Many software packages that report option Greeks (e.g., delta, gamma, theta, implied volatility) report incorrect values for VIX options (Fidelity, Schwab, Ameritrade , LIVEVOL and Barchart (free subscription) are notable exceptions). Depending on the date and state of the market they can vary from almost correct to widely wrong–giving truly nonsense numbers. These packages assume that the VIX index is the underlying for the VIX options. This is wrong. The best underlying to use is the corresponding VIX future for that month (e.g., January VIX futures for January VIX options).
VIX Option and Futures Expiration Dates
Upcoming expiration dates for monthly VIX options and futures—they expire at market open on the same days can be found in this free spreadsheet. 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 (HOSS) managed by the CBOE. The settlement process involves actual trade prices, not …
