DATE: November 05, 2012
Can you explain the unique aspects of VIX option expiration?
Of course. Since there is only one day when an option is exactly 30 days to expiration, the VIX calculation must use option prices in two different expiration months. So what does this mean for the expiration of VIX options? It means that VIX options expiration occurs on a Wednesday, because that day is 30 days prior to the next SPX options expiration Friday. The final settlement value is determined that Wednesday morning. Consequently, the last day that VIX options can be traded is Tuesday, a day before that Wednesday. To learn more about VIX option expiration, view this week's segment of "Ask the Institute."