The Final Settlement Price for VIX Futures is determined from a Special Opening Quotation (SOQ) of VIX. The SOQ is calculated from the sequence of opening prices of the SPX options used to calculate the VIX index on the settlement date (the "Constituent Options"). The opening prices for SPX options used in calculating the SOQ are determined through an automated auction mechanism ("Hybrid Opening System" or "HOSS") that matches buy and sell orders residing on the Electronic Order Book prior to the opening of trading. If there is no opening price for a Constituent Option, the average of that option's bid price and ask price as determined at the opening of trading is used instead. The settlement date for VIX futures is the Wednesday that is thirty days prior to the third Friday of the calendar month immediately following the month in which the contract expires ("Final Settlement Date"). The VIX White Paper provides specific information on the VIX calculation.
Additionally, it is recommended that market participants review the following information and regulatory circulars related to the settlement of Volatility Index (VIX) Futures.
HOSS SPX Opening
On the final settlement days of CBOE Volatility Index ("VIX") options and futures, the Exchange employs a modified Hybrid Opening System ("HOSS") procedure during the rotation period in SPX options to facilitate the calculation of the VIX. On regular trading days and on the final settlement day of VIX options and futures the following applies with respect to SPX options:
- Public customers, broker-dealers, CBOE Market-Makers, away Market-Makers and Specialists may enter orders for participation in the opening rotation.
- All non-customer orders entered for participation in the opening rotation must have an OPG contingency.
- Any OPG orders which remain unexecuted upon conclusion of the opening rotation will be canceled.
- Spread orders and contingency orders, except OPG contingencies, do not participate in the opening rotation.
All orders for participation in the opening rotation must be submitted electronically (either directly or indirectly through a floor broker).
- All orders must be received prior to the opening of trading for placement in the electronic book to participate in the opening rotation.
In addition, on the final settlement day of VIX options and futures, all SPX option orders for participation in the opening rotation in the SPX contract month used for that settlement, which are related to positions in, or a trading strategy involving, VIX options or futures, and any change to or cancellation of any such order (i) must be received prior to 8:15 a.m. Chicago time and (ii) may not be cancelled or changed after 8:15 a.m., (except that any such order may be changed or cancelled after 8:15 a.m. and prior to the opening of trading in order to correct a legitimate error, which requires the filing of a memorandum setting forth the circumstances that resulted in the change or cancellation with the Exchange no later than the next business day in form and manner prescribed by the Exchange).
In order to facilitate awareness of the existence and size of any order imbalance(s) on the final settlement day of VIX options and futures, a page linked below contains the order imbalance information for the SPX order book at the time noted on the screen images. For more information regarding the opening procedures on CBOE for the constituent options used to calculate volatility indexes, market participants should review CBOE Regulatory Circular RG08-042 and CFE Information Circular IC12-04.
VIX Futures Settlement Information