The CBOE Volatility Index's March futures settled this morning at 12.64, which is the price that any remaining March VIX options will be based on.
The VIX closed yesterday at 14.39 but fell as low as 12.45 this morning and now sits at 12.78, so the settlement is right in line with that action. The March futures finished yesterday's session at 14.80, so those holding out-of-the money puts may have made big bucks, while those holding 13 or 14 calls saw their gains disappear overnight.
Yesterday saw the biggest volume ever for the VIX options as more than 1.3 million contracts changed hands, and it was the second best day for the futures. So it could be that many closed out their March positions before this morning's settlement.
The now front-month April VIX futures are down 0.65 to 14.75, back to carrying a 2 point premium over the spot volatility index.
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