Calculating VIX Futures Expiration Dates

Summary

The document describes a calendar rule for estimating monthly VIX futures expirations: identify the expiration date of the corresponding S&P monthly options, then count back 30 days. In the usual case, those options expire on the month's third Friday, so the rule can be implemented by finding that Friday and subtracting 30 days.

Holiday adjustments matter. If the usual Friday is a market holiday, the options expiration may move to Thursday, changing the resulting VIX futures date. Weekly VIX futures use the same logic with Fridays other than the one assigned to the monthly contract. The document gives a holiday-week example to illustrate the adjustment and suggests using an NYSE holiday calendar for reliable automation. This is a calendar convention, not a data source or a complete implementation specification; the brief explanation does not enumerate holidays or cover every exceptional contract rule.

Key ideas

• Monthly VIX futures expire 30 days before the associated S&P monthly options expiration.
• The S&P monthly options expiration is usually the third Friday of the month.
• When that Friday is a market holiday, the options expiration may shift to Thursday.
• Weekly VIX futures apply the same date offset to other Fridays, subject to holiday adjustments.
• Automated date generation needs a holiday calendar to handle shifted expirations.

Tags

# What is the formula that determines when VIX futures expire?


# What is the formula that determines when VIX futures expire?












Or a source that will allow me to just get the list of dates into a program, I'm trying to do this in python but I want it to be able to figure out the next expiration automatically, or something like Quandl where it can just pull the data.

## Answer by nbbo2 (score 3)

https://quant.stackexchange.com/a/23221

They expire 30 days before the expiration of the S&P monthly options. The latter usually expire on the third Friday of the month (however, in rare cases the S&P opts. expire on Thursday because the Friday is a holiday; the last time it happened was April 17, 2014 since April 18 2014 was a NYSE holiday).

Neglecting the holiday thing, the expiration dates can easily be found with excel. (Given a month, you find the date of the third friday and then you subtract 30). To do the calculation perfectly you would need a table of NYSE holidays, which is available on the nyse web site.

For weekly vix futures (which started trading recently), it is the same logic, but where you look at all Fridays except the third, which was already used for the monthlies; and you subtract 30. Again the holiday thing applies; for example March 25, 2016 (4th Friday of March) will be a holiday so you use Thursday March 24, subtract 30 and get February 23, 2016 as the next "week4" expiration

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.