March VIX futures settled this morning at a low 14.55 after closing yesterday at 15.65. The March VIX options will be priced off that value.
The VIX tumbled as low as 14.19 this morning and is now at 15.06, down 3.34 percent on the day. More than 325,000 SPX options have traded this morning, almost all of them in April contracts.
Those affected the VIX settlement, as it is based on traded prices of the SPX options, not the midpoint of the bid/ask spread. (One very odd print was more than 800 contracts of the December 200 SPX puts.)
The VIX futures are also falling. The now-front-month April futures are down 3.14 percent to 18.50.
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May VIX settlement comes in at 13.17
May 22, 2013
Those May VIX futures finished trading at 13.50. The spot volatility index opened at 13.45 and is now down 0.01 points on the day to 13.36.
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