Why Settlement Mechanics Matter
You cannot trade the VIX spot index directly. What you can trade are VIX futures and VIX options, and both are cash-settled — there is no underlying to deliver. That makes one detail unusually important: the exact value to which a contract settles on its expiration day. For the VIX, that value is the Special Opening Quotation, or SOQ. Understanding how the SOQ is built, and exactly when contracts expire, is the difference between knowing what your position is worth into the close and being surprised on settlement morning.
If you are new to these instruments, start with the VIX futures guide and the VIX options guide, then return here for the settlement details.
The Special Opening Quotation (SOQ / VRO)
The SOQ is a single, special VIX value calculated only on the morning of an expiration day. Rather than using the continuously-updating mid-quotes that drive the live VIX through the day, the SOQ is computed from the actual opening (traded) prices of the constituent SPX options, fed into the same VIX-style formula. It is disseminated under the ticker symbol VRO.
| Attribute | Detail |
|---|---|
| Settlement value name | Special Opening Quotation (SOQ) |
| Dissemination ticker | VRO |
| Inputs | Opening prices of the constituent SPX options |
| Methodology | VIX-style calculation applied to those opening prices |
| Timing | Morning of the expiration date (AM-settled) |
| Settlement type | Cash (no physical delivery) |
On the standard monthly expiration Wednesday, the SPX options used to build the VIX are precisely those that expire in 30 days — a single, clean expiration series rather than the two-series interpolation used on ordinary days. That is the same family of SPX options the regular VIX draws on; for the underlying mechanics, see how the VIX is calculated. The key practical point is that the SOQ depends on getting opening prints for many SPX strikes at the open, which is why it can differ slightly from where the index or front-month future traded just beforehand.
The Expiration Rule
Standard monthly VIX futures and options expire on a Wednesday. The Wednesday is chosen so that it falls 30 days before the third-Friday SPX options expiration of the following calendar month. This 30-day spacing is deliberate: it aligns the VIX settlement with the 30-day options series that defines the VIX itself, so the contract settles to a clean 30-day implied-volatility reading.
- Day of week: Wednesday (unless shifted by a holiday).
- Anchor: the third-Friday SPX expiration of the next month.
- Offset: exactly 30 days before that Friday.
- Settlement timing: AM-settled — the SOQ is set at the open, so the contract effectively stops trading the prior afternoon.
If the target Wednesday — or the third Friday it references — falls on an exchange holiday, the expiration shifts to keep the 30-day relationship intact. Beyond the standard monthlies, Cboe also lists weekly VIX futures and options, which likewise carry Wednesday expirations and broaden the set of available maturities for shorter-dated trades.
The 30-day offset is the whole point of the design. The VIX itself measures expected S&P 500 volatility over the next 30 calendar days, so settling a contract to a VIX value built from options that expire in exactly 30 days lets the future converge cleanly to the index it tracks. On any ordinary day the live VIX interpolates between two SPX option series straddling the 30-day mark; on the settlement Wednesday, a single series sits precisely at 30 days, which is why that morning's calculation uses just one expiration. This alignment is what makes a VIX future a faithful bet on 30-day implied volatility rather than on some blurred average.
Worked Example: Finding an Expiration Date
Step-by-step
- Pick the contract month. Say you hold a notional VIX future and want its expiration in a given month.
- Find the SPX third Friday of the following month. Identify the third Friday of the next calendar month — that is the anchor SPX monthly expiration.
- Count back 30 calendar days. Subtract 30 days from that Friday. The result lands on a Wednesday.
- Check for holidays. If that Wednesday (or the anchor Friday) is an exchange holiday, shift as the exchange specifies.
Illustration: Suppose the SPX third Friday of the following month is the 17th. Counting back 30 calendar days from the 17th lands you on a Wednesday in the prior month — that Wednesday is the VIX expiration. Because settlement is AM-based, the SOQ (VRO) prints on that Wednesday's open, and the regular trading session for the expiring contract effectively concludes the preceding Tuesday afternoon.
Always confirm exact dates against the official Cboe expiration calendar before trading. Holiday-driven shifts and weekly listings mean the "30 days before the third Friday" heuristic is a guide, not a substitute for the published schedule. The glossary defines the related terms if any are unfamiliar.
Why Settlement Can Create Dislocations
Because the SOQ is built from a one-time batch of opening prints across many SPX strikes — including illiquid deep-OTM options — rather than from continuous two-sided trading, the settlement value can occasionally diverge from where the VIX or the front-month future was quoted just before expiration. A few dynamics drive this:
- Opening auction quirks. Wide or stale opening prints on far-OTM SPX puts can push the SOQ above or below the prevailing screen level.
- Concentrated order flow. Hedgers and arbitrageurs trying to influence or hedge the settlement can move opening prices in the constituent options.
- Gaps overnight. Since settlement is at the open, any overnight move in equity futures is reflected in the SOQ but not in the prior afternoon's last trade.
These are usually small, but in stressed markets they can be material. The cash payout on every expiring VIX future and option is fixed by the SOQ, so a dislocation translates directly into profit or loss that differs from the last screen price. This is one reason the front-month future and spot VIX can behave erratically into a settlement, and it interacts with the broader term structure as the front contract converges toward its settlement.
Practical takeaways
- Know your contract's exact expiration date and that it is AM-settled.
- Do not assume settlement equals the last screen print of the prior afternoon.
- Watch the VRO print on expiration morning to confirm your settlement value.
- Manage or close positions deliberately ahead of settlement rather than letting them run into an uncertain SOQ.
This is educational information, not investment advice.
For a broader walkthrough of using these instruments, see how to trade the VIX.
Frequently Asked Questions
What is the VIX SOQ and the ticker VRO?
The SOQ is the Special Opening Quotation — the single final settlement value to which VIX futures and options settle. It is calculated on expiration morning using the actual opening prices of the constituent SPX options in a VIX-style calculation, and it is disseminated under the ticker symbol VRO.
When do VIX futures and options expire?
Standard monthly VIX expirations land on a Wednesday, generally 30 days before the third-Friday SPX expiration of the following calendar month. If that Wednesday or the related Friday is a holiday, the date shifts accordingly. Weekly VIX futures and options also exist with Wednesday expirations.
Are VIX futures and options AM- or PM-settled?
They are AM-settled. The final settlement value (the SOQ) is determined from opening prices on the morning of the expiration Wednesday, not at the close, which is why the relevant trading session effectively ends at the prior afternoon.
Why do traders watch the SOQ closely?
Because settlement is based on opening prints of many SPX options at once rather than continuous trading, the SOQ can occasionally diverge from where VIX or the front-month future traded just before. That dislocation directly determines the cash payout, so it can produce gains or losses that differ from the screen price into the close.