The Underlying of VIX Options: the VIX
The underlying of VIX options is CBOE Volatility Index, better known as the VIX. This fact makes VIX options a very specific trading vehicle. The VIX Index is a measure of expected volatility of S&P500 stock index (see more detailed explanation here: What Is VIX?). VIX is calculated from the prices of near term S&P500 options – the calculation is explained in more detail here: VIX Calculation.
Where VIX Options Are Traded
VIX options are traded on CBOE (Chicago Board Options Exchange). The official website of CBOE, where you can find detailed documentation for VIX options and delayed quotes, is here.
VIX Option Chain, Strikes and Expiration Months
Up to 6 expiration months of VIX options are available for trading at a time. The minimum strike price interval is 1 dollar, but it is 2.50 or 5 on far out of the money strikes. Here you can find more details about the VIX Option Chain.
VIX Options Expiration
The expiration date of VIX options is 30 days before the third Friday of the following month, which is usually Wednesday, except when there is public holiday. VIX options expire 30 days before S&P500 options (it is not a coincidence that the VIX Index is calculated as a hypothetical 30-day implied volatility of S&P500 options).
Here you can see more information about VIX Options Expiration.
Here you can find VIX options expiration calendar and expiration dates history.
The last trading day of VIX options is the business day before, usually Tuesday.
Exercising VIX Options and Settlement
VIX options are European style and they can be exercised only at expiration. The exercise-settlement value is determined by the opening prices or quotes of S&P500 options on the VIX options expiration date – the so called Special Opening Quotation (SOQ) of VIX. VIX options are cash settled, because the underlying VIX Index is non-tradable and can’t be delivered. See more information about VIX Options Settlement.