the term structure. $\endgroup$
    – phdstudent
    Jun 28 '20 at 16:38
  • $\begingroup$ I don't have that at the moment. Is it readily available? $\endgroup$ Jun 28 '20 at 17:07
  • $\begingroup$ It does seem that the CBOE has removed the bulk download feature and now only offers the data or 1 user selected date. $\endgroup$
    – noob2
    Jun 29 '20 at 1:39

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