CBOE

The Chicago Board Options Exchange (CBOE) is the largest U.S. options exchange with annual trading volume that hovered around 1.27 billion contracts at the end of 2014. CBOE offers Options on over 2,200 companies, 22 Equity indices, and 140 exchange-traded funds (ETFs).

The following snippet demonstrates how to request data from the VIX Daily Price dataset:

using QuantConnect.DataSource;

_datasetSymbol = AddData<CBOE>("VIX", Resolution.Daily).Symbol;

from QuantConnect.DataSource import *

self.dataset_symbol = self.add_data(CBOE, "VIX", Resolution.DAILY).symbol

The following table describes the dataset properties:

The VIX Daily Price enables you to incorporate popular US volatility indices in your strategies. Examples include the following strategies:

• Understanding the stock market's level of expected forward-looking volatility, also known as the "fear index". When the VIX starts moving higher, it is telling you that traders are getting nervous. When the VIX starts moving lower, it is telling you that traders are gaining confidence.
• Determining forward-looking volatility by comparing the VIX against volatility indices with other volatility. By comparing the value of the VIX to the value of the VIX3M, you can identify periods when trader sentiment has turned extremely bearish and when it has normalized.

The VIX Daily Price dataset provides CBOE objects, which have the following attributes:

The following table shows the volatility indices in the VIX Daily Price dataset:

To add VIX Daily Price data to your algorithm, call the AddDataadd_data method. Save a reference to the dataset Symbol so you can access the data later in your algorithm.

class CboeDataAlgorithm(QCAlgorithm):
 
    def initialize(self) -> None:
        self.set_start_date(2003, 1, 1)
        self.set_end_date(2019, 10, 11)
        self.set_cash(100000)
 
        self.dataset_symbol = self.add_data(CBOE, "VIX", Resolution.DAILY).symbol

namespace QuantConnect
{
    public class CboeDataAlgorithm : QCAlgorithm
    {
        private Symbol _datasetSymbol;
 
        public override void Initialize()
        {
            SetStartDate(2003, 1, 1);
            SetEndDate(2019, 10, 11);
            SetCash(100000);
 
            _datasetSymbol = AddData<CBOE>("VIX", Resolution.Daily).Symbol;
        }
    }
}

To get the current VIX Daily Price data, index the current Slice with the dataset Symbol. Slice objects deliver unique events to your algorithm as they happen, but the Slice may not contain data for your dataset at every time step. To avoid issues, check if the Slice contains the data you want before you index it.

def on_data(self, slice: Slice) -> None:
    if slice.contains_key(self.dataset_symbol):
        data_point = slice[self.dataset_symbol]
        self.log(f"{self.dataset_symbol} close at {slice.time}: {data_point.close}")

public override void OnData(Slice slice)
{
    if (slice.ContainsKey(_datasetSymbol))
    {
        var dataPoint = slice[_datasetSymbol];
        Log($"{_datasetSymbol} close at {slice.Time}: {dataPoint.Close}");
    }
}

To get historical VIX Daily Price data, call the Historyhistory method with the dataset Symbol. If there is no data in the period you request, the history result is empty.

# DataFrame
history_df = self.history(self.dataset_symbol, 100, Resolution.DAILY)

# Dataset objects
history_bars = self.history[CBOE](self.dataset_symbol, 100, Resolution.DAILY)

var history = History<CBOE>(_datasetSymbol, 100, Resolution.Daily);

For more information about historical data, see History Requests.

To remove your subscription to VIX Daily Price data, call the RemoveSecurityremove_security method.

self.remove_security(self.dataset_symbol)

RemoveSecurity(_datasetSymbol);

The VIX Daily Price enables you to incorporate popular US volatility indices in your strategies. Examples include the following strategies:

• Understanding the stock market's level of expected forward-looking volatility, also known as the "fear index". When the VIX starts moving higher, it is telling you that traders are getting nervous. When the VIX starts moving lower, it is telling you that traders are gaining confidence.
• Determining forward-looking volatility by comparing the VIX against volatility indices with other volatility. By comparing the value of the VIX to the value of the VIX3M, you can identify periods when trader sentiment has turned extremely bearish and when it has normalized.