December VIX settlement 24.09
The December VIX futures settled this morning at 24.09. That was above the open for the spot volatility index and well above the low of 22.44 that came shortly after.
Remember that the VIX futures settlement is based on prices of the S&P 500 Index options, while the spot VIX is calculated from the midpoint of the bid/ask spread.
Those that were long those futures in the last couple of days were happy, as they closed Monday at 18.75 while the VIX was 20.40. Clearly the thinking was that the inevitable convergence between the two was going to come from a lower spot VIX.
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