Retrieving the VIX term structure in R

November 5, 2012

(This article was first published on Bommarito Consulting » r, and kindly contributed to R-bloggers)

  Much of my time lately has gone into analyzing and trading products in the volatility complex.  As a result, I regularly watch the VIX term structure for continuations or deviations from trend.  To make analysis simpler, I’ve written some R code that rips the term structure off the CBOE VIX term structure page and parses it into a table with proper typing.  You can view this code in the embedded gist below:

To leave a comment for the author, please follow the link and comment on their blog: Bommarito Consulting » r. offers daily e-mail updates about R news and tutorials on topics such as: Data science, Big Data, R jobs, visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web Scraping) statistics (regression, PCA, time series, trading) and more...

If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Comments are closed.


Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)