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VSTOXX daily settlement prices

 

Can I somehow retrieve the VSTOXX daily settlement prices via the API? An alternative source where I candownload a CSV would be also great.
 

It seems as though everything you need shouldn't be far from .

What have you tried so far?
 

The csv-links are greyed out. You maybe need an account? This makes it difficult to download the data programmatically. :-/
 

Well, it looks like their txt is just a csv (-:

Did you examine it?

Then, you can find the conid for V2TX and see if the ib history matches... it'll be fun.

If you have any problems make sure to let 闯ü谤驳别苍 know.
 

I can get down the txt yes but the prices in the file are the daily closing prices of the index and not the settlement prices of the futures I'm afraid.
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You can see the daily settlement prices here:
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Sadly I don't manage to download from this site.
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I don't know of a source for the settlement data either, and scraping web pages is never a reliable path.

One approach could be to calculate/estimate the settlement price yourself. Both going forward on a daily basis as well as historical values for a couple years at least. The specification for the future gives you the recipe at

The daily settlement prices for the current maturity month are derived from the volume-weighted average of the prices of all transactions during the minute before 17:30 CET (reference point), provided that more than five trades transacted within this period.

Just grab historical TickByTickLast for the timeframe [17:29, 17:30) and calculate the VWAP. Probably rounded to the minTick of EU0.05 since the published values allways end in 5 or 0.

As a "proof of concept", here the results for yesterday:

  • There were 78 trades with a total volume of 493 contracts traded
  • The exact VWAP was 17.5305273833671
  • That makes a settlement price estimate of 17.55, just as published.
Just a thought.
闯ü谤驳别苍

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On Tue, Feb 25, 2025 at 03:42 AM, Despair wrote:
I can get down the txt yes but the prices in the file are the daily closing prices of the index and not the settlement prices of the futures I'm afraid.
?
You can see the daily settlement prices here:
?
Sadly I don't manage to download from this site.
?
?
 

Thanks Juergen. Great idea!

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