Free data source for intraday ETP indicative values?

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Free data source for intraday ETP indicative values?

Simon Thornington

posted

Anyone know where to find this data? Yahoo seems to have some, but not all, and the data is sparse. Thanks.

4 responses

Would nasdaq.com work for that? offers an interactive chart with 1 min values you can export to excel. http://www.nasdaq.com/symbol/viix/interactive-chart

Simon Thornington

Anyone have any ideas on this? Given the OIL implosion the other day, it's as relevant as ever for people trading ETNs. Would love to have this in Quantopian, but it seems unlikely to be high on their list.

For OIL ( http://www.etf.com/OIL ):

The iPath S&P GSCI Crude Oil Total Return ETN tracks an index of a single, front-month WTI crude oil futures contract.

Presumably, you are interested in arbitrage when specifically OIL gets outta whack. Is there a basket of securities that could be constructed that would approximate the IIV for OIL? In other words, if only OIL has a problem staying on track with its index, then its peers (if they exist) could be used as a proxy for the actual IIV of OIL.

Also, why would such data not be high on the list for Q? The ETP industry is huge, so wouldn't an aspiring hedge fund want to exploit inefficiencies?

Simon Thornington

Yeah, or even just avoiding trading ETFs when they are not trading within 5% of their IV or something.

Clearly I don't want to speak for Quantopian, but I believe their focus is on long-short equity market neutral strategies, and probably futures next, less so ETPs.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.