nan in the futures data?

[githubbla]

I was reviewing the quality of our dataset and noticed that there are some dates with missing values. Specifically, when analyzing the data for certain VIX futures, I found instances where the Close prices are missing.

Here’s the code snippet I used to identify the issue:

`close2=vix_futures_wide.swaplevel(axis=1)[vix_futures_wide.swaplevel(axis=1)["Close"][1.5].isna()]["Close"]

close2.tail(2000)`

This code checks for NaN values in the Close column for a specific tenor (1.5). The tail(2000) method was used to inspect the most recent records with missing values.

Has anyone else encountered missing data in these fields? Any insights on why these dates might be missing, or how best to handle them, would be greatly appreciated.

[gnzsnz]

@githubbla have you checked the source files from cboe? if the data is not available on cboe, then i wouldn't expect it to be available on this package.