On march 26th 2007 VIX futures where rescaled as described in http://cfe.cboe.com/publish/CFEinfocirc/CFEIC07-003%20.pdf Data imported from quandl before this date should be divided by 10 in order to backtest accurately.
On march 26th 2007 VIX futures where rescaled as described in http://cfe.cboe.com/publish/CFEinfocirc/CFEIC07-003%20.pdf
Data imported from quandl before this date should be divided by 10 in order to backtest accurately.