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Revert "Drop the four CBOE implied-vol indices from the registry" #21

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Merged
mspinola merged 1 commit into from
Aug 21, 2026
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Revert "Drop the four CBOE implied-vol indices from the registry" #21

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41 changes: 31 additions & 10 deletions src/marketdata/registry.yaml
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Original file line number Diff line number Diff line change
Expand Up @@ -70,17 +70,38 @@ Broad Bond ETF:
yahoo: "AGG"
inception: "2003-09-22"

# The four CBOE implied-vol indices (VIX, VXN, OVX, GVZ) were removed on 2026-08-21.
# They were fetchable but nothing in the store's own governance kept them: the workspace
# notes had recorded them as "deliberately let go" since July while they sat here in the
# registry, so every unscoped `--bars --domain equities` fetched them back. The prose and
# the registry disagreed, and the registry is what runs.
# KEPT DELIBERATELY. These four have been removed twice, on 2026-07-xx and again on
# 2026-08-21, both times on the belief that nothing used them. Something does:
# npf/trading_riot maps each to a realized counterpart (VIX->ES, VXN->NQ, OVX->CL,
# GVZ->GC) for a variance-risk-premium study, and its data.py documents fetching them
# with `marketdata-update --bars --symbols VIX`.
#
# CONSEQUENCE, recorded because it is not visible from here: npf/trading_riot maps all
# four to a realized counterpart (VIX->ES, VXN->NQ, OVX->CL, GVZ->GC) for a variance
# risk premium study, and its data.py documents fetching them with
# `--bars --symbols VIX`. That command now reports "no registry symbols resolve to this
# provider" and exits 0, writing nothing. Re-add the block below to unblock that work.
# Both removals were justified by a note kept somewhere else saying they were retired.
# Neither removal checked the consumer, because the consumer is in another repo and a
# grep of THIS one comes back clean. That is the trap: absence of a local reference is
# not evidence of absence of a dependency.
#
# So the reason lives here, next to the thing it governs, rather than in a document
# that can drift out of step with it. If trading_riot is genuinely retired, delete
# these four AND say so here in the same commit -- do not leave the next reader to
# rediscover the dependency from a failed fetch.
Volatility Index:
VIX:
yahoo: "^VIX"
inception: "1990-01-02"
note: "CBOE 30-day implied vol index. No corporate actions, so the split/raw tiers are a passthrough. It is an implied-vol series, not a tradable price."
VXN:
yahoo: "^VXN"
inception: "2001-01-23"
note: "CBOE Nasdaq-100 implied vol. Implied series, not tradable. Realized counterpart: NQ."
OVX:
yahoo: "^OVX"
inception: "2007-05-10"
note: "CBOE crude-oil ETF (USO) implied vol. Implied series, not tradable. Realized counterpart: CL."
GVZ:
yahoo: "^GVZ"
inception: "2008-06-03"
note: "CBOE gold ETF (GLD) implied vol. Implied series, not tradable. Realized counterpart: GC."

# ── Futures ───────────────────────────────────────────────────────────────
# Ported from cotdata's registry (ADR-0007 step 2: bars move here, CFTC
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