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Settlement Process

Introduction
Contract Specifications
Settlement Process
Price Relationship
Long Call
Long Put
Summary

Settlement Process

The underlying instrument that determines the cash settlement value of a VIX^® option at expiration is the VIX index. At expiration, the holder of an in-the-money VIX option will receive a cash payment based on the amount the option is in the money. Consider these two brief examples:

Example 1: Settlement at expiration of a VIX Call:
	Oct VIX 20 Call October VIX Settlement = 22.10
	Call Settlement = $100 x (VIX Settlement - Call Strike Price)
	$210 = $100 x (22.10 - 20.00)
	Long Option Holder Receives $210 Short Option Holder Pays $210

Example 2: Settlement at expiration of a VIX® Put:
	Long 1 Oct VIX 25 Put October VIX Settlement = 22.10
	Put Settlement = $100 x (VIX Settlement - Put Strike Price)
	$290 = $100 x (25.00 - 22.10)
	Long Option Holder Receives $290 Short Option Holder Pays $290