Fetch historical VIX data

gistfile1.py

import urllib2

months = ["F","G","H","J","K","M","N","Q","U","V","X","Z"]
years = ["04","05","06","07","08","09","10","11","12"]

for year in years:
    for month in months:
        filename = "CFE_" + month + year + "_VX.csv"
        url = "http://cfe.cboe.com/Publish/ScheduledTask/MktData/datahouse/" + filename
        try:
            response = urllib2.urlopen(url)
            if response.code == 200:
                data = response.read()
                f = open(filename, "w")
                f.write(data)
                f.close()
        except:
            continue