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vix.py is a python script that calculates the CBOE Volatility Index (VIX) according to the method described in the CBOE VIX White Paper.

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vix.py

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.

To run

Copy vixnearterm.dat and vixnextterm.dat to the same directory as vix.py, then run python3 vix.py

Contributing

Pull requests are welcome.

License

This project is licensed under the MIT open source license.

Contact

Please contact MTI for any questions or comments concerning this script.

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vix.py is a python script that calculates the CBOE Volatility Index (VIX) according to the method described in the CBOE VIX White Paper.

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