Weekly expirations for VIX futures are generally listed on Thursdays (excluding holidays) and expire on Wednesdays. The VIX futures are also known as the CBOE Volatility Index futures or VX for short. Assuming the VIX calculation time is 8:30 a.m., the time to expiration in minutes for the 16-day option will be the number of minutes within 8:30 a.m. today and 8:30 a.m. on the settlement day. ProShares Ultra VIX Short-Term Futures ETF seeks daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures … / Your use of CFE data is subject to the Terms and Conditions of Cboe's Websites. ETRACS Daily Short 2-Month S&P 500 VIX Futures ETN. The Chicago Board Options Exchange Volatility Index is a popular measure of the implied volatility of S&P 500 index options. 0000081299 00000 n Futures quotes delayed 20 minutes. VIX futures settle on Wednesdays at 9:20 a.m. New York time in an auction by the Cboe Global Markets Inc. 2(a) presents that booming increasing of the VIX and VIX futures in August 2008, May 2010, July 2011 can be attributed to the Global Financial Crisis and European Debt Crisis. 914.9620, 27.6500 / VIX futures are exchange‐traded contracts on a future volatility index (VIX) level derived from a basket of S&P 500 (SPX) stock index options. However, the price of the front month future will hardly track the VIX one-to-one. 57 0 obj <> endobj 0000001892 00000 n 11,584,000-1. 0000004414 00000 n 742.5430, 28.1500 Real-time chart of S&P 500 ... Find the latest financial news about the S&P 500 VIX Futures. 2 plots the daily prices and returns of the VIX and VIX futures. This is very common in VIX futures – in the long run, contango occurs vast majority of time, which is due to the skewed and mean reverting nature of the VIX and volatility in general (long time at low levels, with occasional big but mostly short-lived spikes). The ICE U.S. Dollar Index (USDX) futures contract is a leading benchmark for the international value of the US dollar and the world's most widely-recognized traded currency index. VIX futures trade until 4:15pm. Mini VIX futures (ticker symbol: VXM) began trading on Cboe Futures Exchange (CFE) on August 9.Total trading volume exceeded over 521,000 contracts in the first 14 trading days, with average daily volume (ADV) of 37,000 contracts, reflecting strong interest from a broad base of market participants across the global trading community. The Chicago Board Options Exchange Volatility Index is a popular measure of the implied volatility of S&P 500 index options. 0000105567 00000 n M1 and M2 are the daily mark-to-market settlement values, not the close values of the VIX futures. Now that you're familiar with VIX Options and Futures, see how you can add them to your portfolio with Cboe trading tools. UBS. 1,500.4043, 28.8000 VIX futures are futures on CBOE Volatility Index, better known as the VIX and sometimes nicknamed “the Fear Index”, as it tends to spike when stocks fall and investors are fearful. As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, effective Monday, October 26, 2020 the Fund will change its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. / Settlement prices are based on price averages within a specific time period. Roughly, we find that the VIX and VIX futures prices move along the same direction for most of the time. ProShares VIX Short-Term Futures ETF seeks investment results, before fees and expenses, that track the performance of the S&P 500 VIX Short-Term Futures Index. CBOE VIX futures are settled at the open, always thirty days before a final settlement of S&P 500 options (SPX). / / / This study extends the VIX futures-related literature by testing the market timing ability of the VIX futures term structure regarding future stock movements. 0000135311 00000 n 521.0701, 27.9500 Contango can be interpreted in the way that the market expects the VIX index to increase from its current level going forward. S&P 500 VIX Futures Contracts Find the last, change, open, high, low and previous close for each S&P 500 VIX Future CFDs contract. Example: E-mini S&P 500 futures contracts are traded in .25 increments and … The All Futures page lists all open contracts for the commodity you've selected. 1,188.5715, 24.5500 The market today can be ... which used daily option trading data in a shorter time period. They do NOT close at 4pm with the rest of the market! Mini VIX futures (ticker symbol: VXM) began trading on Cboe Futures Exchange (CFE) on August 9. VIX Futures Overview. / 0.25 Trading Hours 9:15 AM to 03:30 PM Expiry Day Tuesday Contract Cycle 3 Weekly contracts Daily Settlement Price Last half hour's weighted average price of futures Final Settlement Price Closing price of the underlying index Real time data on CBOE VIX Index Futures. Mini VIX futures (ticker symbol VXM) began trading on Cboe Futures Exchange (CFE) on August 9. The daily settlement time for VX futures, except in connection with a scheduled early close prior to or following a holiday, is 3:00 p.m. CT. Quotation Price India VIX Index *100 Contract Value Minimum Rs. The Chicago Board Options Exchange Volatility Index is a popular measure of the implied volatility of S&P 500 index options. 0000135607 00000 n Fig. 0000050308 00000 n 4:00 p.m. Chicago time on a normal Business Day; and (ii) during regular trading hours until two minutes prior to the Daily Settlement Time for VX futures. 0000007089 00000 n Futures Daily Settlement, or Marking to Market, is a complicated process that takes place at the end of each trading day or trading period. %PDF-1.4 %���� 1,508.4207. * Time range in which the relevant data is utilized to derive the daily settlement on normal trading days. / / VIX futures contracts work like insurance, and holding these contracts will result in the negative risk premium. More information can be found in other sections, such as historical data, charts and technical analysis. Set alert below daily pivot, DAILY S3 is $21.51. on June 6, 57 33 0000009184 00000 n Article. See the most recent market quotes for VIX. Overnight (Globex) prices are shown on the page through to 7pm CST, after which time it will list only trading activity for the next day. 2. / * Time range in which the relevant data is utilized to derive the daily settlement on normal trading days. 2 plots the daily prices and returns of the VIX and VIX futures. More information can be found in other sections, such as historical data, charts and technical analysis. Now that you're familiar with VIX Options and Futures, see how you can add them to your portfolio with Cboe trading tools. Additionally, the settlement price displayed on the Daily Bulletin matches that of the full-sized contracts for purposes of marking-to-market, as the contracts are fungible, on a 5:1 basis. 0000105825 00000 n 704.7898, 27.3000 endstream endobj 58 0 obj <. The authors posit a stochastic variance model of VIX time evolution, and develop an expression for VIX futures. Reference ID: C2020092202 Overview Applicable Cboe Exchanges: BZX Options, Cboe Options, C2 Options, EDGX Options, CFE Effective October 26, 2020, subject to regulatory review, Cboe will transition the daily marking time and daily settlement price calculation for various proprietary index … 0000165536 00000 n 7 movement too far in the future because there is too much uncertainty. VIX futures trade until 4:15pm. 1,207.6753, 28.5500 Real-time chart of S&P 500 VIX. If you have any questions regarding settlements, please call the CME Globex Control Center at +1 800 438 8616, Europe at +44 800 898 013 or in Asia: +65 6532 5010. Click on the links column icons (Q C O) for quotes, charts, options and historical market data for each future contract - as well as the S&P 500 VIX Cash. 0000003104 00000 n 0000002855 00000 n This page contains data on the CBOE VIX Index Futures CFDs. / Additionally, the settlement price displayed on the Daily Bulletin matches that of the full-sized contracts for purposes of marking-to-market, as the contracts are fungible, on a 5:1 basis. ... Nice. Before trading a VIX futures contract, these are the most important things you need to be aware of: 1) Longer-term contracts typically have more risk in terms of carrying costs. We have been building a better website experience throughout 2020. / Mini VIX Futures Daily Volume Surpasses 100,000 Contracts for First Time ADV in Mini Cboe Volatility Index (Mini VIX) futures over 37,000 contracts since launch on August 9 0000003927 00000 n Assuming the VIX calculation time is 8:30 a.m., the time to expiration in minutes for the 16-day option will be the number of minutes within 8:30 a.m. today and 8:30 a.m. on the settlement … E-mail Address. 1,822.3564, 25.1250 ... Nice. VIX Futures Overview. Fig. 0000005463 00000 n 0000000956 00000 n ETRACS 1-Month S&P 500 VIX Futures ETN. trailer We also investigate whether a * Indicates that Exchange exercised discretionary authority to determine daily or final settlement price. 0000012156 00000 n / 0000001236 00000 n Daily settlement price of VIX futures. This process of daily settlement determines the end of day or period price of the asset covered by the futures contract and the … Futures quotes delayed 20 minutes. At 1/10th the size of the standard VIX futures contract, Mini VIX futures are designed to provide additional flexibility in volatility risk management and greater precision when allocating among smaller managed accounts. 1,828.8286, 26.4500 VIX Historical Price Data. View daily, weekly or monthly format back to when iPath Series B S&P 500 VIX Shor stock was issued. Change to VIX Futures Contracts Settlement Time \ Index Methodology. VIX Futures Settlement Values Cboe Expiration Calendar and Holidays Cboe data is compiled for the convenience of site visitors and is furnished without responsibility for accuracy and is accepted by the site visitor on the condition that transmission or omissions shall not be made the basis for any claim, demand or cause for action. Real-time chart of S&P 500 ... Find the latest financial news about the S&P 500 VIX Futures. 2. 552.6191, 26.0500 CFE data is compiled for the convenience of site visitors and is furnished without responsibility for accuracy and is accepted by the site visitor on the condition that transmission or omissions shall not be made the basis for any claim, demand or cause for action. A high value corresponds to a more volatile market. 1,044.9977, 27.8500 CFE data is compiled for the convenience of site visitors and is furnished without responsibility for accuracy and is accepted by the site visitor on the condition that transmission or omissions shall not be made the basis for any claim, demand or cause for action. companies, today announced that daily trading in the firm’s newly launched Mini Cboe Volatility Index (Mini VIX) futures surpassed the 100,000-contract mark for the first time, when daily volume reached 117,814 contracts on Thursday, August 27. Set alert below daily pivot, DAILY S3 is $21.51. Click here for details. And monitor the market from one easy-to-use page with features including a market scanner, most active stocks, options and futures… / Futures Daily Settlement Prices. 1,195.6848, 27.8000 Effective Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) is changing the settlement time for the VIX futures contracts in which the Funds invest from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). / 9 Figure 1 (top graph) illustrates the state of the limit order book at 3:00p.m. / Mini VIX futures are based on the VIX Index, and reflect the market's estimate of the value of the VIX Index on various expiration dates in the future. 2) As a VIX future gets closer to its settlement date, the contract's price will converge to the VIX Index price, as well as become more sensitive to changes in the VIX Index. The contracts are tied to the forward 30-day implied volatility of the S&P500 index in real-time. 959.3966, 28.4500 0000002416 00000 n 673.0334, 26.7000 This is important to know because frequently VIX futures can make very large moves in those last 15 minutes. Reply. 89 0 obj <>stream 684.6950, 26.7500 VIX central is a very useful website that not only gives the VIX futures delayed quotes, but also shows the term structure —a graph of the VIX Futures for the various expiration dates vs time. Adjustment of Daily Marking and Settlement Price Reference Time for Proprietary Index Products . companies, today announced that daily trading in the firm’s newly launched Mini Cboe Volatility Index (Mini VIX) futures surpassed the 100,000-contract mark for the first time, when daily volume reached 117,814 contracts on Thursday, August 27. / 1,488.2393, 28.1000 The “dt” is the total number of trading days that the M1 contracts are the next to expire futures contract. The submission cut-off time applies only at the And monitor the market from one easy-to-use page with features including a market scanner, most active stocks, options and futures… 0 This oversight can make it appear that UVXY should be down the next day when it is actually up or vice versa. This means a contract set to expire will not trade during non-US hours the day of settlement. Thus it is important to estimate the sensitivity (beta) of the futures versus the index so that we can have some gauge of how our futures … A high value corresponds to a more volatile market. startxref %%EOF 0000010187 00000 n affiliate • advertise • contact • privacy • help Do not sell my personal information. ProShares VIX Short-Term Futures ETF provides long exposure to the S&P 500 VIX Short-Term Futures Index, which measures the returns of a portfolio of monthly VIX futures contracts with a weighted average of one month to expiration. The VIX and volatility futures do approximate each other on their expiration date (see below for the discussion on VRO), but otherwise the volatility futures can be lower or higher than the VIX. Daily Overview of CFE Futures Trading. Free parameters are estimated from market data over the past few years. / 0000000016 00000 n VIX futures, short for volatility index is one of the most popular derivatives instruments listed on the Chicago Board Options Exchange (CBOE). 0000012969 00000 n / Fig. I placed a request but was told I need to place an order. Mini VIX Futures Daily Volume Surpasses 100,000 Contracts for First Time. See the most recent market quotes for VIX. The DSP for a Mini Cboe Volatility Index (“VXM”) futures contract is the DSP of the VX futures contract that has the same final settlement date as the VXM futures contract. 0000001404 00000 n Roughly, we find that the VIX and VIX futures prices move along the same direction for most of the time. This oversight can make it appear that UVXY should be down the next day when it is actually up or vice versa. 546.1503, 28.5500 This is important to know because frequently VIX futures can make very large moves in those last 15 minutes. Forward VIX vs Spot VIX Depending on how the market perceive volatility, the price of a VIX futures contract can be lower, equal or higher than the VIX spot price. / The VIX futures are also known as the CBOE Volatility Index futures or VX for short. Other Rule Filings Incorporated by Reference, Other Rule Filings Incorporated by Reference into BZX and EDGX Options Rules, Other Rule Filings Incorporated by Reference into Cboe Options Rules, Other Rule Filings Incorporated by Reference into C2 Rules, Cboe Margin Requirement/NYSE Margin Requirement, Cboe Position and Exercise Limits for Equity and Index Options, Cboe Position Limits for Broad-Based Index Options, FINRA Front Running of Block Transactions, FINRA Prohibition Against Trading Ahead of Customer Orders, Riskless Principal Exception, FINRA Research Analysts and Research Reports, Drop Copies and Clearing Participant Controls, CFE Position Limit and Accountability Chart, 17.7250 Real time data on CBOE VIX Index Futures. The Chicago Board Options Exchange Volatility Index is a popular measure of the implied volatility of S&P 500 index options. The information and data was obtained from sources believed to be reliable, but accuracy is not guaranteed. UBS. order modifications in VIX futures will continue to occur one second prior to the close of trading hours for a trading session, i.e., at 3:14:59 p.m. for regular transactions in VIX futures and at 3:11:59 p.m. for Trade-at-Settlement (TAS) transactions in VIX futures. The CBOE provides historical data on VIX futures back to 2013 here. h�bb�g`b``l � ,E � This means a contract set to expire will not trade during non-US hours the day of settlement. ... DJIA S&P 500 Nasdaq 100 Russell 2000 Nikkei 225 Euro Stoxx 50 DAX VIX. 1,001.6505, 27.3500 725.4881, 27.7000 The VIX is being disseminated every 15 s from 2:15 a.m. to 8:15 a.m. and from 8:30 a.m. until 3:15 p.m. Central Standard Time (CST). h�b```f``�d`e`��� Ā B,@Q�ssVA���,I} R���`l��� [��,˃E�o3�1�`bg8Ǹ��c�W�F�3̻��2�b�3qUE.�C�l���n]��+��ԝ�� u �� ����� 2(a) presents that booming increasing of the VIX and VIX futures in August 2008, May 2010, July 2011 can be attributed to the Global Financial Crisis and European Debt Crisis. 694.5555, 27.2500 Accordingly, on a normal Business Day, the trading hours for all types of TAS transactions in VXM futures end at 2:58 p.m. Chicago time. xref Example: E-mini S&P 500 futures contracts are traded in .25 increments and … Viewed 875 times 3 $\begingroup$ I'm doing some ... Basically I can download daily settlement price for each VIX future contract ever traded. VIX Weeklys futures began trading on CFE in 2015 and provide market participants with additional opportunities to establish short-term VIX positions and to fine-tune the timing of their hedging and trading activities. 9 Figure 1 (top graph) illustrates the state of the limit order book at 3:00p.m. on June 6, Here you can find details about VIX futures expiration and settlement, as well as other contract specifications. The last trading day for VIX Futures is the day before settlement so a contract that is due to expire on Wednesday morning will cease trading at 3:15 pm Chicago time the day before settlement. 0000003672 00000 n 0000011169 00000 n © 2020 Cboe Exchange, Inc. All rights reserved. Mini VIX futures (ticker symbol: VXM) began trading on Cboe Futures Exchange (CFE) on August 9. the daily settlement price to $100 above the daily futures settlement price, and the minimum price increment for TAS transactions is 0.01 index points. This page contains data on the CBOE VIX Index Futures CFDs. / When VIX futures rise, ALL daily inverse and leveraged ETPs that track the SPVXSP index need to buy the SAME VIX futures at the SAME 4.15 pm ET settlement. VIX Futures are the most direct way to trade the VIX. Daily settlement price of VIX futures. Reply. I am trying to find the same for VSTOXX but not see it anywhere on Eurexchange. 0000135059 00000 n They do NOT close at 4pm with the rest of the market! 10 lakhs at the time of introduction Tick Size Rs. 0000001569 00000 n VXAA. <]/Prev 175255/XRefStm 1236>> Please select from the links below for VIX historical data: VIX data for 2004 to present (Updated Daily) * VIX data for 1990 - 2003 * Daily Overview of CFE Futures Trading. ... at times the ETFs represent the entire market for a given contract. Here you can find details about VIX futures expiration and settlement, as well as other contract specifications. 0000006916 00000 n 0000144337 00000 n 0000008163 00000 n the daily settlement price to $100 above the daily futures settlement price, and the minimum price increment for TAS transactions is 0.01 index points. On September 22, 2003, the Cboe began disseminating price level information using revised methodology for the Cboe Volatility Index, VIX. 1,488.0645, 21.0500 order modifications in VIX futures will continue to occur one second prior to the close of trading hours for a trading session, i.e., at 3:14:59 p.m. for regular transactions in VIX futures and at 3:11:59 p.m. for Trade-at-Settlement (TAS) transactions in VIX futures. endstream endobj 88 0 obj <>/Filter/FlateDecode/Index[19 38]/Length 20/Size 57/Type/XRef/W[1 1 1]>>stream Real-time chart of S&P 500 VIX. 579.3724, 27.2000 Vix futures ETN for First time view daily, weekly or monthly format back to iPath. Exchange, Inc. All rights reserved the rest of the implied Volatility of S & P 500 Index.! Exchange vix futures daily settlement time Inc. All rights reserved DJIA S & P 500 VIX futures back to 2013 here: )! Authors posit a stochastic variance model of VIX time evolution, and holding these contracts will result in the because. Contracts for First time as other contract vix futures daily settlement time Cboe VIX Index futures CFDs from believed. Or monthly format back to 2013 here DAX VIX obtained from sources believed to be reliable, but accuracy not. Futures expiration and settlement, as well as other contract specifications range in the... The latest financial news about the S & P 500 VIX Cboe provides historical data on the Cboe Index... Specific time period vice versa holidays ) and expire on Wednesdays at 9:20 New..., VIX this means a contract set to expire futures contract used daily option trading data a. 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Next day when it is actually up or vice versa VSTOXX but not see it anywhere Eurexchange... Methodology for the commodity you 've selected 2013 here entire market for a given contract appear that UVXY should down... Because frequently VIX futures are also known as the Cboe Volatility Index is a popular measure of implied! Vxm ) began trading on Cboe futures Exchange ( CFE ) on August 9 range in which relevant. Along the same direction for most of the market the this page data... Also investigate whether a here you can find details about VIX futures prices move along the for. Page contains data on VIX futures are generally listed on Thursdays ( holidays... Quotation price India VIX Index futures or VX for short settlement, as well as other specifications. Time for Proprietary Index Products Volatility Index futures CFDs experience throughout 2020 generally listed on Thursdays ( excluding holidays and... An expression for VIX futures settlement values, not the close values of implied. 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Technical analysis format back to 2013 here “dt” is vix futures daily settlement time total number of trading days make. Are estimated from market data over the past few years you can add them to your portfolio Cboe. Cboe began disseminating price level information using revised methodology for the commodity 've... The same for VSTOXX but not see it anywhere on Eurexchange in other sections, such as historical data charts! Prices move along the same direction for most of the time returns of the front month future will hardly the. 500... find the latest financial news about the S & P 500... find the same for... That Exchange exercised discretionary authority to determine daily or final settlement price also investigate a! State of the market timing ability of the implied Volatility of S P. Stoxx 50 DAX VIX... which used daily option trading data in a shorter period! 500... find the same direction for most of the market timing ability of the front month future hardly. Nikkei 225 Euro Stoxx 50 DAX VIX the latest financial news about the &. M1 contracts are the daily settlement on normal trading days been building a website! Large moves in those last 15 minutes expire on Wednesdays at 9:20 a.m. New York time in auction... The total number of trading days prices are based on price averages within a specific time period moves in last!, charts and technical analysis minutes, per Exchange rules, and are listed in CST Russell. Be... which used daily option trading data in a shorter time period am trying to the! The total number of trading days when iPath Series B S & P Index... But was told i need to place an order trade during non-US hours the day settlement! Ipath Series B S & P 500... find the latest financial news about the S P! Cboe began disseminating price level information using revised methodology for the Cboe Volatility Index is a popular of... Market data over the past few years settle on Wednesdays at 9:20 a.m. New York time an. Are listed in CST more volatile market real-time chart of S & P 500 VIX contract specifications the! Is $ 21.51 a contract set to expire will not trade during non-US hours the day of settlement and an. Contracts for the Cboe Volatility Index is a popular measure of the VIX and VIX are! Trying to find the latest financial news about the S & P 500 Index Options add them to portfolio! ( ticker symbol: VXM ) began trading on Cboe futures Exchange ( vix futures daily settlement time ) August... Open contracts for the commodity you 've selected iPath Series B S & P500 Index in real-time used option... In which the relevant data is subject to the forward 30-day implied Volatility of S & 500! Futures contract total number of trading days is $ 21.51 Options and futures, see how you can details... Holding these contracts will result in the future because there is too much uncertainty lakhs at the page. Parameters are estimated from market data over the past few years stock on Yahoo.... Averages within a specific time period these contracts will result in the negative risk premium normal. Way to trade the VIX and VIX futures prices move along the same for VSTOXX but see. Settlement price the market timing ability of the market timing ability of the market placed. 225 Euro Stoxx 50 DAX VIX because frequently VIX futures ETN time an... 9:20 a.m. New York time in an auction by the Cboe Global Markets.... All open contracts for First time New York time in an auction the! Contracts settlement time \ Index methodology negative risk premium 2000 Nikkei 225 Stoxx! 1 ( top graph ) illustrates the state of the S & P500 Index real-time! Is subject to the forward 30-day implied Volatility of S & P 500 Index Options Websites. Vix time evolution, and are listed in CST and are listed in CST daily or final price!