VIX focus

Marcas

Active member
I decided to learn about VIX.
I traded around it in the past but not lately. I didn’t even look at at it as I don’t consider VIX to be an ‘universal ‘ volatility metric.

I know the basis: SPX up –> VIX down, VIX at 9 is very low, VIX at 90 is very high. VIX 20 is high when coming from 9. Is VIX 30 low when coming from 90 or still high? etc.
I suppose most, or some, have deeper knowledge than that.

It is not a quest about volatility but about VIX alone. I plan to go long on it soon… or better to say, I want to be ready to go long when situation arises.Then short...
As it is good to know product you trade closer look can be somewhat beneficial.
That quest includes more than just VIX but VIX is an important part of it.

If some will be willing to do it together, quest may go faster and be more productive.
It also can be a good exercise (imo) in working with data outside standard software we use. It can be done with Excel, Python, VBA whatever.
The goal would be to extract useful info, not to produce a nice code.

First basic data.
SPX: https://www.investing.com/indices/us-spx-500-historical-data
VIX: https://www.cboe.com/tradable_products/vix/vix_historical_data/
From those links csv files with data can be downloaded.
Any other source will do. There are couple of them out there. Doesn’t matter which you choose.

My thinking is to use those data to get more familiar with vix behaviour and find if any patterns can be observed. All this can be done with regular soft as well if somebody wishes to do so.

Then we may ask some questions like: what are the means for: total, year, month week – assuming that vix is mean reversing (this can also be verified) or how long typically vix stays ‘out of balance’, what is correlation between VIX and SPX in different time intervals etc. etc.

I think it will be a good exercise. We can produce random graphs even copy exact plots from TOS (or other) to verify if we are ok. Or don't use plots but smth else.

We have already created some basic graph to help quickly inspect vix’s past.
It uses same data as above. Is meant to be only for this exercise, so is not optimized meaning some mouse work is required (more than I like :) ) but it should do.

I post pic and html versions.
Both can be ignored ofc.
Interested can download html and open it in a browser. Graphs are interactive (kinda like TOS).
Graphs display only simple **daily** data.
No explanation is needed here except maybe one: SPX/VIX.
This one shows how many points SPX needs to move to change VIX 1 point (For a single day! Open-Close data – not averages). Small number means hasty VIX, large SPX/VIX number means VIX that doesn’t want to move. I’d call it drag number but drag is reserved for smth else. ‘Reverse speed’ maybe?

Anyway…
(data on html are from 2016-2022)
 

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  • vixerD.png
    vixerD.png
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  • vixerdaily_2016.html.zip
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jim leahy

Active member
downloading csv files is too much work, i prefer using an api. twelvedata.com has a limited free api subscription with daily and intraday data. you have to register to get an api key. the attached python program will download data from twelvedata and convert it to a list and dataframe so you can play with the data in your preferred format.
 

Attachments

  • get_twelvedata_to_df.zip
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