Let's see what the settlement value was for September VIX options. For those unaware, the settlement value is calculated as follows:
The exercise-settlement value for VIX options (Ticker: VRO) 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 must admit calculating settlement values for European Style Index Options always seemed kind of a mystery to me. I, along with most option traders, had always thought the settlement value should be identical (or very close to) the opening price. Well, today the VIX opened at 23.29. So most traders would assume that would be the settlement price.
Close... but no cigar.
There are two ways I know of to check for the settlement value. Either head over to the CBOE Index Settlement Value page or find out what the ticker symbol is for the Index settlement value and plug it into a charting platform. As mentioned above, the ticker for the VIX settlement is VRO (click image to enlarge).
Tip: When viewing the settlement price, use a line chart not candlesticks.
As the chart displays (and CBOE confirms) the settlement price for Sept. VIX options was 23.64. So, not too far off of the actual opening price for the VIX (23.29), but different nonetheless. The line in the sand for the put plays talked about yesterday was 23.60. Given that we settled at 23.64, both trades would have pretty much been a wash. Technically selling the put would have made you $.04, so I guess it's fair to say that was the winner.
For those who want more information on settlement values and how they're calculated, the best explanation I've read was in The Rookie's Guide to Options by MarkWolfinger.