Free Historical Volatility and Other VIX Futures Data

I've decided to publish some critical data for anyone who trades volatility ETPs on the VIX Futures Data page of my blog. This includes the price of  the first seven months of VIX futures, historical volatility (10, 21, 30, and 63 periods), some key VIX metrics, and prices for the most common VIX ETPs (XIV, ZIV, and VXX).  Note that all data is delayed ~10 minutes.

Most services charge a fee for historical volatility, which to me seems a bit goofy since it is a really straight forward operation.  The following is the HV calculation in case you are interested:

1) Return, where Pt is close price on day t.

2) Average day-to-day changes over n-day period can be calculated as sum of returns divided on the number of days: 

3) Daily historical volatility is calculated on the basis of n days is estimated as

4) Annualized Historical Volatility is calculated as HV=HVdaily*sqrt(252)

Additionally, the five-month chart of VIX futures that I wrote about on Saturday does update dynamically so you can check that at any time on the same page. I think it's probably too valuable to just give away so this may change in the future.

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