VIX Futures Settlement Changes

There has been some confusion over the process and timing of the CBOE Futures Exchange’s (CFE) new VIX futures settlement and new Trade At Settlement (TAS) market hours.

On January 19, 2021, the CFE clarified earlier announcements regarding the new settlement process and extended TAS market hours for VIX futures.[1] Specifically, the CFE clarified that effective January 25, 2021, the VIX futures settlement will be determined from a Volume Weighted Average Price (VWAP) of executions in both the full-size VIX futures (the VX futures) and the mini VIX futures (VXM futures) over the last 30 seconds of regular trading between 3:59:30 and 4:00:00 ET. This was an update to an earlier announcement on November 6, 2020 that the VWAP would take place over the final 60 seconds.[2]

Furthermore, on December 23, 2020, the CFE has announced that the closing time of the TAS market in VIX futures would be extended from 3:58:00 to 4:00:00 ET and this extension was confirmed in January 19, 2021 announcement.[3]

Invest in Vol uses Exchange Traded Products linked to VIX Futures to access volatility-related risk premiums in our Smart Vol managed accounts. Invest In Vol believes that determining VIX futures’ settlement prices from an average over a period of time is more reliable than relying on bid and offer prices at the market close. Invest In Vol, therefore, welcomes these changes and does not expect to alter its Smart Vol methodology in response.


[1] https://cdn.cboe.com/resources/release_notes/2021/Update2-VWAP-Calculation-for-VX-Futures-Daily-Settlement-Prices.pdf [2] https://cdn.cboe.com/resources/release_notes/2020/CFE-Announces-Use-of-Volume-Weighted-Average-Price-VWAP-Calculation-for-VIX-Futures-Daily-Settlement-Price.pdf [3] https://cdn.cboe.com/resources/release_notes/2020/Update-VWAP-Calculation-for-VX-Futures-Daily-Settlement-Prices.pdf

Disclaimer: 

This article is not intended as, and does not constitute, investment advice. Investing involves risk, including the possible loss of principal. Past performance does not ...

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