[R-SIG-Finance] intraday data for VIX?
spencer.graves at prodsyse.com
Sun May 24 21:22:48 CEST 2009
I have no direct experience with this myself, but you can get some
data from Bloomberg for free. However, professional traders routinely
pay for essentially instantaneous Bloomberg data. I could not find
anything mentioning rates, but I remember hearing a number like $1,700
per month for a single Bloomberg station. I presume that you could get
"tick" data, which is a record of every trade milliseconds after the
Hope this helps.
> Thanks! How high frequency could it be?
> I guess RBloomberg needs a subscription?
> On Sat, May 23, 2009 at 8:40 AM, Cedrick Johnson
> <cedrick at cedrickjohnson.com> wrote:
>> You could obtain the datasets via Bloomberg (RBloomberg).......
>> Michael wrote:
>>> Hi all,
>>> Is there a way to get recent (2009) intraday data for VIX ?
>>> I know a database called TAQ, but that's mostly for historical NBBO
>>> prices up to Oct. 2008.
>>> Even 5-min data for VIX is good for me.
>>> Thank you!
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