Vix Option Settlement

Discussion in 'Options' started by fisho, May 18, 2007.

  1. fisho


    How is it possible that the VIX opened above 14 on the expiry day and was above 13.70 for hours but the SOQ was 13.63 ? (As I understood from the Assignment (VIX MAY07 14 P) -370.00 )

    I understand that it is calculated in a different way but SO DIFFERENT ?!

    Moreover, having options in the money on VIX at expiry I was looking for a place to have SOQ quotes.
    Any suggestion?

  2. sellvol


    Assuming a flat open, VIX SET is consistently below closing/opening price of the VIX. Backtest each SET since inception and you will see what i am talking about.

    40bps is actually not that bad, i have seen as high as 1.5 handles difference. Nothing you can do about it but offset the previous day if you do not want the SET risk.
  3. fisho