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Sources and Data Constraints for Historical VIX Options

Article Quant Q&A · Author: Gabriele Pompa
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Summary

The discussion surveys possible ways to obtain historical daily quotes across VIX option strikes and expirations. One response says reliable public data may be unavailable and cautions that analysis may also require the corresponding VIX futures history, rather than spot VIX alone. It points to commercial data providers as an alternative.

Other replies describe Interactive Brokers historical downloads, noting that access requires an account and that API pacing limits and per-request bar caps can require splitting downloads into smaller intervals. Another suggests purchasing data from Cboe. A final suggestion proposes reconstructing option values from VIX, VVIX, and interest-rate history through a pricing model, but gives no method or validation. The replies are anecdotal and do not establish current availability, completeness, quote quality, or the suitability of any source for a specific study.

Key ideas

  • Historical VIX option data may be difficult to obtain from reliable public sources.
  • VIX futures history may be needed alongside spot data for option analysis.
  • Interactive Brokers is described as offering downloads subject to API pacing and request-size limits.
  • The discussion also mentions exchange purchases and model-based reconstruction, without validating either approach.

Tags

OptionsVolatilityDerivatives pricingBacktesting
Full text
# VIX options historical data


# VIX options historical data












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.

## Answer by Eli (score 5, accepted)

https://quant.stackexchange.com/a/15978

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.

## Answer by user18421 (score 5)

https://quant.stackexchange.com/a/21924

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...

http://www.tradinggeeks.net/downloads/ib-data-downloader/

## Answer by teekanne (score 5)

https://quant.stackexchange.com/a/42916

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]

## Answer by John (score 0)

https://quant.stackexchange.com/a/75555

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

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.