[This is a legacy historical product replaced by CFE Futures Trades for subscriptions and more recent history]
Tick data (trades and quotes) for all VIX futures contracts (VX) on the Cboe Futures Exchange (CFE).
* Prior to 3/23/2007, VIX had a $100x multiplier. On 3/26/2007 we changed this multiplier to $1000x and divided the display price by 10. https://cdn.cboe.com/resources/regulation/circulars/general/CFE-IC-2007-003.pdf
* VIX Trade at Settlement (TAS) data is not included
Historical Data:
Available from April 2004 to February 2018
For recent trade data after Feb 2018 please visit CFE Futures Trades
Timestamps prior to and including February 23, 2018 are stated in U.S. Central Time, and in Greenwich Mean Time (GMT) thereafter.
For orders with data from March 2007 and prior, please see contract scaling changes for reference
Fields:
- TRADE_DATE
- ENTRY_DATE
- ENTRY_TIME
- ENTRY_TIME_THOU
- MKT_DATA_HIST_UID
- CLASS_SYM
- UNDER_SEC_SYM
- BID_PRICE
- BID_SIZE
- ASK_PRICE
- ASK_SIZE
- NON_CNTG_BID_PRICE
- NON_CNTG_BID_SIZE
- NON_CNTG_ASK_PRICE
- NON_CNTG_ASK_SIZE
- NBBO_BID_PRICE
- NBBO_ASK_PRICE
- LAST_SALE_PRICE
- LAST_SALE_QTY
- TICK_PRFX_ACR
- SESS_NAME
- TRADE_THRU_IND
- EXCH_IND_TEXT
- RECORD_TYPE
- PRODUCT_STATE
- PRODUCT_TYPE
- EXPR_DATE
- SPREAD EXPR_DATES
- SPREAD_TYPE
- LEG1_RTO
- LEG2_RTO
- LEG3_RTO
- LEG4_RTO
- LEG_CNT
