So, an implied volatility future at settlement is equal to the actual implied volatility at the time of settlement (the VIX-style calculation at settlement, under the ticker symbol VRO). The VIX Index is based on real-time prices of options on the S&P 500 ® Index (SPX) and is designed to reflect investors' consensus view of future (30-day) expected stock market volatility. A futures contract with no more future/time to settlement must be equal to the spot price (the current market price) of the product that the future represents. Additionally, the settlement price displayed on the Daily Bulletin matches that of the full-sized contracts for purposes of marking-to-market, as the contracts are fungible, on a 5:1 basis. Example: E-mini S&P 500 futures contracts are traded in .25 increments and the full-sized S&P 500 contracts in .10 increments. The settlement price is listed under the VRO ticker and reflects the result of a process (HOSS) managed by the CBOE. The CBOE Futures Exchange, LLC (“CFE”) has announced its plans to eliminate the current practice of rounding up the daily settlement price for the CBOE Volatility Index® (“VIX”) futures contracts to the nearest minimum pricing increment if the average of the final bid and offer is not at the minimum pricing increment for each respective contract. The VIX settlement price is calculated using actual opening trade price of a subset of S&P options. VIX closing price: 48 30 day vix future price: 32.72 Total number of contracts base: 92.64. The settlement process involves actual trade prices, not … Read more VIX Option and Futures Expiration Dates. Please click the title for … CFE data is compiled for the convenience of site visitors and is furnished without responsibility for accuracy and is accepted by the site visitor on the condition that transmission or omissions shall not be made the basis for any claim, demand or cause for action. While these VIX-linked derivatives offer pure volatility exposure, at expiration their settlement price is determined by out-of-the-money3 SPX options, in a manner sim-ilar but not identical to that of the intraday VIX. Volatility Futures & Options Dec 25, 2013. futures is from 0.50 index points below the daily settlement price to 0.50 index points above the daily settlement price. Final Settlement Prices. CFE data is compiled for the convenience of site visitors and is furnished without responsibility for accuracy and is accepted by the site visitor on the condition that transmission or omissions shall not be made the basis for any claim, demand or cause for action. Here's one quote: "The settlement date for VIX futures is the Wednesday that is thirty days prior to the third Friday of the calendar month immediately following the month in which the contract expires ("Final Settlement Date")." If there is no trade on a particular S&P500 option, the average of bid and ask will be used. It usually moves the opposite direction of the S&P 500 but not always. The contracts are the ones used the settlement price calculation. VIX futures are futures on CBOE Volatility Index, better known as the VIX and sometimes nicknamed “the Fear Index”, as it tends to spike when stocks fall and investors are fearful. VIX is the ticker symbol and the popular name for the Chicago Board Options Exchange's CBOE Volatility Index, a popular measure of the stock market's expectation of volatility based on S&P 500 index options.It is calculated and disseminated on a real-time basis by the CBOE, and is often referred to as the fear index or fear gauge.. the VIX itself is not tradable, Cboe also offers tradable derivatives in the form of VIX futures and VIX options. 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