getSymbols.cfe: Load Data from the CBOE Futures Exchange website...
In qmao: Quantmod Add-on

Description Usage Arguments Details Value Note Author(s) References See Also Examples

Load Data from the CBOE Futures Exchange website

  getSymbols.cfe(Symbols, Months = NULL, Years = NULL,
    from = "2004-06-01", to = Sys.Date(),
    nonzero.close = TRUE, rescale = TRUE, env,
    return.class = "xts", index.class = "Date", ...)

`Symbols`	vector of names of instruments formated like e.g. "VX_U09", "GV_Z10", etc. OR if `Months` and `Years` are provided a vector of names of root symbols, eg. "VX","GV",etc.
`Months`	optional vector of months. Can be numerical or the names of the months in English. If any element of `Symbols` contains an underscore, this will be ignored.
`Years`	optional vector of years. Can either be 2 or 4 digits each. If any element of `Symbols` contains an underscore, this will be ignored.
`from`	retrieve data no earlier than this data (2004-06-01)
`to`	retrieve data through this data (Sys.Date())
`nonzero.close`	if `TRUE` rows where ‘Close’ is zero will be removed.
`rescale`	Should data from before March 26, 2007 be adjusted? See Details and References. Only applicable if `Symbols` is "VX" or "DV".
`env`	where to create objects (.GlobalEnv)
`return.class`	class of returned object
`index.class`	class of returned object index (xts only)
`...`	additional arguments

Download Symbols to specified env from ‘cfe.cboe.com’. This method is not to be called directly; instead, a call to getSymbols(symbols, src='cfe') will in turn call this method. This is a wrapper to get end-of-day historical data for the futures that are, or have been, listed on the CBOE Futures Exchange.

Symbols can be a vector of symbols formatted like VX_U11, or GV_M10. Alternatively, the symbol roots can be used (e.g. 'VX', 'GV') and values can be provided for Months and Years. If roots are provided, but Years and Months is NULL, the current year as reported by Sys.Date() will be used, and either the current month, or, for "VT" and "VA" (which are quarterly contracts), the month of the end of the last quarter, or, for "RPXC", (which is biannual), the most recent March or Sep contract. See examples.

The raw data will contain zero values for the first few rows. Also, the last row will have zeros in every column except the ‘Settle’ column. By default, these rows, along with any other rows that have a zero Close price will be removed. If you would like to keep these rows (e.g. if you need the final settlement value) use nonzero.close=FALSE.

On March 26, 2007, The prices of VX and DV futures contracts were rescaled (divided by 10) “to bring the traded futures contract prices in line with the underlying index values...” If rescale=TRUE (Default) prices for these instruments from prior to March 26, 2007 will be divided by 10 ("rescaled"). See References.

will load data into the specified environment – one object for each file downloaded.

Currently listed contracts:

VSW - CBOE Short Term Volatility Index Futures (VSW)
VX - CBOE S&P 500 Volatility Index (VIX) Futures
VU - CBOE Russell 2000 Volatility Index (RVX) Futures
VN - CBOE Nasdaq-100 Volatility Index (VXN) Futures (was delisted in 2009 and relisted in July 2012)
VA - S&P 500 Variance Futures (product launched December 10th, 2012)
VXEM - CBOE Emerging Markets ETF Volatility Index (VXEEM) Security Futures
VXEW - CBOE Brazil ETF Volatility Index (VXEWZ) Security Futures
GV - CBOE Gold ETF Volatility Index (GVZ) Security Futures
OV - CBOE Crude Oil ETF Volatility Index (OVX) Security Futures

Delisted contracts:

VM - CBOE Mini-VIX Futures
RPXC - Radar Logic 28-Day Real Estate Index (RPX) Future
VT - CBOE S&P 500 3-Month Variance Futures
BX - CBOE S&P 500 BuyWrite Index Futures (BX)
VR - RUSSELL 2000 Volatility Index Futures (VR)
VA - CBOE S&P 500 12-Month Variance Futures (VA) (product delisted March 18, 2011)
DV - CBOE DJIA Volatility Index (DV)

Garrett See, based on Jeff Ryan's quantmod framework

http://cfe.cboe.com/Data/HistoricalData.aspx#VT,

http://tinyurl.com/CFE-VIX-VXN-Rescaling

remove_zero_rows for removing rows where a column has zero values. getSymbols, setSymbolLookup

## Not run: 
getSymbols(c("VX_U11", "VX_V11"),src='cfe')
#all contracts expiring in 2010 and 2011.
getSymbols("VX",Months=1:12,Years=2010:2011,src='cfe')
#getSymbols("VX",Months=1:12,Years=10:11,src='cfe') #same
#The contracts expiring this month:
getSymbols(c("VM","GV"),src='cfe')

setSymbolLookup(VX='cfe') #so we don't have to specify src anymore
getSymbols("VX",Months=1:3,Years=2005)

## End(Not run)