This page is a summary of VIX options specifications and other useful information for research and trading of options on the VIX (CBOE Volatility Index).
Underlying and Symbol
The underlying of VIX options is the CBOE Volatility Index, better known as the VIX, which measures implied volatility of options on the S&P 500 index (those are different options from the options on the VIX index itself, which this page is about). If you are not familiar with how the VIX index works and what it represents, see What Is VIX? Here you can learn how the VIX index is calculated.
The symbol used for VIX options is also VIX.
The contract multiplier for VIX options is 100. This means that one option contract represents 100 units of the index and $1 move in VIX option price represents a gain or loss of $100 per contract.
For options with premium up to $3.00 the minimum tick size is $0.05, which is $5 for one contract. For options with premium above $3.00 the minimum tick size is $0.10, or $10 per contract.
VIX Option Chain and Strike Intervals
The minimum interval between strikes depends on the strike level and is as follows:
- Up to strike $15 the minimum interval is $0.50 (although the .50 strikes tend to be less liquid and sometimes unavailable, especially if spot VIX is higher)
- Above $15 the minimum interval is $1 (in practice, the interval is typically $2.5 or $5 for very high strikes)
You can find the current VIX option chain and delayed quotes at the CBOE website.
Expiration dates of VIX options match VIX futures expirations.
Traditionally, VIX options have followed the monthly expiration cycle, with up to six months available at a time.
In addition to monthly expirations, weekly VIX options were introduced on 8 October 2015 (they followed shortly after weekly VIX futures, which started trading on 23 July 2015). Up to six weekly expirations are listed at a time.
Because the VIX index, the underlying of these options, measures 30-day implied volatility of S&P 500 options, expiration dates of VIX options are derived from S&P 500 option expiration dates. Every VIX options (and futures) expiration is always 30 days before a corresponding S&P 500 options expiration, unless there are holidays. Because S&P 500 options typically expire on Friday, VIX options and futures usually expire on Wednesday four weeks before that (if there are holidays the expirations shift to the preceding trading day).
The last trading day of VIX options is the business day before expiration day, usually Tuesday.
Here you can find VIX futures and options expiration calendar.
Exercising VIX Options and Settlement
VIX options are European style and they can be exercised only at expiration.
VIX options are cash settled, because the underlying VIX Index is non-tradable and can't be delivered. The exercise-settlement value is determined by the opening prices or quotes of S&P500 options on the VIX options expiration date. This is the so called Special Opening Quotation (SOQ).
See more information about VIX Options Settlement.
Trading VIX Options
While VIX options can be a powerful product for hedging and speculation alike, they are a very complex product. They can be hard to understand, but easy to underestimate.
Firstly, the underlying for these options – the VIX index – behaves quite differently from the underlyings many people are used to, like individual stocks or equity indices. The way the VIX index moves and the distribution of its "returns" is quite unique, which means the use of traditional option pricing models can be problematic for VIX options, at least without good understanding of VIX index specifics and the particular model's limitations.
Secondly, the way VIX options are related to the spot VIX index is not really straightforward either. For understanding of this relationship and trading VIX options successfully, it is important to first understand how VIX futures work and how their prices relate to the spot VIX index (a good place to start is the VIX futures curve).
You can find more detailed discussion of the specifics, as well as some practical tips and possible strategies, here: Trading the VIX.