In developing various volatility trading strategies, I have been using settlement prices for VX futures which are derived during the last 30s of the trading day. In a nutshell, given some settlement values present at time of close, I decide to initiate/close position @ said time of close. However, it turns out these settlement values I had been basing my research on are not actually readily available until the start of the next trading day. Currently I can only stream the LAST / BID / ASK / other such quotes, which poses a problem. Specifically, there is usually some disrepancy btwn the settlement values I'm using during RnD, and the actual values I can access during production. Hence any projections become innacurate. Thus Im looking for a service that can provide settlement prices AS SOON as they're calculated. Is anyone aware of some third party API that offers this at a reasonable price? I know DataBento plans to introduce this in the future, but it is still a ways away, and it doesn't seem much a priority for them as it keeps getting pushed further down the icebox. I know there are various settlement calculations posted throughout the trading day, the one I am specifically looking for is the "prelim" VX futures settlement calculation which occurs from 3:59:00 - 4pm, as opposed to the followup settlement checks which are calculated throughout the afternoon (which seem to rarely supersede the prelim settlement calculation anyway)
There is no settlement process at market close. VIX options and VX futures settle on Wednesday mornings, typically within 2-5 minutes of market open. Final settlement price is determined by ticker VRO.
You're referring to final settlement @ expiration. Im referring to the daily settlement calculation used by the exchange which is VWAP weighed according to the last 30s of trading. They're different concepts. https://www.cboe.com/us/futures/market_statistics/settlement/
Don't trade it but this is what I found:- https://www.cboe.com/us/futures/market_statistics/settlement/ As to when it is available ? and whether it changes ? anyone's guess.