vix.py is a python script that calculates the CBOE Volatility Index (VIX) according to the method described in the CBOE VIX White Paper.
vix.py is a python script that calculates the CBOE Volatility Index (VIX) according to the method described in the CBOE VIX White Paper. This script reproduces the example in the whitepaper.
Copy vixnearterm.dat and vixnextterm.dat to the same directory as vix.py, then run python3 vix.py
Pull requests are welcome.
This project is licensed under the MIT open source license.
Please contact MTI for any questions or comments concerning this script.
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