Much of my time lately has gone into analyzing and trading products in the volatility complex. As a result, I regularly watch the VIX term structure for continuations or deviations from trend. To make analysis simpler, I’ve written some R code that rips the term structure off the CBOE VIX term structure page and parses it into a table with proper typing. You can view this code in the embedded gist below:
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About the Author: bcllc
You’ll likely be interested in the getSymbols.cfe method in my qmao package (https://r-forge.r-project.org/R/?group_id=1113)
The following comes from the examples section of ?getSymbols.cfe
library(qmao)
getSymbols(c(“VX_U11”, “VX_V11”),src=’cfe’)
#all contracts expiring in 2010 and 2011.
getSymbols(“VX”,Months=1:12,Years=2010:2011,src=’cfe’)
#getSymbols(“VX”,Months=1:12,Years=10:11,src=’cfe’) #same
#The contracts expiring this month:
getSymbols(c(“VM”,”GV”),src=’cfe’)
If you are not familiar with quantmod/getSymbols, by default, it assigns the data to an environment (.GlobalEnv by default) instead of returning it. So, e.g. after running getSymbols(“VX_H12”) the data will be in a variable named VX_H12.