Upcoming expiration dates for VIX, RVX options:
| Expiration date Wednesday (AM) | VIX (open) | VRO (settlement) | Futures Month |
|---|---|---|---|
| December 21st, 2011 | 22.52 | 21.36 | |
| January 18th, 2012 | 23.20 | 23.64 | |
| February 15th, 2012 | 19.74 | 20.44 | |
| March 21st, 2012 | 14.72 | 14.55 | |
| April 18th, 2012 | 19.02 | 19.06 | |
| May 16th, 2012 | 1 | ||
| June, 20th, 2012 | 2 | ||
| July 18th, 2012 | 3 | ||
| August 22nd, 2012 | 4 | ||
| September 19th, 2012 | 5 | ||
| October 17th, 2012 | 6 | ||
| November 21st, 2012 | 7 | ||
| December 19th, 2012 |
The last day of trading for the options expiring each month is the day before (Tuesday) the dates above.
The underlying security for these options is not the CBOE’s VIX index, rather it is the volatility futures expiring on the same date. The VIX and volatility futures do approximate each other on their expiration date (see below for the discussion on VRO), but otherwise the volatility futures can be lower or higher than the VIX.
You can get a good estimate for the volatility futures prices by looking at the $10 VIX call for the the corresponding month. For a given month if you split the bid/ask price of this deep in the money option, and add 10 you are pretty close to what the VIX futures for that month are trading at. For example, if the $10 call is at 8.50 bid, 8.90 ask, then split the difference to get 8.70, and add 10 to get 18.70. This is the approximate VIX futures price for that month. Volatility ETN products (e.g, VXX, VXZ, TVIX, CVOL, XIV) are based on various uses / mixtures of these futures. See Volatility Tickers for a full list.
The exercise / settlement values on the expiration date are not the opening values of the VIX / RVX index, but rather their special opening quote values. These quotes have their own symbol and are printed a few minutes after opening. The VIX settlement value is VRO (Yahoo ^VRO, Schwab $VRO), and RSL for the Russell Volatility index.
Source: OCC and CBOE option expiration calendars
For a spreadsheet calculator for all historical expiration days see this CBOE tool.
