I see that CBOE has halted trading all SPX options, which means the VIX cannot be calculated. Yet VIX futures are still trading and we are very close to the last trade date for the March contract.

I suppose traders can still price options (even though they can't trade them) and thus back out a volatility. But what if the trading halt lasts until the valuation date (18th March). How will anyone work out the final valuation?

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    $\begingroup$ The vix futures are settled by reference to a "special auction" of SPX options held starting about 8:20am Chicago time on Wednesday. AFAIK this auction has always taken place. How long the auction takes (there could be delays) and what kind of weird prices the limited number of participants come up with is another question. But there will be a settlement price for the futures. $\endgroup$
    – nbbo2
    Commented Mar 16, 2020 at 19:36
  • $\begingroup$ @noob2 if that's true it sounds like a setup that is ripe for market abuse. $\endgroup$ Commented Mar 17, 2020 at 7:18
  • $\begingroup$ Agreed. You can read a little bit more about the process here cboe.com/products/vix-index-volatility/vix-options-and-futures/… It is a complicated process that I am not an expert on. $\endgroup$
    – nbbo2
    Commented Mar 17, 2020 at 9:25
  • $\begingroup$ For what it is worth the settlement of VXH20 futures today was 69.76. They closed yesterday 68.825 and S&P went down overnight so the settlement does not seem out of line with where the future was trading. This settlement exceeded the settlement of 67.22 on Nov 19, 2008, but was exceeded by several settlements in early 2007 (i.e. it is not a record). $\endgroup$
    – nbbo2
    Commented Mar 18, 2020 at 16:11

1 Answer 1


I'm not an expert on VIX contracts etc, but I can tell you that some exchange traded derivatives compute daily settlement prices based on observed trade prices of the derivative itself. In other words, the determination of the 'fair' price of the asset is left to the market itself, rather than some other reference. After all, many commodities function that way. For example, the price of tulips is, well, whatever people are willing to pay for tulips.


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