Upcoming expiration dates for VIX options and futures—they expire on the same days :
|Expiration date |
|January 16th, 2013||13.70||13.69|
|February 13th, 2013||12.88||13.07|
|March 20th, 2013||13.18||12.64|
|April 17th, 2013||15.35||15.46|
|May 22nd, 2013||13.37||13.17|
|June 19th, 2013||1|
|July 17th, 2013||2|
|August 21st, 2013||3|
|September 18th, 2013||4|
|October 16th, 2013||5|
|November 20th, 2013||6|
|December 18th, 2013||7|
The last day of trading for the options expiring each month is the day before (Tuesday) the dates above.
See this post for thirteen things you should know about trading VIX options.
The underlying security for VIX 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. VIX central is a very useful website that not only gives the VIX futures delayed quotes, but also shows the term structure—a graph of the VIX Futures for the various monthsvs time. The VIX central site also has historical VIX Futures data.
You can also 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, CVOL, XIV, ZIV, UVXY, SVXY) 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.
- The Volatility Landscape—May 2013
- VIX Futures—Crystal Ball or Insurance Policy?
- When the Term Structure Chart Lies to You…
- Short Volatility on a Roll
- How Meaningful are VIX’s Big Percentage Moves?
Monday, January 21st, 2013 | Vance Harwood