The Final Settlement Price for CBOE DJIA Volatility Index Futures is determined from a Special Opening Quotation (SOQ). The SOQ is calculated from the sequence of opening prices of the DJX options used to calculate the CBOE DJIA Volatility Index futures on the settlement date (the "Constituent Options"). 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 CBOE DJIA Volatility Index 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 CBOE DJIA Volatility Index calculation.
Additionally, it is recommended that market participants review the following information circular related to the settlement of Volatility Index Futures.
CFE IC06-009 - CBOE DJIA Volatility Index and CBOE VIX Futures Settlement
CBOE DJIA VOLATILITY INDEX FUTURES SETTLEMENT INFORMATION