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Historical VIX Futures

CFE Book Depth

This product contains trades and quotes, including book depth, on CFE VIX Futures. CFE Book Depth data is comprised of three components, quotes, simple orders, and complex orders. When putting the three components together, one may reconstruct the CFE Book depth.

CFE OHLC

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.

CFE VIX Tick

CFE VIX Tick data includes trades and quotes of all VIX futures contracts (VX) from the CBOE Futures Exchange (CFE). The historical data is available back to April 2004.