I have Jun vix futures... which are not trading since last night.. I was hoping that this morning, my unrealized PnL will automatically become realized but that didn't happen... I can still see VIX Jun futures in my portfolio... can't sell manually and automatic settlement didn't happen last night? Any clues? This is the first time I hold on to VIX future into expiration? How does the market work in expiration... is unknown to me? Any info will be appreciated
"The Wednesday that is thirty days prior to the third Friday of the calendar month immediately following the month in which the contract expires ("Final Settlement Date"). If the third Friday of the month subsequent to expiration of the applicable 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." http://www.cfe.cboe.com/Products/Spec_VIX.aspx
Yeah...today is settlement day but futures ceased trading last night. Is closing price going to be used for settlement or todays? Sorry if this is obvious to you guys...
From the link already supplied: <i>The final settlement value for VIX futures shall be a Special Opening Quotation (SOQ) of VIX calculated from the sequence of opening prices of the options used to calculate the index on the settlement date.</i>
Today's opening print for the expiring June futures and options was based on the opening print of the July SPX 500 options. The series that the print is based on is listed on the CFE web site. The public has a chance to participate in the process. Opening imbalances are listed on the web site along with size and expected prices. This is really one of the few chances the average Joe has to sell on the offer or buy on the bid. I hope you were long the Vix future.
nice! this is probably the settlement price: VX M1-CF S&P 500 VOLATILITY June11 20:52:10 19.73s 0.05 19.73 19.73 19.73 http://www.cboe.com/DelayedQuote/DQBeta.aspx
From http://cfe.cboe.com/Products/Spec_VIX.aspx : "Settlement of VIX futures contracts will result in the delivery of a cash settlement amount on the business day immediately following the Final Settlement Date."