VIX futures, how to get the contracts chain list of the VIX?

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Question by alvise.susmel · Aug 11, 2017 at 05:30 AM · tick-history-rest-api rics chain-ric

VIX futures, how to get the contracts chain list of the VIX?

Hi,

Is there an easy way to get the list of all the VIX futures contracts, with the RIC and tradable start-end date? The ticker in bloomberg is "UXA Index"

Thanks

Alvise

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Answer 1 · 2017-08-21T03:24:31Z

REFINITIV

Best Answer

Answer by Beera.Rajesh · Aug 21, 2017 at 03:24 AM

I confirm that using a single chain RIC you may not be able to pull all the contracts. Considering an example scenario if there is a change in RIC structure (can be due to change in Exchange Ticker), we release a Data Notification with the details and clients are requested to use the relevant active chain as per the date range of interest.

Regarding the VIX futures, the current chain RIC for VIX Futures on CBOE is <0#VX:> and prior to 10th Sep 2012 it was <0#VX:VE>. Effective 10th September 2012 the RIC convention for VIX Futures has been changed from <0#VX:VE > to <0#VX:>. Therefore you can use the Chain RIC <VXX9:VE> if you are extracting data prior to 10th Sep 2012.

Regarding the change of <0#VX:VE> to <0#VX:>, we had released a Data Notification: https://customers.reuters.com/a/support/NotificationService/ViewData.aspx?id=R0/DN062837

Thank you.

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VIX futures, how to get the contracts chain list of the VIX?

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