Vix Option Settlement

F

fisho

How is it possible that the VIX opened above 14 on the expiry day and was above 13.70 for hours but the SOQ was 13.63 ? (As I understood from the Assignment (VIX MAY07 14 P) -370.00 )

I understand that it is calculated in a different way but SO DIFFERENT ?!

Moreover, having options in the money on VIX at expiry I was looking for a place to have SOQ quotes.
Any suggestion?

:confused:
 
Assuming a flat open, VIX SET is consistently below closing/opening price of the VIX. Backtest each SET since inception and you will see what i am talking about.

40bps is actually not that bad, i have seen as high as 1.5 handles difference. Nothing you can do about it but offset the previous day if you do not want the SET risk.
 
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