VIX Option and Futures Expiration Dates

Updated: Feb 19th, 2016 | Vance Harwood

Upcoming expiration dates for monthly VIX options and futures—they expire at market open on the same days.  The settlement price is not the same as the VIX open price.  The settlement price is listed under the VRO ticker and reflects the result of a process managed by the CBOE.  If volatility is relatively volatile on the expiration day it can take a while (hours) for the CBOE process to complete. This can result in settlement prices that are significantly different from the VIX open price.  

Expiration date
Wednesday (AM)
(9:30 ET open)
August 17th, 201612.9412.80 (-1.08%)
September 21st, 201614.9714.92 ( -0.33%)
October 19th, 201614.6114.56 (-0.34%)
November 16th, 2016
December 21st, 2016

The last day of trading for expiring VIX options is the end of regular trading on the day before (typically Tuesday).  Expiring VIX futures on the other hand trade in extended hours trading until 7:00 AM ET on the day of expiration (typically Wednesday).

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 CBOE’s Future exchange site has delayed quotes on VIX futures.  The symbology is not obvious, for example the ticker for Dec 2014 futures would vix/z4.  The symbol is built up by taking “vix/” plus the month code  (month codes are listed here). plus the last digit of the year (4 for 2014).

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 expiraton dates vs time.  The VIX central site also has historical VIX Futures data which can be compared to the term structure of the CBOE”s constant maturity indexes: VXST, VIX, VXV, and VXMT which show 9, 30, 93, and 180 day expectations of volatility.

You can also get a good estimate for the volatility futures prices by looking at the $10 VIX call for the the corresponding option series.  For a given set of options 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 expiration 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 that underly those options.   Volatility ETN products (e.g, VXX, VXZ, XIV, ZIV, UVXY, SVXY, TVIX) are based on various uses / mixtures of the monthly 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 sometime after opening—usually a few minutes after, but it can take an hour or two to achieve a settlement.  The VIX settlement value ticker 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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Friday, February 19th, 2016 | Vance Harwood
  • ~

    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

  • vance3h

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

    Best Regards, Vance

  • What are the strike price differences for $VIX options?

  • vance3h

    Hi, The $VIX options stikes are in one dollar increments from 10 up to 30, above that they are $2.5 apart up to $50, and then $5 after that.

    — Vance

  • Ryefield

    Yet another great article from Vance. If you’re new to volatility trading, do yourself and your trading account a big favor and follow every new publication from this guy.

  • VIX

    Do you know of any place where historic VRO “prices” are listed? I have tried to find that many times but I can only find the most recent ones. Thank you.

  • The CBOE essentially did a 10:1 split on the VIX futures effective 26-March-2007. Thanks for finding that CBOE page. I wasn’t aware that it existed.

    — Vance