datapackage.json

{
  "bytes": 132747,
  "count_of_rows": 3725,
  "hash": "787285b7a330d19781b1aa67ff66e107",
  "homepage": "http://www.cboe.com/micro/VIX/",
  "licenses": [
    {
      "id": "odc-pddl",
      "name": "open_data_commons_public_domain_dedication_and_license_v1.0",
      "path": "http://opendatacommons.org/licenses/pddl/",
      "title": "Open Data Commons Public Domain Dedication and License v1.0"
    }
  ],
  "name": "finance-vix",
  "profile": "data-package",
  "readme": "CBOE Volatility Index (VIX) time-series dataset including daily open, close,\nhigh and low. The CBOE Volatility Index (VIX) is a key measure of market\nexpectations of near-term volatility conveyed by S&P 500 stock index option\nprices introduced in 1993.\n\n## Data\n\nFrom the [VIX FAQ][faq]:\n\n> In 1993, the Chicago Board Options Exchange® (CBOE®) introduced the CBOE\n> Volatility Index®, VIX®, and it quickly became the benchmark for stock market\n> volatility. It is widely followed and has been cited in hundreds of news\n> articles in the Wall Street Journal, Barron's and other leading financial\n> publications. Since volatility often signifies financial turmoil, VIX is\n> often referred to as the \"investor fear gauge\".\n>\n> VIX measures market expectation of near term volatility conveyed by stock\n> index option prices. The original VIX was constructed using the implied\n> volatilities of eight different OEX option series so that, at any given time,\n> it represented the implied volatility of a hypothetical at-the-money OEX\n> option with exactly 30 days to expiration.\n>\n> The New VIX still measures the market's expectation of 30-day volatility, but\n> in a way that conforms to the latest thinking and research among industry\n> practitioners. The New VIX is based on S&P 500 index option prices and\n> incorporates information from the volatility \"skew\" by using a wider range of\n> strike prices rather than just at-the-money series.\n\n[faq]: http://www.cboe.com/micro/vix/faq.aspx\n\n## Preparation\n\nYou will need Python 3.6 or greater and dataflows library to run the script\n\nTo update the data run the process script locally:\n\n```\n# Install dataflows\npip install dataflows\n\n# Run the script\npython flows/finance-vix.py\n```\n\n### TODO\n\n* Incorporate computed historical data (1990-2003)\n* Consider incorporating VOX data\n\n## License\n\nNo obvious statement on [historical data page][historical]. Given size and\nfactual nature of the data and its source from a US company would imagine this\nwas public domain and as such have licensed the Data Package under the Public\nDomain Dedication and License (PDDL).\n\n[historical]: http://www.cboe.com/micro/vix/historical.aspx\n",
  "resources": [
    {
      "dpp:streaming": true,
      "encoding": "utf-8",
      "format": "csv",
      "mediatype": "text/csv",
      "name": "vix-daily",
      "path": "data/vix-daily.csv",
      "profile": "tabular-data-resource",
      "schema": {
        "fields": [
          {
            "format": "any",
            "name": "Date",
            "type": "date"
          },
          {
            "format": "default",
            "name": "VIX Open",
            "type": "number"
          },
          {
            "format": "default",
            "name": "VIX High",
            "type": "number"
          },
          {
            "format": "default",
            "name": "VIX Low",
            "type": "number"
          },
          {
            "format": "default",
            "name": "VIX Close",
            "type": "number"
          }
        ],
        "missingValues": [
          ""
        ]
      },
      "title": "VIX Daily"
    }
  ],
  "sources": [
    {
      "name": "CBOE VIX Page",
      "path": "http://www.cboe.com/micro/vix/historical.aspx",
      "title": "CBOE VIX Page"
    }
  ],
  "title": "VIX - CBOE Volatility Index",
  "version": "0.2.0",
  "views": [
    {
      "name": "graph",
      "spec": {
        "group": "Date",
        "series": [
          "VIX Close"
        ],
        "type": "line"
      },
      "specType": "simple",
      "title": "VIX - CBOE Volatility Index"
    }
  ]
}