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Financial Databases and Research - Volatility indexes and Datastream
Financial Databases and Research

Volatility indexes and Datastream

Posted in Datastream

 

The most known volatility index is the VIX Index. In an earlier post I gave some background information on this index and referred to the CBOE (Chicago Board Options Exchange) website where the historical prices of the VIX can be found. The VIX index is also available through datastream under the Index section. A simple search on the keyword VIX should get you the index. The mnemonic is: CBOEVIX. The data types that are available for this index are: PI (Closing Price of the Index), PO (Price Opening), PH (Highest Price of the day) & PL (Lowest Price of the day). The Closing price is available starting from 2 January 1990. The other data types are available starting on 22 September 2003.

 

 

Based on the success of the VIX more volatility indexes have appeared for several stock exchanges as well as for some Exchange Traded Fund (ETF) trackers. Exchange traded funds (ETFs) are index funds whose shares are listed on a stock exchange and are traded like equity securities at market prices. ETFs allow investors to buy or sell shares of a fund that represents the collective performance of a selected group of securities.

The organisations that offer many volatility indexes at the moment are CBOE (Options exchange) and Eurex (Derivatives exchange). A search on the keyword volatitlity in the Indexe section of Datastream should get you an overview of available volatility indexes:

 

 

Some of the volatility indexes of European stock exchanges that are currently available through Datastream are:

AEXVOLI = AEX Volatility Index (Netherlands)
BELVOLI = BEL 20 Volatility Index (Belgium)
CACVOLI = CAC 40 Volatility Index (France)
VFTSEIX = FTSE 100 Volatitlity Index (England)

 

Historical data downloads for these 4 indexes are also possible through the EuroNext website.

 

 

Author information: LinkedIn

 

07:41 PM - 27 March 2011


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