Jan 16, 2013

Expiration Dates For VSTOXX, VNKY, RTSVX, VHSI

For anyone tracking all domestic and international volatility futures I put together this table with expiration dates for 2015. For every month, look up the exchange and last trading day / settlement day.
  • CBOE: expiration is 30 calendar days before options expiration, Wednesdays, AM special opening quotation. Source.
  • VSTOXX/EUREX: expiration is 30 calendar days before options expiration, most of the time same day as CBOE, Wednesdays, settled to an average index value between 11:30 and 12:00 Central European Time. Source
  • EURO STOXX 50 Variance Futures/EUREX: One business day before the third Friday of the maturity month; settlement based on the average of the EURO STOXX 50® index calculations between 11:50 and 12:00 CET on the third Friday of the maturity month. Source.
  • RTSVX/MOEX: expiration is 7 calendar days before options expiration (which is around 15th of the month). Settled to the average index value of the evening trading session. Source.
  • VHSI/HKEX: 30 calendar days prior to the second last business day of the next month, settled to the average of the last half hour. Source, source.
  • VNKY/OSAKA: last trading day is the day preceding the day that is 30 days prior to the 2nd Friday of each month, Tuesdays. Source, source.
  • INDIA VIX/NSE: weekly contracts, expiring on Tuesdays. Source.
  • V-KOSPI/KRX: day after 30 calendar days prior to the following month's KOSPI200 options last trading day. Source.
  • AVIX/ASX: expiration is 30 days prior to the third Thursday of the following calendar month, generally day before CBOE volatility expiration; settling into the average value of the S&P/ASX 200 VIX between 11.30am and 12.00pm on that day. Source, source.


Volatility Futures Expiration Dates

     
CBOE VSTOXX MOEX HKEX OSAKA KRXASX
JAN 21 21 6 jan 28 13 1320
FEB 18 18 6 mar 2 9 1017
MAR 18 18 6 mar 31 101017
APR 15 15
apr 29 71414
MAY 20 20
jun 1 121219
JUN 17 17
jul 2 9916
JUL 22 22 jul 30 1421
AUG 19 19 aug 31 1118
SEP 16 16 sep 30 815
OCT 21 21 oct 29 1320
NOV 18 18 dec 1 1017
DEC 16 16 dec 30 815

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