vix.2013.06.25


  This dataset contains VIX options with 57 days to expiration at the end of the business day June 25, 2013.
  On June 25, 2013, VIX closed at 18.21.


VIX Options

This package is a collection of various functions to extract the implied risk neutral density from option.

Kam Hamidieh

Risk Neutral Density Extraction Package

vix.2013.06.25 function

A data frame with 35 observations on the following 13 variables.
  <dl>
    <dt><code>last.c</code></dt><dd>closing call price</dd> <dt><code>change.c</code></dt><dd>change in call price from previous day</dd> <dt><code>bid.c</code></dt><dd>call bid price</dd> <dt><code>ask.c</code></dt><dd>call ask price</dd> <dt><code>vol.c</code></dt><dd>call volume</dd> <dt><code>openint.c</code></dt><dd>call open interest</dd> <dt><code>strike</code></dt><dd>option strike</dd> <dt><code>last.p</code></dt><dd>closing put price</dd> <dt><code>change.p</code></dt><dd>change in put price from previous day</dd> <dt><code>bid.p</code></dt><dd>put bid price</dd> <dt><code>ask.p</code></dt><dd>put ask price</dd> <dt><code>vol.p</code></dt><dd>put volume</dd> <dt><code>openint.p</code></dt><dd>put open interest</dd> </dl> 

Format

http://www.cboe.com/DelayedQuote/QuoteTableDownload.aspx

vix.2013.06.25: VIX Options on 2013-06-25

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Examples