VIX index data

from datetime import timedelta

class VIXGapStrangle(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2024, 10, 1)
        self.set_cash(100000)
        self.set_warmup(timedelta(minutes=30))
        self.vix = self.add_index("VIX", Resolution.MINUTE).Symbol
        self.spx = self.add_index("SPX", Resolution.MINUTE).Symbol
        self.spx_options = self.add_index_option("SPX")
        self.spx_options.set_filter(lambda u: (u.strikes(-3, 3).expiration(0, 0)))
        spxw = self.add_index_option("SPX", "SPXW")
        spxw.set_filter(lambda u: (u.strikes(-10, 10)
                                     .expiration(0, 0)
                                     .include_weeklys()))
        self.spxw_option = spxw.symbol
        self.previous_vix_close = None
        self.schedule.on(self.date_rules.every_day(), 
                        self.time_rules.at(9, 30), 
                        self.check_v_i_x_gap)
        self.schedule.on(self.date_rules.every_day(), 
                        self.time_rules.at(16, 15), 
                        self.record_v_i_x_close)

    def record_v_i_x_close(self):
        vix_price = self.securities[self.vix].price
        self.previous_vix_close = vix_price

    def check_v_i_x_gap(self):
        if self.previous_vix_close is None:
            return
        current_vix = self.securities[self.vix].price
        vix_gap = self.previous_vix_close - current_vix

    def on_data(self, data):
        pass

Sources: Greeks and IV Implementation, Basic Template Index Daily Algorithm, Exploiting Term Structure Of Vix Futures, Index Option Bear Call Spread Algorithm, Vix Predicts Stock Index Returns