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Direct MessagesDate/Time: Sat, 20 Apr 2024 00:40:02 +0000
Denali CFE Exchange VXX15 Futures Difference
View Count: 420
| [2021-07-20 20:26:47] |
| User584828 - Posts: 2 |
|
I was downloading some historical data and noticed some discrepancies for one particular contract for the VXX futures. The past 6 years worth of contract data for VXX the end of the minute bar data settles at 13:59:00 for example: This is end of VXX16 2016/11/16, 13:41:00, 13.65, 13.65, 13.60, 13.60, 8, 3, 1, 7 2016/11/16, 13:42:00, 13.60, 13.60, 13.60, 13.60, 10, 4, 2, 8 2016/11/16, 13:44:00, 13.65, 13.65, 13.65, 13.65, 25, 1, 0, 25 2016/11/16, 13:45:00, 13.60, 13.65, 13.60, 13.65, 30, 5, 15, 15 2016/11/16, 13:46:00, 13.65, 13.65, 13.65, 13.65, 3, 1, 3, 0 2016/11/16, 13:49:00, 13.70, 13.70, 13.70, 13.70, 6, 1, 0, 6 2016/11/16, 13:51:00, 13.70, 13.70, 13.65, 13.65, 26, 3, 1, 25 2016/11/16, 13:52:00, 13.70, 13.70, 13.70, 13.70, 11, 1, 0, 11 2016/11/16, 13:53:00, 13.70, 13.70, 13.70, 13.70, 42, 3, 12, 30 2016/11/16, 13:54:00, 13.70, 13.70, 13.70, 13.70, 172, 6, 0, 172 2016/11/16, 13:55:00, 13.70, 13.70, 13.70, 13.70, 118, 18, 22, 96 2016/11/16, 13:56:00, 13.70, 13.70, 13.70, 13.70, 46, 3, 31, 15 2016/11/16, 13:57:00, 13.70, 13.75, 13.70, 13.75, 14, 4, 9, 5 2016/11/16, 13:59:00, 13.75, 13.85, 13.75, 13.85, 413, 9, 359, 54 However for some reason the VXX 15 contract settled at 16:15:00. vs. VXX 15 2015/11/17, 16:04:00, 19.00, 19.09, 19.00, 19.09, 178, 18, 77, 101 2015/11/17, 16:05:00, 19.09, 19.20, 19.09, 19.17, 399, 35, 60, 339 2015/11/17, 16:06:00, 19.15, 19.15, 19.10, 19.15, 69, 10, 47, 22 2015/11/17, 16:07:00, 19.10, 19.10, 19.04, 19.04, 182, 9, 93, 89 2015/11/17, 16:08:00, 19.05, 19.13, 19.03, 19.10, 380, 35, 28, 352 2015/11/17, 16:09:00, 19.10, 19.13, 19.05, 19.05, 121, 11, 116, 5 2015/11/17, 16:10:00, 19.05, 19.10, 19.05, 19.05, 36, 13, 34, 2 2015/11/17, 16:11:00, 19.10, 19.10, 19.05, 19.05, 58, 18, 38, 20 2015/11/17, 16:12:00, 19.08, 19.08, 19.00, 19.00, 322, 33, 217, 105 2015/11/17, 16:13:00, 19.00, 19.03, 18.88, 18.90, 485, 99, 347, 138 2015/11/17, 16:14:00, 18.86, 19.00, 18.85, 18.95, 1032, 212, 495, 537 Is there a particular CBOE rule/exception in this contract or is this a data discrepancy issue? |
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