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CFE OHLC data is an end of day summary file that contains the volume traded, open interest, open, high, low and last sale price along with last bid and last ask of each VIX futures contract obtained from the Cboe Futures Exchange (CFE). The historical data is available by month back to April 2004.
Fields include:
  • underlying_symbol
  • quote_date
  • expiry
  • number_of_orders
  • open_bid
  • open_ask
  • open_qte_time
  • open_bid_size
  • open_ask_size
  • avg_bid
  • avg_ask
  • avg_bid_size
  • avg_ask_size
  • avg_qte_sprd
  • close_bid
  • close_ask
  • close_bid_size
  • close_ask_size
  • close_qte_time
  • open_px
  • close_px
  • open_interest 
  • total_volume
  • low_px
  • high_px
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Note: Data will be available for download after purchase as long as the file size is below 500GB. Larger files will be shipped to you on a hard drive.