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?
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.
Ok I will factor this bias in my trades. Maybe it is because the SOQ is calculated from real trades and those trades are mostly in the "bid" direction. Now I found the historical SOQ. If anybody is interested: http://cfe.cboe.com/Products/settlementvalues_VIX.aspx