Vix mini futures settlement date

Discussion in 'Index Futures' started by Chronos.Phenomena, Apr 12, 2011.

  1. Hi,

    Is there a calendar of settlement dates for VIX mini futures?

    I don't want to calculate the date myself... it's so painful/time consuming or even ERROR prone


    Thirty days prior to the expiration of the nearby SPX options with at least 8 days left to expiration. This date is generally the Wednesday that is thirty days prior to the third Friday of the calendar month immediately following the month in which the Mini-VIX contract expires. If the third Friday of the month subsequent to expiration of the applicable Mini-VIX futures contract is a CBOE holiday, the Final Settlement Date for the contract shall be thirty days prior to the CBOE business day immediately preceding that Friday.

    The final settlement price for Mini-VIX futures shall be a Special Opening Quotation ("SOQ") of VIX calculated from the sequence of opening prices - as reported by CBOE - of the options used to calculate the index on the settlement date. The opening price for any series in which there is no trade shall be the average of that option's bid price and ask price - as reported by CBOE - at the opening of trading. The final settlement value will be rounded to the nearest $0.01. If the final settlement value is not available or the normal settlement procedure cannot be utilized due to a trading disruption or other unusual circumstance, the final settlement value will be determined in accordance with the rules and bylaws of The Options Clearing Corporation.

  2. ? :confused: