„VIX Daily Price” dataset VIX1D source/methodology

Here's the official and QuantConnect-specific information to help answer Linkus's question:

1. Official CBOE VIX1D Launch Date

• The CBOE VIX1D (1-Day Volatility Index) was officially launched in April 2023 and measures the market's expectations of 1-day volatility using the S&P 500 Index (SPX) options.
• There was no real VIX1D index calculated or published by CBOE before this time—because true 0DTE (zero days to expiry) SPX options did not exist with sufficient volume until 2022/2023.

Sources:

• CBOE Press Release: "Cboe Global Markets Announces Launch Date for the Cboe 1-Day Volatility Index"
• Financial media and CBOE product pages.

2. QuantConnect VIX1D Data Availability

• According to QuantConnect's VIX Daily Price Dataset Documentation:
  • The dataset covers 18 U.S. volatility indices, and the VIX1D ticker starts from April 2011 (not 2021—see their documentation table).
  • The source is daily data cached from CBOE's website.
  • Table excerpt:

    | Ticker | Index    | Expiry | Start Date | Data Points |
    |--------|----------|--------|------------|-------------|
    | VIX1D  | S&P500   | 1 Day  | Apr 2011   | OHLC        |
    

• This earlier availability (April 2011) significantly predates the CBOE official launch. It is highly likely this data is either backfilled, simulated, or reconstructed.

3. Methodology & Calculation for VIX1D in QuantConnect

• The dataset source is specified as "cached daily from the CBOE website", but the actual backfilled history for VIX1D is likely derived by the CBOE, using their current formula applied retroactively to historical SPX options data.
• CBOE and many financial data providers often provide simulated/historical estimates for a new index by applying the methodology to past data, even before the index officially existed.
• This is NOT truly historical VIX1D (since it wasn’t calculated or traded)—it’s a synthetic/indicative series.

4. Summary

• QuantConnect’s VIX1D data before April 2023 is NOT “real” VIX1D index values.
• It is based on the CBOE's reconstructed or simulated history, using the defined VIX1D methodology applied to historical data.
• This is standard industry practice for newly invented financial indices but should be understood as model-derived and not “officially published” at the time.
• The backfilled VIX1D values may not reflect actual market conditions prior to the widespread availability of 0DTE SPX options.

References for Further Reading

• CBOE VIX1D Product Page
• QuantConnect: VIX Daily Price Dataset Documentation
• CBOE White Paper on VIX1D Methodology (PDF)

If you want full transparency or verified “live” publication, only use data from April 2023 onward for VIX1D.

Would you like help finding the CBOE's official methodology document to see exactly how the back-tested series is calculated?

Sources: VIX Daily Price - QuantConnect.com, US Index Option Universe - QuantConnect.com