VIX_SampleData: S&P 500 INTRADAY DATA
In GarvinK/vixr: Replication of intrada VIX quotes

Description Usage Format

A dataset containing intraday S&P 500 spot and option prices diamonds.

1	VIX_SampleData

A data frame with 85560 rows and 28 variables:

underlying_symbol: Ticker Symbol
quote_datetime: Day and time of the quote
root: root
expiration: Expiration date of the option
strike: Strike price
option_type: Type of the option, i.e. call or put
open: First open price
high: Highest price
low: Lowest price
close: Last price of the day
trade_volume: Trade volume
bid_size: Bid size
bid: Bid price
ask_size: Ask size
ask: Ask price
underlying_bid: Bid of the underlying
underlying_ask: Ask of the underlying
implied_underlying_price: Implied underlying price
active_underlying_price: Active underlying price
implied_volatility: Implied volatility
delta: Delta
gamma: Gamma
theta: Theta
vega: Vega
rho: Rho
QuoteTime: Time of the quote
QuoteDate: Date of the quote
X: index

...

GarvinK/vixr documentation built on May 16, 2019, 7:26 a.m.

GarvinK/vixr index

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