Hi, in event driving strategy, why do the VIX prices (vixy_prices.csv) used in "VIX Futures Expiration Code" are different from the Yahoo's VIX prices" for example, you have 11.1 at 2020-02-14 while yahoo have 222?
Hi Bill,
This can happen when prices are adjusted. The adjusted close data is adjusted for splits. Events like this can cause the price of a security to change, even if there is no trading activity.
Hope this helps!
Thanks
Rushda
Hey Bill,
It's crucial to know what the actual product is where the prices come from you are using.
If you use yahoo finance to get vix data from what you said I assume you're looking at VIXY.
First this is not the same as vix futures (VX). VIXY is an etf designed to give you long exposure to short term volatility.
It does this by rolling positions from front month contracts into second month contracts. In contango this makes for a negative roll yield hence the decay. Because most of the time we are in contango ETF's like this occasionally need to do a reverse split so that price won't converge to 0. These reverse splits are backadjusted by yahoo finance. It's very clear if you look at a long term chart of VIXY you'll see it was priced 200k in 2011 this is because of the backadjusted price for the reverse splits.
So in short make sure you know what product you are looking at and you understand the product 'rules' ie. splits and holdings/rebalancing. Vix futures are not the same as the Vix index and are not the same as Vix ETF's. Price differences between the same product can occur when one source for example doesn't backadjust prices for reverse splits.
Hope that helps if not comment and maybe we can dig deeper.
(I'm not in that course so don't have the data myself but this is generally where discrepancies come from)