Desc: Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper, which you can browse here:
Packages necessary to run the script:
datetime, pandas, numpy, matplotlib, math, re, requests, xml.etree.ElementTree scipy, yahoo_fin
Disclaimer: The use of the yahoo_fin module can lead to some issue when running outside of market hours as yahoo may sometimes set the bid and ask value of options to 0 (happened on June 6th, 2019)
Update on June 8th, 2019:
- Updated function comments
- Updated how near- and next-term Fridays are calculated
- Updated markdowns for: pronounciation, punctuation, missing information
- Patched the VIX formula: some days could yield a negative sigma square
- Updated the README.md to reflect changes
Update on July 25th, 2019:
- Updated how near- and next-term Fridays are calculated
- Patched the VIX formula: some data retrievals could yield uncomputable data (i.e. "-")
- Updated the README.md to reflect changes