Holding VIX futures and options past the close of the last trading day and waiting for the final settlement value to determine your profit or loss is widely considered a gamble.
If you need a little background, see VIX Options Expiration, VIX Special Opening Quotation (SOQ), and VIX Expiration Calendar.
The most interesting observation: In 5 out of the last 11 VIX expirations the change from Tuesday VIX close to the final settlement value was greater than 1 VIX point.
Let’s focus mainly on the changes from Tuesday to the final settlement value, which are more interesting for this analysis.


It is impossible to predict how the VIX will change from close to next day open, let alone what the final settlement value will be (and I leave the speculations about if and how much it is manipulated to others). In this post, which originated as a follow-up to my earlier tweet, I look at historical statistics of the differences between VIX options and futures final settlement values and spot VIX index closing values on the last days before expiration. For each VIX expiration you can see the spot VIX index close on Monday (the day before the last trading day), the spot VIX index close on Tuesday (the last trading day), and the final settlement value, as well as the changes from Monday to Tuesday and from Tuesday to final settlement value. I have only included VIX expirations when the final settlement was on Wednesday and the Monday and Tuesday before that were not holidays (as on some past January and February expirations).


In other words, in periods of low volatility, when VIX has risen on Tuesday, the final settlement value is slightly more likely to be lower than Tuesday VIX close.



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