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aimad.taleb avatar image
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Problem retrieving VIX futures post December 2023 in Eikon API

Hello,

According the Reuters Notification, the RIC syntax for the futures of the VIX (see : DN062837) if the following ex: VXK2m.

My question is what syntax to use to retrieve the VIX future for January 2024?

I was able to get the time series for January 2004 <VXF4^0> and for January 2014 <VXF4^1>, but no clue what to do to get the future for January 2024. For info: <VXF4^2> is not working since the "^X" is only usable to browse expired of those which will expire in the end of current month.

Thank you,

Dmitry Prokofyev

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1 Answer

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Alex Putkov.1 avatar image
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The RIC for VIX future expiring in Jan 2024 would be VXF4, however CBOE VIX futures don't span that far into the future. According to the contract specifications the exchange may list up to six near-term expiration weeks, nine near-term serial months and five months on the February quarterly cycle for the VX futures contract. Subsequently as of today the farthest future that's been listed is VXK8, which expires in May 2018. See the link below for CBOE VIX futures contract specifications.
http://cfe.cboe.com/cfe-products/vx-cboe-volatility-index-vix-futures/contract-specifications
See also
http://www.cboe.com/delayedquote/futures-quotes#VX

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aimad.taleb avatar image aimad.taleb

Thank you for the fast and precise response, that helped a lot !

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