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Energetic
Forum Captain

Total Posts: 1490
Joined: Jun 2004
 
Posted: 2018-08-28 18:25
I know that VIX options typically expire on Wednesdays but apparently there are exceptions. For example (if the data I am using are correct) there was an expiry on 20140318 which was Tuesday.

Does anyone know what drives the exceptions? Google search didn't help.

For every complex problem there is an answer that is clear, simple and wrong. - H. L. Mencken

ebal


Total Posts: 18
Joined: Jul 2009
 
Posted: 2018-08-28 19:08
Good Friday? VIX expires 30 days before the corresponding SPX expiration, which is normally on Friday. If Friday is a holiday, then SPX expires on Thursday and VIX - on Tuesday.

Energetic
Forum Captain

Total Posts: 1490
Joined: Jun 2004
 
Posted: 2018-08-28 19:13
Good Friday happens every year but Tuesday expirations do not.

For every complex problem there is an answer that is clear, simple and wrong. - H. L. Mencken

EspressoLover


Total Posts: 337
Joined: Jan 2015
 
Posted: 2018-08-28 19:15
Expiration Date:
The Expiration Date (usually a Wednesday) will be identified explicitly in the expiration date of the product. If that Wednesday or the Friday that is 30 days following that Wednesday is an Exchange holiday, the Expiration Date will be on the business day immediately preceding that Wednesday.

http://www.cboe.com/products/vix-index-volatility/vix-options-and-futures/vix-options/vix-options-specs

Good questions outrank easy answers. -Paul Samuelson

ebal


Total Posts: 18
Joined: Jul 2009
 
Posted: 2018-08-28 19:17
Sorry, edited my first response while you posted. Regular VIX expirations are 30 days before regular SPX expirations, i.e. third Friday of the month. Good Friday has to fall on third Friday of April for March VIX to expire on Tuesday. I don't know the rule for Good Fridays, but this year it was not third Friday.

gmetric_Flow


Total Posts: 7
Joined: Oct 2016
 
Posted: 2018-08-28 19:18
Here is a website with all the irregularities. As for the specific date you are asking about:

March 2014 VIX Expiration
Expiration day (final settlement): Tuesday 18 March 2014
Last trading day: Monday 17 March 2014
Why: April 2014 S&P500 option expiration was on Thursday 17 April due to Good Friday holiday.


http://www.macroption.com/vix-expiration-calendar/#exceptions

Energetic
Forum Captain

Total Posts: 1490
Joined: Jun 2004
 
Posted: 2018-08-28 19:21
Thank you, guys!

For every complex problem there is an answer that is clear, simple and wrong. - H. L. Mencken
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