VIX Could Be Volatile on Expiration Even If Stocks Are Flat

(Bloomberg) -- Tomorrow’s VIX options expiration could prove extra volatile for the gauge.

The Cboe Volatility Index tends to have bigger swings on days its contracts mature, with intraday moves of 13 percent on average on the past 12 monthly expirations. That compares with a mean daily fluctuation of 10 percent in the year through January. Of course, that was before this month, when a record VIX surge on Feb. 5 sent its average intraday move for February to almost 60 percent.

VIX Could Be Volatile on Expiration Even If Stocks Are Flat

What’s more, the recent market turmoil has led to a surge in the number of VIX contracts, and put open interest almost tripled to a record since the Jan. 17 expiration. Counting puts and calls, there are 15.4 million VIX options outstanding, and 40 percent of them mature tomorrow.

While most stock-index options expire on the third Friday of every month, monthly VIX contracts expire two days earlier, on the Wednesday.

©2018 Bloomberg L.P.

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