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This question is about something observed hands on data that makes me a little confused.

Consider the term structure of futures on VIX of Monday, December 27, 2010. You can find it at the CFE market statistics webpage.enter image description here This day is the first day in which the recently issued contract Q (Aug 11) - introduced on Tuesday, December 07, 2010 - began being priced, with settle price: 26.4 US$; but at the same time, closing day Volumes and Open Interests still are null...

This makes me a bit confused. Is it completely normal? I guess so, but don't know why. Thanks to anybody that may clarify me on this point.

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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 the day.

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  • $\begingroup$ thanks @Eli. Do you mean that settled 26.4 US$ is computed model-based? or is calculated model-free (maybe with SPX options of the same maturity, like the VIX is calculated)? $\endgroup$
    – Gabriele Pompa
    Commented Mar 2, 2015 at 21:49
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CFE calculates settlement price from quotes whether there was trading or not. "The daily settlement price for each VIX futures contract will be the average of the final bid and final offer for the VIX futures contract at the close of trading." CFE rule 1202(p) http://cfe.cboe.com/publish/cferulebook/cferulebook.pdf

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