Wednesday, May 19, 2010

May VIX Settlement

Though I've periodically assessed potential expiration plays on the VIX, I haven't really given it much attention over the last two expiration cycles. Perhaps I'll drum up some content for June's cycle.... For anyone who played with May VIX options, today's open ushered in the settlement calculation. With the minor gap down in the S&P, we got a little pop in the VIX right at the open to 34.65 or 3% higher than yesterday's close. This go around settlement was right inline with the open.

[Source: CBOE]
As with the other indices, the settlement value of the VIX can also be charted using a specific ticker symbol: VRO.

No comments: