Rolling VIX Options Monthly

The code below takes the data already cleaned up by the code in the previous post and strings separate expirations together in a time series suitable for back testing, using the code found here and here.  Options are rolled monthly.

You can view the code in the window below or directly on Gist.

I am sure there are better and more efficient ways of completing the task but this is how I chose to do it. Using Python and various of its libraries including the truly fabulous Pandas.