Question on VIX futures/options expiration

S

Saltynuts

I want to make sure I understand expiration correctly. Let's say I have an April VIX future, which has an expiration date of April 18, 2018. As soon as expires, I want to have rolled into the May VIX future. I don't want to overlap, I just want to hold one of the nearest month VIX future at all times. So, I think I would buy the May VIX future either right before the close of business on April 17th, or (probably better) upon or a split second after the opening on the 18th. Does that sound right? I'm basing that on this -

Settlement Process
VIX® futures are settled in cash on the Wednesday that is 30 days prior to the next month's standard S&P 500 Stock Index (SPX) options expiration date, which is the 3rd Friday of the next month.

Specific expiration dates may be found within the Expiration Calendar. Last trading day is the Tuesday prior to settlement day at 3:15 CT. They are then settled in cash based on a special VIX index calculation. The special VIX index calculation uses actual opening trades in SPX options. This is a "special calculation," because the VIX index calculated throughout the day is based on the mid-point of the bid - ask spread of SPX options.

The final VIX index settlement level on expiration Wednesdays is disseminated under the symbol VRO.



At this link: http://www.cboe.com/products/vix-in...ns-and-futures/vix-futures/settlement-process



Thanks!
 
I'd roll sooner. You'll pay for liquidity to get out of that one on last trading day. Especially for VIX which are AM settled and you have 16 hours of news possibility to induce volatility. That's about the most over a barrel it gets on options trades. A few days earlier, and a calendar like that is pretty attractive to a market maker and you're likely to get picked off at the mid (unless it's a wide diagonal).
 
Wonder how does Weekly VIX Futures settlement works in relation to the Weekly SPX Options expiration. I read somewhere that it's settled same way so it's 30 days before the next weekly? So let's say if a Weekly SPX option expires on April 13th, the Weekly VIX Future would expire 30 days before that?
 
I do believe JSOP, look at this:

http://www.cboe.com/products/vix-in...ons-and-futures/vix-options/vix-options-specs

Speficially:

Settlement of Option Exercise:
The exercise-settlement value for VIX options (Ticker: VRO) shall be a Special Opening Quotation (SOQ) of VIX calculated from the sequence of opening prices during regular trading hours for SPX of the options used to calculate the index on the settlement date. The opening price for any series in which there is no trade shall be the average of that option's bid price and ask price as determined at the opening of trading. Click here for Settlement Information for VIX options.

The "time to expiration" used to calculate the SOQ shall account for the actual number of days and minutes until expiration for the constituent option series. For example, if the Exchange announces that the opening of trading in the constituent option series is delayed, the amount of time until expiration for the constituent option series used to calculate the exercise settlement value would be reduced to reflect the actual opening time of the constituent option series. Another example would be when the Exchange is closed on a Wednesday due to an Exchange holiday, the amount of time until expiration used to calculate the exercise settlement value would be increased to reflect the extra calendar day between the day that the exercise settlement value is calculated and the day on which the constituent option series expire.

The exercise-settlement value will be rounded to the nearest $0.01. Exercise will result in delivery of cash on the business day following expiration. The exercise-settlement amount is equal to the difference between the exercise-settlement value and the exercise price of the option, multiplied by $100.
 
By the way, I'm still not sure I understand the expiration. Here is the VIX expiration calendar:

http://www.cboe.com/framed/pdfframe...RESOURCES&title=2018+Cboe+Expiration+Calendar

Let's take the March contract. It says the expiration date is March 21st. So I believe that the opening price of the S&P options upon which the VIX is calculated would be snapped shot at the precise moment of open on the 21st. That would then determine the VIX settlement price for the March contract.

But when I go here:

https://markets.cboe.com/us/futures/market_statistics/historical_data/

And download the historic VIX March futures prices, and I go look at the 21st, when I would expect to see no trading data, just an open price, it looks like it actually traded over a wide range on that day?! What am I missing here gents?

Thanks.
 
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