Unable to get VIX data for backtesting

from AlgorithmImports import *
from QuantConnect.DataSource import *

class ICStrategy(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2023, 1, 1)
        self.set_end_date(2023, 9, 30)
        self.set_cash(100000)
        equity = self.add_equity("SPY", Resolution.DAILY)
        self.symbol = equity.Symbol
        self.option = self.add_option("SPY", Resolution.DAILY)
        self.option.set_data_normalization_mode(DataNormalizationMode.RAW)
        # loading VIX data
        self.cboe_vix = self.add_data(CBOE, "VIX", Resolution.DAILY).symbol

    def on_data(self, slice):
        # get vix data
        if slice.contains_key(self.cboe_vix):
            self.vix = slice[self.cboe_vix]
        else:
            self.debug("slice does not have VIX data")
            return

    def vix_check(self):
        if self.vix in slice:
            vix_value = slice[self.vix].close

Sources: Vix Predicts Stock Index Returns, Index Option Bear Call Spread Algorithm, Exploiting Term Structure Of Vix Futures, Index Option Put Calendar Spread Algorithm, Index Option Call Calendar Spread Algorithm

I don't see any change in my code in your response. What corrections you've suggested?

I cannot proceed without the VIX data and would greatly appreciate it if someone from customer service could address my query as soon as possible. Thank you for your attention to this matter!"

Hi Mitul.  I'm not a programmer but was looking to use VIX data myself.  I was able to retrieve VIX data with the code below.

from AlgorithmImports import *
from QuantConnect.DataSource import *

class SPYOptionsBacktestAlgorithm(QCAlgorithm):
    def Initialize(self):
        # Set the start and end dates for the backtest
        self.SetStartDate(2023, 1, 1)
        self.SetEndDate(2023, 12, 31)
        
        # Set initial cash
        self.SetCash(100000)
        
        # Add the CBOE VIX data
        self.vix = self.AddIndex("VIX", Resolution.Daily).Symbol
        
        # Add the SPY equity for benchmarking
        self.spy = self.AddEquity("SPY", Resolution.Daily).Symbol
        
        # Set the benchmark
        self.SetBenchmark("SPY")
        
        # Add SPY options data
        self.spy_option = self.AddOption("SPY", Resolution.Daily)
        self.spy_option.SetFilter(self.UniverseFunc)

    def UniverseFunc(self, universe):
        # Define the universe selection criteria for SPY options
        return universe.IncludeWeeklys().Expiration(0, 60)
    
    def OnData(self, data):
        if not self.Portfolio.Invested:
            # Buy the SPY
            self.SetHoldings(self.spy, 1)
        
        # Debug output to check VIX data
        if data.ContainsKey(self.vix):
            vix_data = data[self.vix]
            self.Debug(f"VIX: {vix_data.Close}")
            
            # Plot VIX data on a separate scale
            self.Plot("VIX Scale", "VIX", vix_data.Close)
        
        # Obtain current month and next month options chains for SPY
        if data.ContainsKey(self.spy_option.Symbol):
            option_chain = data.OptionChains.get(self.spy_option.Symbol)
            if option_chain:
                # Filter for current month and next month options
                current_month_options = [contract for contract in option_chain if 0 <= (contract.Expiry - self.Time).days < 30]
                next_month_options = [contract for contract in option_chain if 30 <= (contract.Expiry - self.Time).days < 60]
                
                # Debug output for options
                #self.Debug(f"Current month options: {[contract.Symbol.Value for contract in current_month_options]}")
                #self.Debug(f"Next month options: {[contract.Symbol.Value for contract in next_month_options]}")

According to the solution posted by Kal, the key is to use 

self.AddIndex("VIX")