Hi Dr. Stemper,
I guess that the data format from cboe has changed so your Parse raw SPX data.ipynb is not working as well. The following is the screenshot of data on Apr 24, 2019.

Attached is the data file: spx_20190424.xlsx
Furthermore, one other file seems not included in the repo such as
/data/raw_data/liquidity_bid_ask_spread/strike_maturity.csv used in generate_heston_data.ipynb
If the data is not available to disclosure, could you give me more details how they look like?
Thanks
Hi Dr. Stemper,
I guess that the data format from cboe has changed so your

Parse raw SPX data.ipynbis not working as well. The following is the screenshot of data on Apr 24, 2019.Attached is the data file: spx_20190424.xlsx
Furthermore, one other file seems not included in the repo such as
/data/raw_data/liquidity_bid_ask_spread/strike_maturity.csvused ingenerate_heston_data.ipynbIf the data is not available to disclosure, could you give me more details how they look like?
Thanks