Retrieving the VIX term structure in R

November 5, 2012
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(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:

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