Futures Term Structure in Excel

[Adam777]

Hi

I've been looking for an excel spreadsheet that charts the current term structure of any chosen futures product using free data. I actually want to chart the VIX term structure with the cash Vix bellow. Hopefully the excel sheet auto updates, even if it's delayed data.

Otherwise does anyone know of any online tutorials on how this?

I know VixCentral does this, but I also want to calculate other stuff in excel using the data.

Thanks

 

[Robert Morse]

Hi Adam777-You can view the VX futures term structure on the CFE website for free. You will have to update you spread sheet manually unless you get a futures platform with live data and an Excel link. https://www.cboe.com/tradable_products/vix/vix_futures/

 

[Adam777]

Thanks Robert. I don't want to do the manual entry thing, and I was hoping to avoid the IB TWS API as my programming skills are rubbish

 

[ZBZB]

Thanks Robert. I don't want to do the manual entry thing, and I was hoping to avoid the IB TWS API as my programming skills are rubbish

If you download the tws api you get a sample excel spreadsheet that you can modify to get the futures data into excel in real-time.

 

[Adam777]

If you download the tws api you get a sample excel spreadsheet that you can modify to get the futures data into excel in real-time.

Thanks ZBZB. Is it a simple matter to keep it rolling to the new contracts in the term structure, or do I have to keep pasting in new RTD links?

 

[CannonTrading_Ilan]

Our E-Futures platform has an excel DDE link built in. Demo as well.

 

[ZBZB]

Thanks ZBZB. Is it a simple matter to keep it rolling to the new contracts in the term structure, or do I have to keep pasting in new RTD links?

They have continuous contracts in IB tws not sure about if you can put these into excel.

 

[xandman]

Use:
=CONCATENATE(A1," ",B1," ",C1)

to build your Query/Contract field.

A1 will be the front half of the argument
B1 is the month
C1 will be the back half of the argument

 

[xandman]

Sorry. That example has spaces. But, you'll be able to figure it out if you read the excel definition.

 

[Adam777]

Thanks guys. I'll check it out