Market Data Unfair Advantage Posting Status

CME Group Closes Most Open Outcry Futures Trading in Chicago and New York July 6

The CME Group has closed all pit futures trading as of July 6, with the exception of the S&P 500 Index futures.  Pit trading of options on futures contracts will remain open.

CSI will continue to report values for the data sets that represent pit-only trading.  There will be only settlement pricing, as well as volumes and open interest.

The volumes will consist of Privately Negotiated Transactions (Exchange Futures for Physicals, Exchange Futures for Risks, Exchange Futures for Swaps), plus open outcry volume related to options trading (futures/options combo orders a.k.a. covered spreads, which are a unique delta-neutral instrument created by combining an outright option or options spread with one or more underlying outright futures instruments. The futures leg of such orders is still allowed to be executed via open outcry provided the whole order is executed simultaneously at the spread’s differential price.  These orders are executed in the open outcry options pits, which are still open.)

The following table lists the various markets affected, with CSI numbers for the electronic trading (ETH), pit trading (RTH), and combined market data:

 

Pit/RTH Globex/ETH Combined
Agricultural
18 894 410 soymeal
19 895 411 soyoil
9 896 412 corn
21 897 413 wheat
11 898 414 oats
130 899 415 rough rice
110 100189 100190 mini wheat
111 100191 100192 mini corn
112 100193 100194 mini soybeans
694 886 2 live cattle
695 887 4 lean hogs
696 889 33 feeder cattle
100364 100365 27 lumber
100227 100228 404 class 3 milk
22 100067 100666 kc wheat
Currency/FX
278 875 23 mexican peso
127 878 25 swiss frac
128 879 26 british pound
129 880 64 canadian dollar
262 877 65 japanese yen
265 884 66 australian dollar
454 876 524 euro
458 100061 100060 south african rand
459 100063 100062 new zealand dollar
100568 100555 100569 fx index
519 100065 100064 russian ruble
Financial
269 881 141 eurodollar
270 883 142 libor
144 801 44 30 yr tbonds
250 802 150 10 yr note
293 803 251 5 yr note
666 804 382/207 2 yr note
750 892 74 fed funds
100506 100508 100507 ultra t bonds
100136 100137 416 euroyen
100835 100834 100833 30yr interest rate swap
100838 100837 100836 10yr interest rate swap
100841 100840 100839 5yr interest rate swap
100844 100843 100842 2yr interest rate swap
Equity index
912 831 99 nikkei US
688 100406 266 goldman sachs index
Metals
8 864 809 copper
16 863 868 silver
30 862 867 gold
Energy
13 379 859 platinum
69 810 849 palladium
89 377 857 heating oil/ny harbor
188 376 856 crude oil
191 860 869 natural gas
975 866 976 rbob gasoline

 

*CSI numbers >100,000 are denoted in UA as >1,000.  e.g. CSI# 100406 is UA# 1406

Japanese Yen minimum tick change

Effective Sunday, June 21st for trade date Monday, June 22nd, the Chicago Mercantile Exchange will amend the minimum price increment for Japanese Yen/US Dollar Futures. The minimum tick is changing from 0.000001 to 0.0000005.

UA users will need to refresh the database history for the affected data sets.
Click here for instructions.

CSI issues affected:
#65 JY
#262 JY2
#877 JY1
#498 JT
#1817 MJY

Delisted futures contracts

Effective June 19, the Chicago Mercantile Exchange delisted S&P MidCap 400 futures, Nasdaq 100 Index Futures, and S&P SmallCap 600 Index Futures from CME Globex, CME ClearPort and the CME trading floor.

CSI issues affected:
#104 MD
#429 ND
#882 ND1
#455 ND2
#1221 SMP

Effective June 22, the CBOT delisted Dow Jones Industrial Average Index Futures ($10 multiplier) and companion options from the CBOT trading floor.

CSI issues affected:
#496 DJ
#596 DJ2
#805 DJ3

Unfair Advantage Version 2.10.8 Upgrade Available

Unfair Advantage Version 2.10.8 Upgrade Available

Release Date: September 17, 2014
Last Updated: July 17, 2015 (Release 2.10.8.142)

Our internal Futures csi numbers have reached a limit:

This Upgrade will extend the internal factsheet to fix updating errors occurring on or after January 5th, 2015.

IMPORTANT NOTICE: Do NOT uninstall your current UA for this upgrade.
If you do, UA will no longer be usable, and a full reinstallation will be required.

Click here to download the upgrade file, then install over your current version.

Features include:

  • Data storage for stock splits, dividends, and capital gains has been redesigned for improved performance when updating. Conversion occurs after your next initial data update, meaning your exported data has been updated prior to the conversion stage.  The conversion stage can take 10-15 minutes. This will not apply to Futures Only customers.
    TradingBlox users:  upgrade TB to comply with this new storage strategy.
  • An option has been added to skip corrections to specified portfolios.  ( see the setting in Portfolio > General page )
  • Issues encountered when updating charts during data distribution have been solved.
  • Incorrect reporting of stock symbol relisting in Roll / Delist report has been corrected.
  • New charting tool to measure number of trading days has been added.
  • Executing After Distribution Command will now run applications as an admin if initial attempt fails due to a required elevated privilege.
  • Underlying historical chart view now provides historical High and historical Low along with the dates of these events ( extended information added ).
  • Stock adjustment selections are now available at the individual market level.
  • Support/Resistance Lines have been added in the charting toolbox.
  • Gann Fan tool has been improved, with customizable settings.
  • Charting controls have been improved. ( Refined in Build 28 )
  • Chart Cursor window now remembers it’s last size if changed.
  • Removed an xml manifest inadvertantly requiring Administrative rights to run the program, and call the API, and confirmation.  Build 26 is obsolete and has been replaced.
  • Horizontal Price Line tool available.
  • Refresh Portfolio list error corrected when API portfolio present.
  • Profit Trendlines now snap to the price bars.
  • Execute Command After Distribution now recognizes parameters.
  • Add A Day Updating  has been added to Add Future Days feature.
Build 34:
  • The program no longer abandons charts/tabs when editing the settings of charted continuous contracts.
  • Update time logs are now recorded in UA\Logs directory.
  • Field designator n# has been improved to include the prior delivery month ‘s pricing on the roll day record when exporting continuous contract data.
Build 35:
  • Difficulty with moving charting tools within charts has been resolved.
  • Update timing log in UA\Logs\ is now one file and maintianed in reverse chronological order, with latest results at the top.

Build 36:

  • Compiler Opimization change.

Build 45:

  • Improvements to charting, reduction in flicker when building.
  • New charting toolbar, with Indicator selections relocated within.
  • New charting tools: Quadrants, Fans, Cycles.
  • Charting tools can now be locked in place.
  • Color, Line Width, and Fill can be specified for each tool.
  • Portfolio charting Next/Prev control moves thru already charted symbols.
  • Horizontal tiling now available, chart tabs can be rearranged (drag/drop).
  • Enlarge Price Range can be applied to all charts, useful w/ Horizontal Tile.
  • Price cursor tracks in all tiled windows when within price/time range.
  • New switch in Historical Adjustments to skip stock adjustment corrections.
  • Strictly Roll By Days Before Expiration supported in API (-7) Documented.

Build 47-50:

  • New option to Build Chart @ Startup of program for each portfolio symbol. Setting is located in Data Series setting dialog.
  • Charting tool functionality has been improved.
  • Inadvertant multi-highlighting of portfolio contents suppressed.

Build 51:

  • New ASCII/Excel field ‘x’ to include expired contract records after rolls in Back-Adjusted and Nth Nearest  Futures continuous contracts.
  • Chart Annotations can now have test borders.

Build 52:

  • Portfolio Manager item status bar tracks position within portfolio.
  • Changed Profit Trend Line status text presentation.
  • RefreshMarket(…) in API, use instead of AddCsinumToRefreshHistoryList().

Build 53-54:

  • Data Series dialog now auto-selects Cash/Forward/COT/Econ/Other tab when seeking to chart, or add a symbol in those categories, away from any of the continuous contract tab options, which would fail to provide a result.
  • Cycle Lines & Fibonacci Zones no longer disappear when scrolling charts.

Build 55: 

  • Data Series dialog auto-select feature’s filter has been corrected.
  • Selecting a charting tool while table is selected now prompts the chart to be displayed before proceeding.

Build 56:

  • Trend Line,  Parallel Line placement responds more smoothly. 

Build 57:

  • Charting Colors interface now includes an Apply Preview button.  Access to Indicator colors has been added to the Indicator Edit interface.
  • An error message has been added when trying to use the API when not subscribed.

Build 58:

  • Font size and Font Bold now available in chart color scheme interface.
  • Chart Indicator colors identified as to which ones are assigned to current indicators in the color scheme interface.

Build 60:

  • Charting Indicators applied to separate panes now display their scaling on the right side of the chart, rather than the left side, by default.

Build 61:

  • Charting toolbar wraps when window size is less than width of controls
  • Table price editor has improved handling
  • Expiry Rule Editor was not clearing it’s deleted rule list. Fixed.
  • Annotation text no longer incorrectly adjusts placement when moved offscreen.

Build 62:

  • ASCII Field designator ‘A’ , when used in conjuction with ‘n#’, causes ‘n#’ to malfunction.  This problem has been resolved and no longer exists.

Build 63-64:

  • Market Price Down ColorChart  added to charting color list.
  • Charting tools drag locations have been expanded.
  • Lock all tools control added.
  • Russell 1000 Stock Index Component portfolio now available.

Build 65:

  • Indicator Drop Down Lists are now in the top toolbar, out of the chart region.
  • Trend Lines and parallel lines are extendable when Locked, maintaining their slope but allowed to extend or contract.
  • Text, Rectangles, Ellipses are transparent, lines draw over them
  • Added triple outputs to MA Least Squares, Triangle, Variable, Volume Adjusted, Weighted, Welles, Zero-Lag
  • Added Line Width to Compiled indicators
  • Trend lines no longer show prices unless you check View Values on settings dialog.
  • Parallel lines no longer block objects underneath from being selected
  • 2015 Holiday/Event calendar now specifies exchanges, rather than regions.

Build 66:

  • Chart template associations restored and synced with new global template control.
  • Charting toolbar no longer wraps when tiling windows.

Build 67:

  • Gann and Fibonacci Fans have been merged into one control to handle their settings.
  • Show/Hide charting objects control has been added.

Build 68:

  • Indicator colors are now assigned individually and their values saved, rather than drawing from the global pool of shared colors, where changes to indicator colors in one template were assigning colors for indicators in other templates.
  • Chart commentary edit control interface has been changed to draw the text directly on the charts rather than in a separate dialog.
  • Keyboard shortcuts:
  • <  Scroll Chart Back
  • >  Scroll Chart forward
  • +  Zoom Out
  • –   Zoom In
  • n  Next Chart
  • p  Previous Chart
  • d  Delete Selected Chart Object
  • e  Edit Selected Chart Object

Build 74:

  • Indicator colors for each output are now on the Indicator Settings dialog.
  • Each indicator output has a line width setting associated with it.

Build 77:

  • Various charting tool fixes.
  • Charting Fonts can be change to different system fonts available from Chart Colors interface.
  • Price Cursor spans across tiled windows.
  • Compiled Indicator list has been reorganized, and added to.  User defined Templates may have to have indicators re-added to them, as the ordering has changed.  Attempted to map back to previous ordering, but some may not match.  Adding indicators to templates has been made easier.  Bring up template, add indicator, a prompt will ask if you would like to add this to your template, and save it for you if you choose Yes.

Build 78:

  • Handles Back Adjusting of SMI early contracts, when only one contract was trading at a time, up to the June 1998 contract.

Build 84:

  • Removed security block from Put/Call selections for customers who do not subscribe to Options.
  • When using the Roll Trade Days Before Expiry setting,  UA’s Advanced Back Adjuster no longer incorrectly counts holidays as it looks into the future when formulating the date to roll your contracts, based on the expiry date of the current contract, and the Roll Trade Day period.  An updated holiday calendar is now referenced to find out ahead of time if a holiday, or holidays, exist in the future, prior to contract expiration.  This resolves a long standing problem where roll dates would change after a contract’s expiration, as it is committed to history, where roll dates are redetermined on history containing no holidays.  They were only changing if holiday(s) occurred within the Trade Days Before Expiry period specified.  If one holiday existed, the roll date would change to one day prior to when it had been previously signaled, prior to expiration.

Build 87-88:

  • Gann Retracements added.
  • Charting Tool placement has been improved, mapping issue of offscreen coordinate placement, corrected. This affected onscreen positioning.
  • Chart Price scale expansion / reduction button controls added.
  • Charting tool object deletion no longer intermittantly removes new, unselected objects by mistake.

Build 89-91:

  • Currencies for stocks have been broken out of exchange defaults, and specified individually by stock. A column has been added to Market Spec Viewer. Download Replacement Fact File from the Database menu of the Stock Market Spec List to obtain current information on currencies.
  • Stepped Line button added to charting toolbar
  • Color themes have been added: Toolbox chart toolbar button – Change Color/Font Scheme.
  • Volume/Open Interest charts are now always aligned with prices.
  • Expiration rule editor now allows a positive day offset and the list of active expiratin dates are provided in the interface to help see changes when modifying your rules.
  • Clicking on any Cycle Line now causes it to be selected for editing or deletion.
  • Charting Data window’s Close [x] button has been restored.
  • Copy Selected Line(s) functionality added to Data Tables.

Build 102:

  • Weekly files can now be correctly set to end on days other than Friday.
  • Settlement report now allows scrolling back in time. ( new toolbar button )
  • When charting, Up/Down keys now scroll through your portfolio.
  • New chart reset button.
  • New Indicator: Ivory RSI ( overlayed on an MACD variant )
  • Indicators can now be fed with other indicator data ( specified in settings under Data Source ).
  • Trend Lines now have an Arrow option ( in it’s setting options )
  • Charting Tools no longer preset to points on the chart unless dropped.

Build 103: Important Change

  • When building Continuous Contracts, the Unadjusted Closing prices are now purely what the exchange reported for the contracts involved, and are no longer altered by any Historical Adjustments that may apply to the market in focus, based on events that may have occurred on any given date after prices were reported.  Historical Adjustments are documented in the footnotes section of the Market Spec Sheet and displayed for each market selected.
  • This change was prompted by new adjustments sent out March 19, 2015 in response to :
    “The March-June 2015 Treasury Bond Futures Roll”
  • Contains CSiEZ/EZDownloader support file
    (reinstall this relase if previously obtained ealier today prior to 6:30pm EST March 19, 2015)

Build 104:  Important Change Continued…

  • Option to allow Historical Adjustments to be applied to Unadjusted Closing Prices. within Continuous Contracts at the Portfolio level. This is provided for those who wish to restore UA’s previous procedure prior to Build 103, possibly for testing, even though it should no longer be the chosen way to present this data.
  • Issue with charting in Windows 7-8 has been attempted to be resolved.

Build 107:

  • Rolling/Delisting Report accurately reports rolls n day(s) ago.  It had previously been 2 days off.

Build 110:

  • ASCII importing now creates a log file containing delisted and unknown symbols encountered when parsing source symbol list. Log file is placed in the same directory path as the source file, using the same file name along with .Delisted.Unknown descriptor added to it.

Build 114:

  • Option to allow user to restore Stock Splits/Dividends/Capital Gains data back to previous storage format, for use with versions of Trading Blox released prior to September of 2014. Uncheck option illustrated above, located in the UA Preferences interface under Historical Adjustments. This will instruct UA to restore all files to the prior format, which may take 5 to 20 minutes, or more, depending on your equipment and connection speed.
  • Handles a cataloging error that was occurring when importing sdbfacts.csv into Trading Blox to build it’s dictionary.

Build 117:

  • Continuous Roll Schedule Report no longer appears after updating when setting in Preferences > Distribution 2 > Display Rolling / Delisting Report is unchecked.

Build 118-132:

  • Chart Overlay Spread added to the compiled indicator list.
  • Vertical line tool added to charting toolbar.
  • Bar counter in Profit/Loss tool transfers measurements across period changes.
  • Chart pane sizing is saved after changing propotions, preserving them for the next time charts are viewed.
  • Option to adjust all tools historically that were placed within backadjusted contracts prior to the nearest contract.
  • Other interface and performance improvements.

Build 142:

  • ‘a’ has been added to ASCII/Excel Field to specify delivery month codes ( ex: 2105U )
  • Minimum Contracts Out option is now available for use with Date and Expiry rolling,  allowing Back Adjusted Contracts to roll similarly to an Nth Nearest Future Contract.

Click here to download the upgrade file, then install over your current version.

Unfair Advantage Build x.125 available

Release Date: December 20, 2013
Last Updated: June 26, 2014 (Release x.125.657)

Click here to download the upgrade file, then install over your current version.

Features include:

  • Backadjusting Raise Negative Series feature now correctly operates with Dividend Adjusted Stocks / Mutual Funds
  • Selecting Chart tabs now correctly activates associated chart when windows are Tiled or Cascaded
  • Charts saved to files are now opened using filename in the tab, and are no longer over written by dynamic chart saved settings
  • Security issues when using the API with Option only accounts have been resolved
  • Roll Days Before Expiration now allows a setting of 0, to roll on the expiration day
  • Expiry Rule Settings are preserved
  • Roll By Days Before Expiration more precisely rolls on the number of days specified for Nth Nearest Future ( before it rolled 1 day later )
  • Horizontal scrollbar added to the Portfolio Manager
  • Walk Forward Detection disabled when rolling by Date, or Strictly By Days Before Expiration, as it is unnecessary
  • Directory editing w/ autofill in Portfolio Settings dialog has been improved to avoid inadvertent renaming of the target directory when specifying the desired path while editing
  • P/L Trendline charting tool addition
  • Advanced Adjuster now supports rolling strictly on trading days before expiration
  • Excel field formatting now supports use of native Date Type
  • Copy Table Results and Save Table Results To File implemented in Market Spec FactSheet
  • New ASCII/EXCEL field specifier for Industry Group – ‘y’
  • New ASCII/EXCEL field specifier for Enterprise Value (EV) – ‘0’
  • Handles database syncronization when triggered by start date changes
  • Copy/Paste of selected items with a portfolio implemented in the Portfolio Manager
  • New scheduled Portfolio backup feature
  • Copy Portfolio to new portfolio now supports Period and Format selection changes
  • Import Portfolio now supports Period and Format option changes on all or some portfolios
  • Export Portfolio interface has been enhanced to support selecting which portfolios to export
  • Import Ascii file interface has been enhanced to support many different fields, and sequences
  • Find in portfolio button has been added to Portfolio Manager
  • Smarter Portfolio Manager handling of ASCII export file period changes, and multiple selection changes
  • Improved Portfolio corruption error handling
  • Charts now provides controls to easily change the years of history to view
  • Charts can now have future blank records added to them all
  • Chart annotations editor has been enhanced, annotation drag and drop supported
  • Charting objects are saved for re-display
  • Errors encountered with Charting templates have been corrected
  • Holidays can now be removed from charts
  • Preference setting sections have been consolidated
  • ASCII export field electives added for Expiry Date (X), Sector (s), Units of Measure (/)
  • Sector added to search elective in Market Spec Fact sheet
  • Search By setting is preserved in the Market Spec  Fact sheet
  • North American and World ETF tabs have been added to the Market Spec Fact sheet
  • OTC Exchanges have been broken out into NASDAQ Cap exchanges, and OTC Pink sheet exchanges
  • Perpetuals Contracts are now included in the Continuous Contract Roll Schedule Report
  • Continuous Contract Roll Schedule Report has been enhanced, and is now exportable to Excel
  • Continuous Contract Roll Schedule Report now specifies days past roll date, & whether next contract is trading
  • Continuous Contracts can now use generic ASCII file names instead of method coded names
  • Gaps in Back Adjusted contracts rolling on OI handled when OI is 0 in all contracts (JTI,JY,LRC specifically)
  • Market Scanner now features Data Download and Market Spec Fact sheet
  • EZ Downloader now supports Excel format
  • Continuous contracts of the same market, but with different settings, can now coexist in the same portfolio
  • Nth Nearest Futures Contract can now roll on Vol or Oi
  • Errant COM connection message eliminated when closing UA after using the API from Excel.
  • Portfolios can now share the same directory, with caution ( Avoid duplicate symbol/contract entries with the same file format ).
  • New chart controls to select different periods and time frames from the toolbar.
  • Stock Fundamental Market Capital export field no longer includes an ‘M’, millions are implied and noted in the field description.
  • Market Spec Factsheet organization improved.  Last pricing is more effeciently captured for stocks.
  • Add Blank Records to All Charts has been replaced by ‘Expand Right Margin to All Charts’ which adds a constant fixed space rather than only spacing when viewing the end of each data series.
  • Allows weekends to be added to charts, as well as export files.
  • New slide rule chart can be resized, and scrolled when grabbed by the mouse.
New Perpetual Contract features:
  • OI Weighted Perpetual now supports limiting the # of monthsto  include, an option to roll forward on Open Interest, Roll Days Before Expiry, and Confirmation Trigger
  • A new Index Component which blends the actual contracts together over a 5 day period. This Nearest Future Contract splices contract pricing together over a specified time window using percentages determined by the size of this window. It resembles the sub-Indices used by the Dow Jones-USB Commodity Index.
  • A new Proportional Liquidity Contract, an Open Interest Weighted Contract that measures contract liquidity over the span of the life of the market by weighting the price differences per day with Open Interest across specified contracts.

Click here to download the upgrade file, then install over your current version.

 

Have you received a 400 or 500 error in UA during download? Please read this.

We have received a few calls over the weekend with customers receiving a 400 or 500 error during download of daily data within Unfair advantage. If you are receiving this error, please check your download servers making sure they match the following list.

ua1.csidata.com

ua2.csidata.com

www.csidata2.com

These are the only servers that should be listed, and in this order.  Should you need help changing these servers, please call support for help any time at 5613928663. The reason your seeing this error is due to the UA download servers being updated. This is not a new or recent change the servers were updated last year.  It seems a few customers still have incorrect settings within there ua server download list. Please be sure to update this list. In the future in addition to posting in this news section, we will email customers to make sure you receive advanced notice with updates to your UA software.

Thank you,

CSI

Unfair Advantage Build x.124 available

  • UA now skips to it’s secondary server when primary server is down, as well as when busy serving other customers.
  • UA now accommodates an extension to the Nth Nearest Futures contract, enabling to look up to 36 contract months out.
  • Nth Nearest Contract now correctly rolls a day earlier, on the day of trigger, when rolling on Volume.
  • New, easier access to Backadjust overrides from right click table menu, and on the Data Series Dialog >> More section.
  • Duplicate contract selections have been removed from Backadjust override interface.
  • CSIM and MetaStock mix of formats disallowed in same portfolio.
  • Generate Foward continuous contract option has been renamed to Walk Forward Detection to better describe it’s purpose.
  • UA now provides the ability to add multiple blank records to all charts by setting a global value in the Charting Preferences section

image

Click here to download the upgrade file, then install over your current version.

 

Now compliant with AmiBroker 5.6 Unfair Advantage build x.121 is available

  • Now compliant with AmiBroker 5.6
  • Now exports Nearest Futures Group contracts to AmiBroker
  • UA no longer closes AmiBroker after opening it for an update.
  • UA now allows data from chart to be saved to an ASCII file off the right click menu.
  • Allows same markets with differing periods to coexist in same portfolio (ASCII only)
  • Allows same markets with differing setting to coexist in same portfolio (ASCII only)
  • Correctly updates option strike pricing in export files.
  • Catalogs Nearest Future Groups in Portfolio Manager with more detail.
  • Handles initial scroll position with Seasonal study correctly.
  • Now computes # of days traded per year on average in Seasonal Study sampling window, using more than 251 when available.
  • API RetrieveContact(…) and RetrieveSnapshot(…) correctly returns data for Linked markets when a date range is specified.
  • API FindMarketNumber() now filters out exchanges that are not contained in customer’s subscription.
  • Improved performance of CSI’s Factsheet search viewer.
  • Chart Studies are now editable after applying to charts when clicking “e”.

Click here to download Unfair Advantage build X.121

RVX-I, CBOE Russell 2000 Volatility Index & SKEWX-I, CBOE Volatility EOD Skew data available in Unfair Advantage

Looking for RVX-I, CBOE Russell 2000 Volatility Index & SKEWX-I, CBOE Volatility EOD Skew data?

Historical Start dates
RVX-I 20060505
SKEWX-I 19970227

RVX-I description CBOE Russell 2000 Volatility Index

The CBOE Russell 2000 Volatility IndexSM (RVXSM) is a key measure of market expectations of near-term volatility conveyed by Russell 2000® stock index option prices. It measures the market’s expectation of 30-day volatility implicit in the prices of near-term Russell 2000 options. RVX is quoted in percentage points, just like the standard deviation of a rate of return, e.g. 19.36. CBOE disseminates the RVX index value continuously during trading hours. The RVX Index is a leading barometer of investor sentiment and market volatility relating to the Russell 2000 Index.
More information:
For more CBOE information click here

SKEWX-I description CBOE Volatility EOD Skew

The CBOE Skew Index attempts to measure tail risks — the probability of a sharp decline of two or more standard deviations on a 30-day log return basis — of the S&P 500. The index is derived from the prices of S&P 500 options, which are also used to calculate the widely quoted VIX index, which tracks volatility.

The CBOE Skew IndexSM – referred to as “SKEW” – is an option-based indicator that
measures the perceived tail risk of the distribution of S&P 500® log returns at a 30-
day horizon. Tail risk is the risk associated with an increase in the probability of
outlier returns, returns two or more standard deviations below the mean. Think stock
market crash, or black swan. This probability is negligible for a normal distribution,
but can be significant for distributions which are skewed and have fat tails.

More information
Skew FAQ PDF

Both symbols have been automatically added to Unfair Advantage. To obtian history please do a Database / Refresh history.
See the Unfair Advantage Help Manual here or email us for instructions at support@csidata.com

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