Settlement Information for VIX Derivatives

Settlement Information for VIX Derivatives

The information on this page relates to the final settlement value calculated on expiration days for VIX derivatives. The final settlement value is calculated from actual opening prices of S&P 500 Index (SPX or SPX Weekly) options. In contrast, the spot (cash) value of the VIX Index is calculated using the mid-point of disseminated bid and offer quotations in SPX and SPX Weeklys option series. Also, the daily settlement prices for VIX derivatives are calculated based on values for those derivative contracts (as opposed to SPX/SPXW values).

Calculating Settlement Values for VIX Derivatives

VIX options and futures are based on the CBOE Volatility Index, a measure of 30-day expected volatility of the S&P 500 Index. The final settlement value for VIX futures and options is a Special Opening Quotation (SOQ) of the VIX Index calculated using opening prices of constituent SPX or SPX Weekly options that expire 30 days after the relevant VIX expiration date. For example, the final settlement value for VIX derivatives expiring on January 21, 2016 will be calculated using SPX options that expire 30 days later on February 20, 2016. If there is no opening trade, the opening price is the average of an option's bid and ask price determined at the open.

Opening Procedures for VIX Derivatives on Expiration Days

On expiration days for VIX derivatives, CBOE utilizes a modified Hybrid Opening System (HOSS) that facilitates a single-price open for SPX and SPX Weekly option series.

• A main feature of the modified HOSS opening procedures is the strategy order cut-off time for the constituent option series that will be used to calculate the final settlement value for VIX derivatives.
• • Currently, the strategy order cut-off time is 8:20 a.m. Chicago time. For more information about the strategy order cut-off time, click here.
  • Click here for a copy of CBOE Regulatory Circular RG17-019 (Modified HOSS Opening Procedures and Special Opening Quotation; Settlement Methodology for All Volatility Index Contracts).
  • Click here for a copy of CFE Regulatory Circular RG17-002 Modified HOSS Opening Procedures and Special Opening Quotation; Settlement Methodology for All Volatility Index Contracts and Risk Inherent in Settlement Procedure).
• All orders (including customer and professional) are eligible to rest in the book in order to participate in the modified HOSS opening auction. Non-customer orders in symbol SPX that rest in the book during that auction must be marked "OPG" (opening rotation order). All un-executed OPG orders will be (1) considered for purposes of determining series eligible for inclusion in the SOQ; and (2) automatically cancelled prior to dissemination of the first market by CBOE.

Narrowed OEPW Parameters and APR Parameters

On expiration days for VIX derivatives, CBOE narrows the Opening Exchange Prescribed Width (OEPW) and Acceptable Price Range (APR) parameters, which are used to define the maximum allowable range of possible opening prices in the constituent option series that will be used to calculate the final settlement value for VIX derivatives. For series that will have an opening trade, the width of the best CBOE quote bid-ask must be no wider than the OEPW parameter and opening trades must be able to execute at a price within a valid range. The calculation for the valid range is the midpoint of the best CBOE quote bid/ask plus/minus half of the OEPW. A series with no opening trade will be allowed to open as long as the width of the best CBOE quote bid-ask is no wider than the APR parameter. The APR parameter will be returned to the standard settings shortly after the open.

Click here for these narrowed OEPW and APR parameters and for other CBOE operational system settings applicable on expiration days for VIX derivatives.

Click here for CFE operational settings for Weekly VX futures expirations.

Messages Disseminated During Pre-Open and Rotation States until OPEN

On expiration days for VIX derivatives, HOSS disseminates Expected Opening Price/Size (EOP/S) messages for series that have a quantity to trade at the open, have buy or sell imbalances, or do not have a best composite Market-Maker quote that is within an allowable width.

These messages are available here on expiration days for VIX derivatives and are refreshed approximately every 30 seconds in real time on those days. Information on the types of messages disseminated during the Pre-Open and Rotation States until series move into the OPEN states is also available here.

Spot Value Dissemination on Expiration Days

On expiration days for VIX derivatives, CBOE does not begin disseminating the VIX spot (cash) value until the constituent option series that CBOE will use to calculate the settlement value for VIX derivatives have opened. Click here for more information.

Additional Information & Resources

VIX White Paper
A copy of the VIX White Paper is available here.

VIX Settlement Series
CBOE publishes VIX Settlement Series here.

VWB/VWA IndexesCBOE calculates the CBOE VIX Indicative Bid Index (VWB) by applying the CBOE VIX methodology to SPX and SPX Weekly option bid quotations. CBOE calculates the CBOE VIX Indicative Ask Index (VWA) by applying the CBOE VIX methodology to SPX and SPX Weekly option ask quotations. For additional information, click here.

Final Settlement Values
For VX futures, click here and for VIX options, click here.