VIX quotes, options chains, and correct greeks for VIX options


Updated: Mar 10th, 2017 | |

You can get free delayed VIX option quotes at freerealtime.com or Yahoo Finance using the ^VIX symbol.  Go to here for options calenders giving the correct expiration dates (always last trading on a Tuesday, expiration on a Wednesday morning)

Schwab uses $VIX as the ticker symbol, Fidelity uses VIX, Yahoo uses ^VIX.

VIX Settlement values (the price used to evaluate loss/gain at expiration) use symbol VRO  (^VRO for Yahoo, $VRO for Schwab).

The option Greeks (e.g., delta, gamma, theta) and computed IVs for VIX options are computed incorrectly on most broker&8217;s software packages because they incorrectly use the VIX index instead of the appropriate VIX future month as the underlying.  I go through the steps in computing the correct Greeks yourself in this post.

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Friday, March 10th, 2017 |