Retrieving the VIX term structure in R
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Much of my time lately has gone into analyzing and trading products in the volatility complex. As a result, I regularly watch the VIX term structure for continuations or deviations from trend. To make analysis simpler, I’ve written some R code that rips the term structure off the CBOE VIX term structure page and parses it into a table with proper typing. You can view this code in the embedded gist below:
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#@author Bommarito Consulting, LLC; http://bommaritollc.com/ | |
#@date 20121105 | |
# Imports | |
library(RCurl) | |
library(XML) | |
# Set RCurl options | |
options(RCurlOptions = list(timeout = 10, useragent = "Mozilla/6.0 (Windows NT 6.2; WOW64; rv:16.0.1) Gecko/20121011 Firefox/16.0.1")) | |
# Retrieve CBOE VIX term structure page and parse into HTML. | |
buffer <- getURL("http://www.cboe.com/data/volatilityindexes/volatilityindexes.aspx") | |
doc <- htmlParse(buffer, asText=T) | |
# Extract the term structure table. | |
vixTerm <- readHTMLTable(getNodeSet(doc, "//table[starts-with(@id, 'ctl00_')]")[[1]], header=T, colClasses=c('character', 'character', 'numeric', 'numeric'), as.factor=F) | |
# Clean up and process dates. | |
names(vixTerm) <- c("tradeDate", "expirationDate", "value", "month") | |
vixTerm$tradeDate <- as.POSIXct(vixTerm$tradeDate, format="%m/%d/%Y %I:%M:%S %p") | |
vixTerm$expirationDate <- as.Date(vixTerm$expirationDate, "%d-%b-%y") |
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