vix-utils 0.0.0.0.2

A library for preparing VIX Futures and Cash Term Structures for analysis,

VIX Utils

Overview

vix_utils provides some tools for preparing data for analysing the VIX Futures and Cash Term structures.

It provides a command line program that:

• generates a mapping of trade dates to the next settlement date for each vix future maturity.
• downloads the VIX Futures Data from Quandl and puts all the maturities in a row for a given trade date.
• downloads the cash Vix Term Structure and produces a table indexed by trade date. other CBOE index are included.
• prepares a continuous maturity VIX Futures term structure. For example, instead of the front month, and second month maturities, it calculates a point on the term structure maturing in one month, two month, etc. from the trade date. This can also be useful to approximate the S&P 500 VIX Short-Term Futures Index or Exchand Traded Products like VXX or UVXY.

The output can be saved in a variety of formats that can be imported into common analysis tools:

• .csv (comma seperated values)
• .pkl (python pickle format)
• .parquet (parquet format)
• .hdf
• .xlsx (excel)
• .json
• .html

If Python is your language of choice, there is also an API available that can load the data into Pandas dataframes.

Sample command line

This will download the data from CBOE and Quandl, and save the futures and cash term structures as Microsoft Excel Files.

vixutils -r -t futures_term_structure.xlsx -c cash_term_structure.json

For a detailed command line arguments, run

vixutils -h

Calling from Python

IF you are using Python, it is still easiest to use the command line tool to download the data.

vixutils -r.

Then import vixutils into your python program.

import vixutils

Look in vixutils.py and it should be fairly obvious how to request the data you would like.

##Installation

You will need a Python 3.9 or later instalation.

Install from the Python Packaging Iindex

Install using pip from The Python Package Index :

`pip install vix_utils"

Installing after cloning the Git Repository

flit install --symlink will create the command line program in your python Scripts directory and symlink the appropriate files in SitePackages to your repository.