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The settlement price is provided by the exchange, it doesn't contradict with the fact that the contract wasn't traded. It's a theoretical price calculated by the appropriate models. In many cases, especially outside of US where there is no continuous market making, the exchange will provide a settlement price for a futures or options contracts in the end of ...


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So in short: in place of the input where you have cost of carry in usual Black Scholes you need the traded VIX-Futures price instead (which is not (!) the result of an application of the cost of carry formula) from the market and apply Black 76 -right? EDIT: Just like Gabriele wrote in the comment. The futures price is not (!) just the spot with interest ...



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