VIX Futures: Contract Size, Tick Value, Expiry and Settlement

Separate the VIX Index from a VIX futures contract

The Cboe Volatility Index, usually called the VIX Index, is a calculation based on prices of S&P 500 Index options. It represents a measure of near-term expected volatility under the published methodology. The index itself is not a futures position and cannot be held as though it were a share.

A VIX future is a listed contract for a particular expiration. Its market price reflects what buyers and sellers agree for that contract, including time to settlement, expectations and risk premia. The Cboe VIX futures overview describes these contracts as market estimates for the VIX Index on future expiration dates. A March contract and an April contract can therefore have different prices at the same moment, and neither has to equal the current spot index.

Three VIX-related values that should not be substituted

Value	What it represents	Operational use
Spot VIX Index	A current index calculation using eligible SPX option prices under the VIX methodology	Reference information; it is not a VX order price
VX futures price	The traded price of one specified weekly or monthly futures expiry	Order, mark-to-market and position record for that contract
Final settlement SOQ	A Special Opening Quotation calculated for expiring VIX derivatives	Cash-settlement reference for the expiring contract

The distinction is central to reconciliation. Comparing a follower's VX fill directly with a spot-index screenshot does not measure copier slippage. Compare the same futures contract, side, quantity and timestamp using an appropriate futures reference.

Read the VX multiplier and tick before sizing

The current Cboe VX specification identifies standard Cboe Volatility Index futures and a $1,000 contract multiplier. Cboe's current VIX futures and options fact sheet states that outright VX prices ordinarily move in 0.05-point increments, equal to $50 per contract. Individual legs and net prices of spread trades may use 0.01-point increments worth $10, so the order context matters.

For a simple outright position, gross price movement is:

signed change in VX index points × $1,000 × number of contracts.

Suppose one long VX future moves from 18.00 to 18.50. The 0.50-point change equals ten ordinary 0.05-point ticks. Ten × $50 gives a $500 favorable gross movement. If it moves from 18.00 to 17.50, the same long position has a $500 adverse gross movement. Fees, spread, slippage and account-currency conversion are separate.

This arithmetic does not select an appropriate quantity. Margin is collateral and can change; it is neither the $1,000 multiplier nor a maximum loss. Use the futures sizing calculator with the exact tick value and a declared hypothetical stop only after confirming the contract. Stops can execute at a different price or fail under their order conditions.

Read the term structure one expiry at a time

The sequence of futures prices across expirations is the VIX futures term structure. When longer-dated contracts stand above nearer contracts, that section is commonly described as contango. When nearer contracts stand above later contracts, that section is commonly described as backwardation. A curve can change shape and can contain both rising and falling sections; one label need not describe every maturity.

Contango does not guarantee that a short position will profit, and backwardation does not guarantee that a long position will profit. Each contract can move before expiry, and a rolling strategy closes one contract and opens another at actual prices. The difference between those prices is not free yield. Transaction costs, timing, margin and changing exposure affect the result.

Spot convergence also requires precision. An expiring VX future settles to the specified SOQ, not automatically to the prior day's closing VIX Index or the intraday value visible when the SOQ is published. Away from expiry, a futures price can remain above or below the spot index because it represents a different date and a traded contract.

Understand the Special Opening Quotation

Cboe states that the final settlement value for VIX derivatives is determined on the morning of expiration through a Special Opening Quotation of the VIX Index. The official VIX methodology explains that this settlement calculation uses opening prices from selected SPX options, with a prescribed fallback when a selected option has no opening trade. That differs from the mid-quote inputs used for ordinary spot-index calculations.

Under Cboe's fact sheet, settlement of VX futures results in a cash amount on the business day following the final settlement date. The final mark-to-market amount is based on the difference against the final settlement value multiplied by $1,000. No share portfolio or physical volatility asset is delivered.

Cash settlement removes physical-delivery logistics but not expiry risk. The SOQ can differ from a nearby spot print, an expiring position stops trading at its specified time, and the account receives the settlement result rather than an ordinary closing fill. A copying system that observes submitted orders cannot assume an exchange settlement event began as a copied order.

Calculate the monthly expiry rule carefully

Cboe's current specification describes the standard monthly VX final settlement date as the Wednesday that is 30 days before the third Friday of the following calendar month. Weekly futures use the Wednesday denoted by their weekly symbol. Holidays and exchange notices can alter operational dates, so use the current CFE hours and holiday page and settlement calendar rather than relying on a memorized rule.

On its current hours page, Cboe lists VX/VXM trading from 5:00 p.m. Central Time on the prior day through 4:00 p.m., with the close for expiring instruments at 8:00 a.m. on expiration Wednesday. Market orders are accepted only from 8:30 a.m. to 3:00 p.m. Central Time, after the opening process is complete and while the contract is in an open trading state. Cboe's specification says a market order received outside its permitted window is rejected or canceled back, while stop-limit orders are permitted during regular and extended hours.

These details matter for automation. A copied market order can be valid in one session and rejected in another even while the contract is trading. Holiday schedules and broker restrictions can be narrower than the exchange schedule. Record the account timezone and translate every cutoff explicitly.

Use the full contract symbol and expiry

Cboe lists standard monthly and weekly VX expirations. Weekly symbols include a number identifying the week, while monthly contracts use their listed month. Broker and data-vendor symbol formats can differ. A bare label such as “VIX” can refer to the index, an option class, a future, an exchange-traded product or a broker-specific derivative.

A mapping should therefore store the venue, product class, exact expiry, multiplier, tick rule and settlement method. It should not map from a shared display label alone. The source and follower must also have permission for the contract and enough current collateral. An index data subscription does not establish futures trading permission.

VIX futures copying preflight

Field	Question	Evidence
Product identity	Is this the VIX Index, VX future, VIX option or another derivative?	Venue and instrument record
Expiry	Which weekly or monthly contract is open?	Full source and follower symbols plus final settlement date
Price grid	Does the order use an outright or spread increment?	Order context and current Cboe tick specification
Session	Is the order type accepted at this time?	Exchange session, holiday schedule and broker rule
Lifecycle	Will the position be closed, rolled or cash-settled?	Documented cutoff and resulting account record

Measure copied VX executions against the same contract

To compare a source and follower fill, capture the full contract, transaction side, requested quantity, order type, relevant limit or stop price, source timestamp, destination submission timestamp, broker acknowledgement and fill records. Use synchronized clocks and state the price reference. A difference from spot VIX is not copier latency or slippage because spot VIX is a separate calculation.

Partial fills and rejections need their own records. An average price can hide that one account filled in several pieces or at a different total quantity. Around expiry, reconcile the final position and cash entry because a settlement event does not have to look like a copied close order.

This page does not claim that TradeCopier supports VX, every CFE order type, options, spread pricing or exchange settlement replication. Confirm current scope for the actual platform and broker. Test the full lifecycle at controlled size, including rejection behavior, before using an automated workflow.

Use a six-field VIX futures worksheet

1. Identity: record CFE, VX, weekly or monthly type, full expiry and broker symbol.
2. Economics: record multiplier, applicable tick increment, tick value, currency and quantity.
3. Timing: record trading session, market-order window, holiday exception and expiration close.
4. Settlement: record the final settlement date, SOQ method and expected cash entry.
5. Automation: define symbol mapping, order-type handling, rounding, rejection and roll behavior.
6. Reconciliation: preserve acknowledgements, fills, fees, positions and settlement records for each account.

The worksheet turns “trade VIX” into a reproducible contract specification. It does not forecast volatility or recommend a position. Futures can produce substantial losses, and the CFTC futures overview advises customers to understand every contract obligation and the possibility of losing more than the initial amount deposited.