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The VIX Index settlement process is patterned after the process used to settle A.M.-settled S&P 500 Index options. The final settlement value for Volatility Derivatives is determined on the morning of their expiration date (usually a Wednesday) through a Special Opening Quotation ("SOQ") of the VIX Index. By providing market participants with a mechanism to buy and sell SPX options at the prices that are used to calculate the final settlement value for Volatility Derivatives, the VIX Index settlement process is "tradable."
VIX Weeklys futures began trading on CFE in 2015 and provide market participants with additional opportunities to establish short-term VIX positions and to fine-tune the timing of their hedging and trading activities.
Weekly expirations for VIX futures are generally listed on Thursdays (excluding holidays) and expire on Wednesdays. CFE may list up to six consecutive weekly expirations for VIX futures. VIX Weekly futures generally have the same contract specifications as monthly expiring VIX contracts. See Contract Specifications for VIX Futures for more information.
The VIX Index and Volatility-Based Global Indexes and Trading Instruments - A Guide to Investment and Trading Features (2020).
VIX Futures and Options - A Case Study of Portfolio Diversification During the 2008 Financial Crisis (Aug. 2009).
Reading VIX: Does VIX Predict Future Volatility? (Nov. 2017).
The inclusion of research not conducted or explicitly endorsed by Cboe should not be construed as an endorsement or indication of the value of any research.
