CBOE Volatility Index (VIX)

The CBOE Volatility Index (VIX) is Cboe Global Markets’ measure of the market’s expectation of 30-day forward volatility of the S&P 500, computed from a strip of SPX option prices. It is quoted as an annualized percentage (a VIX of 20 implies about 20% annualized expected volatility). The full daily history is published free by Cboe with no API key. Used in, for example, Stavrakeva, Tang & Sun, where log VIX is a dependent-variable proxy for risk aversion in the response to forward-guidance easings.

• Cost: free, public (end-of-day history).
• API key: none required.
• Coverage: daily, 1990-01-02 to present. Values before 2003 are backfilled with the current methodology (see Gotchas).
• Units: annualized expected volatility, in percentage points.
• Home: https://www.cboe.com/tradable_products/vix/

Access

Cboe serves the entire history as a single no-key CSV from its CDN. Columns are DATE,OPEN,HIGH,LOW,CLOSE, with DATE formatted M/D/YYYY:

# No key required; full daily history in one file
curl -sL "https://cdn.cboe.com/api/global/us_indices/daily_prices/VIX_History.csv" -o VIX_History.csv

The same CDN path serves the sibling volatility indices by swapping the file name, for example VIX9D_History.csv (9-day), VIX3M_History.csv (3-month, formerly VXV), VVIX_History.csv (vol-of-vol), VXN_History.csv (Nasdaq-100), and VXD_History.csv (Dow). Confirm you are pulling the index your analysis names.

Load in Python

import pandas as pd

url = "https://cdn.cboe.com/api/global/us_indices/daily_prices/VIX_History.csv"
vix = pd.read_csv(url, parse_dates=["DATE"])
vix = vix.rename(columns=str.lower).set_index("date").sort_index()

# The end-of-day level most analyses use is the CLOSE column.
close = vix["close"]

Gotchas (the ones that bite pipelines)

• The 1990-2002 values are a backfill, not the index that traded then. Cboe redefined VIX in 2003 to a model-free, variance-swap-style formula on a strip of SPX options. The pre-2003 portion of the history file is that new formula applied retroactively. The index that was actually disseminated in real time from 1993 to 2003 was based on at-the-money S&P 100 (OEX) implied volatility and now trades under the ticker VXO. If your identification depends on what investors observed in real time before 2003, you want VXO, not the backfilled VIX.
• Early OHLC is flat. From 1990-01-02 through the end of 1991 the OPEN, HIGH, LOW, and CLOSE columns are all equal to the close; only the close is meaningful. Distinct intraday open/high/low values begin 1992-01-02. Do not compute intraday ranges over the 1990-1991 rows.
• It is a percentage, not a price. VIX is annualized expected volatility in percentage points and a 30-calendar-day forward measure. Do not treat a level change as a return, and do not annualize it again.
• Many look-alike indices share the path. VIX9D, VIX3M (VXV), VVIX, VXN, VXD, RVX, and the original VXO are distinct series. A wrong file name silently returns a different index with the same column layout.
• No official VIX before 1990. For longer volatility histories use realized volatility or VXO; do not extend the VIX series synthetically without saying so.
• FRED VIXCLS is a close-only mirror. If you pull VIX from FRED, cite FRED and note it carries the close only. The canonical primary source with OHLC is the Cboe file above.
• Free history is end-of-day. Real-time, intraday, and the underlying option-level data are licensed Cboe DataShop products. The no-key file is the daily history only.

Reference

Field	Value
URL	https://cdn.cboe.com/api/global/us_indices/daily_prices/VIX_History.csv
Format	CSV: DATE,OPEN,HIGH,LOW,CLOSE; DATE is M/D/YYYY
Frequency	Daily
Start	1990-01-02 (current methodology backfilled to here)
Units	Annualized expected volatility, percentage points
Methodology change	2003 (SPX strip; pre-2003 real-time index is VXO)
Key required	No

Citation

Cite Cboe Global Markets, the index name, the retrieval URL, and the access date, for example: Cboe Global Markets, “Cboe Volatility Index (VIX),” historical data retrieved from https://cdn.cboe.com/api/global/us_indices/daily_prices/VIX_History.csv, accessed YYYY-MM-DD. If you use the pre-2003 portion, state in your data description that those values are the current methodology applied retroactively, and cite VXO separately if you need the real-time pre-2003 index.