VIX Options Exercise-Settlement
VIX options are European style – you can exercise them only on the expiration date, when the exercise settlement value is also determined.
VIX Options Settlement Value
VIX options are cash settled (because there is no way of delivering the underlying, which is just an index). The settlement value is the so called Special Opening Quotation (SOQ) of VIX. It is derived from opening prices or quotes of S&P500 options that are used for VIX calculation at the open on VIX options expiration date. If there is no trade on a particular S&P500 option, the average of bid and ask will be used.
The settlement amount of a particular VIX option is the difference between the Special Opening Quotation and the option's strike price, times 100 dollars.
VIX Options Settlement Payment
The cash from VIX options settlement is delivered on the business day following expiration date.
VIX Options Expiration Date
The expiration of VIX options is 30 days before the expiration of S&P500 options – 30 days before the third Friday of the following calendar month – usually Wednesday, unless there is public holiday. The last trading day of VIX options is the business day before, usually Tuesday.
See the current VIX expiration calendar + history.