#@author Bommarito Consulting, LLC; http://bommaritollc.com/ #@date 20121105 # Imports library(RCurl) library(XML) # Set RCurl options options(RCurlOptions = list(timeout = 10, useragent = "Mozilla/6.0 (Windows NT 6.2; WOW64; rv:16.0.1) Gecko/20121011 Firefox/16.0.1")) # Retrieve CBOE VIX term structure page and parse into HTML. buffer <- getURL("http://www.cboe.com/data/volatilityindexes/volatilityindexes.aspx") doc <- htmlParse(buffer, asText=T) # Extract the term structure table. vixTerm <- readHTMLTable(getNodeSet(doc, "//table[starts-with(@id, 'ctl00_')]")[[1]], header=T, colClasses=c('character', 'character', 'numeric', 'numeric'), as.factor=F) # Clean up and process dates. names(vixTerm) <- c("tradeDate", "expirationDate", "value", "month") vixTerm$tradeDate <- as.POSIXct(vixTerm$tradeDate, format="%m/%d/%Y %I:%M:%S %p") vixTerm$expirationDate <- as.Date(vixTerm$expirationDate, "%d-%b-%y")