Why are there differences between the Intraday (Spot) VIX Index Value and the Settlement VIX Index Value?
The components of these calculations are different, and that difference can yield different values for the calculations.
Importantly, the intraday (or spot) value of VIX Index is calculated using the midpoint of the BBO and involves the interpolation of volatility calculated with near-term and next-term options. The final settlement value for expiring Volatility Derivatives is calculated using the opening trade prices, when there is an opening trade, of series from a single SPX expiration 30 calendar days from the subject settlement day. In the event that there is no opening trade for an option, the opening price used in the SOQ calculation for that option is the BBO midpoint. The SPX option values used to calculate the intraday (or spot) value of the VIX Index are not tradable prices since they are the midpoint of the current BBO. Because actual traded prices are used to calculate the settlement value for expiring Volatility Derivatives, those traded prices tend to lean toward the bid or the ask for the given SPX series. Only rarely will traded prices lean toward the midpoint of the bid/ask spread. As a result, the settlement value calculated for expiring Volatility Derivatives will tend to lean closer to either the bid or the ask and this value will typically deviate from the intraday (or spot) value calculated for the VIX Index.
Originally posted (Apr 14 2016); updated (Oct 8, 2019).
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