So, I'm looking at VIX futures data in a spreadsheet...

S

Saltynuts

I see there are, among other things, an open, a close, a settle, and a change, in each case for the day. What is really, really weird is that the "change" listed does not seem tot match (at least not in all cases) either the close less the open or the settle less the open. What is going on here?

Thanks.
 
So i'm reading about settlement - like the average price of the contract for the day used for calculating margin requirements. But why the heck is the change in the future not close less open? So weird.
 
Oh I see, the settlement price of a day, less the settlement price of a prior day, is listed as the change. I take it that is the REAL economic change, because that would be the price that someone holding the instrument would get if it expired that day?

Thanks.
 
Saltynuts said:
Oh I see, the settlement price of a day, less the settlement price of a prior day, is listed as the change. I take it that is the REAL economic change, because that would be the price that someone holding the instrument would get if it expired that day?

Thanks.
More...

Please for the love of God google futures settlement procedures and learn what they are. Look, I think it's cool that you are starting 200 threads a day asking questions. I'm all about intellectual curiosity. But half the questions you ask can be found simply by googling them.
 
You must log in or register to reply here.
Back
Top