VIX option expiration dates


Friday, January 22nd, 2010

Upcoming expiration dates for VIX, RVX options:

Expiration date
Wednesday (AM)
VIX
(open)
VRO
(settlement)
Futures
Month
September 21st, 201133.0033.72
October 19th, 201132.9233.15
November 16th, 201132.6633.36
December 21st, 201122.5221.36
January 18th, 201223.2023.64
February 15th, 20121
March 21st, 2012 2
April 18th, 20123
May 16th, 20124
June, 20th, 20125
July 18th, 20126
August 22nd, 20127
September 19th, 2012
October 17th, 2012
November 21st, 2012
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.

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  • http://onlyvixx.blogspot.com ~

    Hello Vance, and thank you for the excellent blog. There is a typo in your data above, VRO for November expiration is 22.21, see http://cfe.cboe.com/Data/Settlement.aspx
    Regards,
    onlyvix

  • vance3h

    Thanks for the heads up on the November VRO value. Corrected.

    Best Regards, Vance