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December VIX settlement at 15.84

Chris McKhann (chris.mckhann@optionmonster.com)

The December VIX settlement came in at 15.84 this morning, which will be the basis for the December option prices.

The volatility index dipped to 15.41 at the open but is now at 15.71, down 0.50 points. This comes with the S&P 50 up 3.60 points to 1784.60. (The two indexes usually trade inversely.)

It is worth reminding everyone that the VIX futures settlement comes from traded SPX option prices at the open, while the spot VIX always comes from the midpoint of the bid/ask of those SPX options. Also, the VIX options are cash-settled--there are no VIX contracts to end up with--and European style, meaning that they cannot be exercised before expiration.

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