How to get volatility data (VIX, VXTLT, etc.)?

Alpaca Market Data
1

Here’s what I get when I make an API call for VIX…

{
“code”: 40410000,
“message”: “asset not found for VIX”
}

Am I missing something?

2

Alpaca only has data on US equities. VIX and VXTLT are CBOE Indexes (ie not equities). One can get a good proxy of VIX by looking at VIXY and VXX which are the ProShares VIX Short-Term Futures ETF, and iPath S&P 500 VIX Short-Term Futures ETN respectively.

3

Hi @dan_whitnable. Thanks for the reply. I actually tried backtesting with VXX instead of VIX, but found they don’t track close enough for my purposes.

Any other good APIs out there that have CBOE’s products?

4

If anyone is interested, I’m trying out CBOE’s LiveVol Data for now. Seems to be what I need.

1 Like
5

Hello,
I would like to know more on how you are getting the VIX from CBOE’s liveVol Data.
I found this link here https://api.livevol.com/v1/docs/Help/Api/GET-market-symbols-symbols_seqno but I’m getting back weird values and no date info.
Any insight would be appreciated
Thanks

6

I signed up for the 1-month free trial and no problems hitting this endpoint.

https://sandbox.livevol.com/api/v1/delayed/market/symbols/

It’s old data, but that’s fine for development/test purposes. I ultimately decided not to go down the CBOE path after getting a look at their subscription prices - too rich for my blood.

1 Like