How is the exercise settlement value for VIX options calculated?
The exercise settlement value for VIX options (Ticker: VRO) is a Special Opening Quotation (SOQ) of VIX calculated from the sequence of opening prices of the SPX options used to calculate VIX at settlement. Most of the SPX option opening prices typically reflect actual trades. The opening price for any series in which there is no trade is deemed to be the mid-quote price, the average of that option’s bid and ask prices. Only series with non-zero bid prices upon completion of the special SPX opening procedures are used in the SOQ calculation.
