About VIX Central Contango
The VIX Central Contango dataset by VIX Central tracks VIX Futures (VX) contango data. The data covers 12 Futures contracts closest to expiry/maturity, starts in June 2010, and is delivered on a daily frequency. The dataset is created by QuantConnect downloading data from VIX Central website, which collects and analyses VIX and VX (VIX Futures) data.
Contango and Backwardation are terms used to describe if participants in the Futures market are overpaying or underpaying relative to the "spot" price of the underlying commodity when trading a Futures contract ("spot" price is the price of the actual commodity/asset at a given moment in time). Contango and backwardation can be used to determine forward-looking expectations of the commodity's spot price by the time the Future has expired/matured and is set to be delivered by participants of the Futures market. As Futures near their expiration/maturity date, contango and backwardation curves tend to converge on the spot price of the commodity at the time of expiration.
About VIX Central
VIX Central was founded by Eli Mintz in 2012 with goal of displaying historical VIX term structures in a simple and intuitive interface. VIX Central provides access to real-time and historical VIX data for individual investors.
About QuantConnect
QuantConnect was founded in 2012 to serve quants everywhere with the best possible algorithmic trading technology. Seeking to disrupt a notoriously closed-source industry, QuantConnect takes a radically open-source approach to algorithmic trading. Through the QuantConnect web platform, more than 50,000 quants are served every month.
Algorithm Example
from AlgorithmImports import *
from QuantConnect.DataSource import *
class VixCentralContangoAlgorithm (QCAlgorithm):
def initialize(self) -> None:
self.set_start_date(2014,1,1)
self.set_end_date(2018,1,1)
self.set_cash(25000)
# SPY as market representative for macroeconomy indicator trading
self.spy = self.add_equity("SPY", Resolution.DAILY).symbol
# Request VIX Contango data for trade signal generation
self.contango = self.add_data(VIXCentralContango, "VX", Resolution.DAILY).symbol
def on_data(self, slice: Slice) -> None:
# Trade base on the updated VIX contango data
contango_data = slice.Get(VIXCentralContango, self.contango)
ratio = contango_data.contango_f2_minus_f1 if contango_data else 0
# Bet the market will go up if F2 - F1 price percentage change is positive, meaning the near-term market volatility is expected to be low
if not self.portfolio.invested and ratio > 0:
self.market_order(self.spy, 100)
# Liqudiate otherwise to avoid excessive market volatility
elif ratio < 0:
self.liquidate()
Example Applications
The VIX Central Contango dataset enable you to explore VIX Future contracts pricing data. Examples include the following strategies:
- Determining forward-looking expectations by Futures market participants of the underlying commodity's spot price by the time of expiration/maturity
- Creating cash-and-carry arbitrage strategies by trading the spread/convergence of the contango/backwardation curves as a Future nears expiration/maturity
Pricing
Cloud Access
Freely harness VIX Contango data in the QuantConnect Cloud for your backtesting and live trading purposes.
On Premise
VIX Contango data archived in LEAN format for on premise backtesting and research. One file that is updated daily.
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