Options: VIX & SPX
1) What is VIX?
The Cboe Volatility Index is an up-to-date market estimate of expected volatility, calculated using real-time S&P 500 (SPX) options bid/ask quotes. Only SPX options that expire on Friday are used to calculate the VIX index. (The VIX index is calculated from 2:15 AM to 8:15 AM ET and from 8:30 AM to 3:15 PM ET. It calculates the VIX by weighting SPX options with expirations greater than 23 days and less than 37 days as of Friday, and then produces a 30-day constant measure of expected volatility in the S&P 500)
VIXW (Weekly Expirations) is called volatility index cycle option
2) CBOE
Chicago Board Options Exchange established the options trading market, launched standardized contracts. The Chicago Board Options Exchange has successively launched call options and put options of stocks, both of which have been successful. CBOE offers trading across a diverse range of products, including options, futures, U.S. and European equities, exchange-traded products (ETPs), global FX, and multi-asset volatility products.
3) American Vs European Style Options
They are actually terms used to describe two different types of option exercise. European Style Options: can be exercised only at expiration. American Style Options: can be exercised at any time prior to expiration.
VIXW is a European-style option that can only be exercised upon expiration.
4）Trading Time
Expiration Date/Closing Time Expiration Date/Exercise Date: Every Wednesday, Eastern Time: 9:30am-4:15pm ET trade to T-1 on the exercise date
5）Premium Quotation
- VIX
- Stated in points and fractions, one point equals $100. Minimum tick for series trading below $3 is 0.05 ($5.00); above $3 is 0.10 ($10.00).
- VIXW
- Stated in points and fractions, one point equals $100. Minimum tick for all series, regardless of price level, is 0.01 ($1.00).
6) Margin requirements
Only premium (ie index contract price * quantity * multiplier) is charged for long positions, no margin is charged. Short call options, put options, both require margin.
7）Exercise and Settlement
The option can only be exercised after maturity and settled in cash. If the expiry date is a holiday, it will be settled one day in advance, and options expiring on that day will stop trading 15 minutes in advance.
The exercise settlement value of the VIX/VIXW option (ticker: VRO) shall be the special opening quotation of the VIX, calculated according to the order of the opening prices of the SPX options used to calculate the index on the settlement date during normal trading hours. The opening price for any series with no trades should be the average of the bid and ask prices determined at the opening of the option.
Exercise settlement value will be rounded to the nearest $0.01 and exercise is settled in cash.
SPXW is S&P 500 Cycle Options
1）CBOE
Chicago Board Options Exchange established the options trading market, launched standardized contracts. The Chicago Board Options Exchange has successively launched call options and put options of stocks, both of which have been successful. CBOE offers trading across a diverse range of products, including options, futures, U.S. and European equities, exchange-traded products (ETPs), global FX, and multi-asset volatility products.
2）American Vs European Style Options
They are actually terms used to describe two different types of option exercise. European Style Options: can be exercised only at expiration. American Style Options: can be exercised at any time prior to expiration.
SPXW is a European-style option that can only be exercised upon expiration.
3）Transaction hour
Eastern Time: 9:30am-4:15pm ET, exercise day: every Monday, Wednesday, Friday
4）Exercise and settlement method
The option can only be exercised after maturity and settled in cash. If the expiry date is a holiday, it will be settled one day in advance, and options expiring on that day will stop trading 15 minutes in advance.
6）Margin requirement
Only premium (ie index contract price * quantity * multiplier) is charged for long positions, no margin is charged. Short call options, put options, both require margin.
7）SPX & SPY
SPX is the S&P 500 with high option prices and low liquidity
SPY is an ETF of the S&P 500 index. The option price is cheaper than SPX. The option transaction is active and liquid.
SPY is the tracking index ETF of SPX.
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my takeaway
US option can exercise anytime before expiry
Euro option can only exercise on expiry date, ir one day in advance if expiry falls on a non trading day
Nice