VIX Bid, Offer and Mid-Point Values

At settlement, VIX futures are based on the trade price of the SPX options used to calculate the VIX index on the settlement date ("Constituent Options") established during the ROS opening. 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. On non-settlement days, the indicative values of the VIX index are based on the mid-point of the bid and offer of the appropriate SPX options series. Inherent in these calculations is the possibility that there may be a substantial disparity between the final settlement value for expiring VIX futures and the reported indicative values of VIX Such a disparity will occur if there are substantial order imbalances significantly weighted on the same side of the market in the Constituent Options that trade during the ROS opening on the settlement date.

As a result, investors should be prepared in case a substantial disparity occurs, and should consider closing out the VIX futures position prior to settlement, rolling the VIX futures position into another contract month (see link below for current Roll Market information) or hedging their VIX futures position.

The CFE disseminates two indicative VIX values on a real-time basis four times per minute throughout the trading day (08:30 - 15:15 CT) - a VIX value based largely on the bid prices of the Constituent Options (ticker symbol: VWB) and a VIX value based largely on the offer prices of those options (ticker symbol: VWA). These two values will provide market participants with more information on the possible range of settlement prices that may occur for VIX futures. Market participants should be aware, however, that the final settlement price may be outside of this range. Please see IC05-07 at http://cfe.cboe.com/rulescirculars/infocirc.aspx for more information on the VIX indicative values.