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Key Takeaways
- Standard VX futures settle in cash to the specified Special Opening Quotation.
- The multiplier is $1,000 per point, so a 0.40-point gain produces $400 per contract.
- Spot VIX, a dated futures price and final settlement are separate values.
- The futures-minus-spot difference is basis; a change in basis helps explain relative price movement.
- Read each ETP’s own futures-index exposure, leverage, rebalancing and fee terms.
What are VIX futures?
VIX futures are cash-settled futures contracts that let traders take a position on where the VIX will settle on a future date. Standard VIX futures trade as VX contracts and settle in cash against a specified VIX Special Opening Quotation. Each standard contract uses a $1,000 point multiplier, so every full point of price movement is worth $1,000.
The spot index measures SPX option-implied volatility for the current 30-day horizon. A VX contract references the settlement calculation on its own future date. Read the dated contract alongside spot.
Formula
Underlying notional reference = VX price × $1,000; basis = VX price − spot VIX; long contract P/L = (exit or settlement price − entry price) × $1,000.- Use the specific futures expiration throughout the calculation.
- In the worked path, basis falls from 1.50 to 0.70 points.
- Futures-price change = spot-index change + basis change: 1.20 − 0.80 = 0.40 points.
- The decomposition measures the observed changes; it does not assign the basis change entirely to elapsed time.
VIX futures example: basis and the $400 gain
Spot VIX is 15.00. A trader buys one front-month VX future at 16.50 with 30 days until final settlement. The next expiration trades at 17.80, so the curve is in contango.
- Entry notional reference: 16.50 × $1,000 = $16,500
- Initial basis: 16.50 − 15.00 = 1.50 points
- After 15 days: spot VIX 16.20 and the same future 16.90
- New basis: 16.90 − 16.20 = 0.70 points
- Futures move: +1.20 spot move − 0.80 basis change = +0.40 points
- Close at 16.90: +0.40 × $1,000 = +$400 gross profit
The same futures contract gains 0.40 points, producing $400 gross profit when closed at 16.90. Spot rises 1.20 points while basis falls 0.80 points. Those two observed changes reconcile the futures result exactly.
Fifteen days later, the same future is 16.90 and spot is 16.20. Basis is now 0.70 points. The future’s 0.40-point rise equals the 1.20-point spot increase plus the −0.80-point basis change.
Closing at 16.90 produces $400 gross profit. The observed prices establish the decomposition exactly, so track basis from the quotes rather than from elapsed time alone.
How VIX futures settle and how margin works
Daily settlement transfers gains and losses through the clearing account. For a position carried to expiration, use its final Special Opening Quotation. This settlement calculation is distinct from a contemporaneous screen reading of spot VIX.
Margin is the account funding requirement. It is separate from the price move that determines profit or loss. A five-point move changes a standard contract’s value by $5,000.
VIX futures term structure: contango and backwardation
Plot the futures prices against their settlement dates. Measure contango or backwardation for each segment. Track the selected contract’s price and basis as the position develops.
A volatility ETP adds its own investment and rebalancing rules to the contracts it references. Examine those terms separately from a single VX position. For index-options planning, compare the curve with implied volatility, realized volatility and the option structure’s payoff.
Limitations of VIX futures
- Track basis, not just spot. A VX contract references the settlement value on its own date, so a rising spot can come with a smaller futures gain, as in the example where basis fell 0.80 points.
- Re-read the curve as it reprices: each expiration is today’s price, and spot VIX can move away from it. Contango or backwardation shows how the market prices each date today, so track how your contract converges toward settlement.
- Size for the $1,000 multiplier. A five-point move is $5,000 per contract, and daily settlement requires funding losses as they occur.
- Plan an expiring position around the Special Opening Quotation. Final settlement uses that quotation, which can differ from the spot VIX reading on screen.
- Read an ETP’s own terms before you trade it. Volatility ETPs follow their own futures weights, roll rules, fees and any leverage, so their returns differ from both spot VIX and a single VX contract.
Bottom line
VIX futures give a cash-settled position on the VIX at a future date, at $1,000 per point for a standard VX contract. Track basis to separate the contract’s move from spot, read the term structure expiration by expiration, and size positions for the multiplier and daily settlement rather than for the spot index.
Clear answers
Frequently Asked Questions
Sources and Further Reading
- Cboe: VIX Futures
- Cboe: VIX Futures Contract Specifications
- Cboe: VIX Term Structure Data and Charts
- Cboe Insights: Is VIX Backwardation Necessarily a Sign of a Future Down Market?
- Fidelity: Alternative ETFs, Understanding VIX ETFs
How entries are sourced, calculated and updated: editorial methodology.