Python VIX weekly price analysis

This project is to analyze how the price of the VIX index and VIX futures contracts move at the end of their weekly expiration cycle.

1. Collect several years’ worth of VIX weekly futures prices (in order to get the weekly SOQ value)
a. Source: https://www.cboe.com/us/futures/market_statistics/final_settlement_prices/
2. Collect several years’ worth of VIX spot prices
a. Source: https://finance.yahoo.com/quote/%5EVIX/history/
b. Source: https://www.cboe.com/tradable_products/vix/vix_historical_data/
3. Understanding the VIX
a. Notice that the VIX futures expire each week on Wednesday.
b. The VIX futures expiration price is called the settlement price or the SOQ.
c. Notice that the VIX index has daily prices. The VIX index price is also called the spot price.
4. For each week, compare Tuesday’s opening VIX spot price (“TO”) with the Wednesday morning futures SOQ.
a. Plot date vs. SOQ – TO (futures SOQ price minus Tuesday’s spot opening price).
b. What is its mean and standard deviation of SOQ - TO?
5. Do the same analysis, but with Tuesday closing VIX rather than Tuesday closing VIX
6. Programing tools
a. Use Python 3.0.
b. Use matplotlib for plotting, and Pandas dataframes
7. Deliverables:
a. A Jupyter notebook file
b. CSV files containing the source data for VIX spot prices and VIX futures settlement prices