Perhaps you are referring to the discrepancy in final trading day, since the options stop trading on the close Tuesday, whereas the futures continue to trade the premarket on Wednesday. (This would not have forward vol implications for the synthetics, however, since any time the options are tradable, they remain arbitrage-bound with the futures.)
Such an expiration timing offset would be interesting, though, if it were real! (I assume, a little *too* interesting for the VIX options market makers to stomach.)
Thank you for this correction. I looked up the product specs and honestly i don't know why i misread this. I knew VIX options can't be traded on their settlement date and don't think that was part of the confusion but now i'm worried about early senility. In any case, that was careless and I appreciate the correction. I will edit it on the permapost versions on the blog
VIX options and VIX futures actually settle on the same Wednesday using the same Special Opening Quotation (SOQ), which has the ticker VRO.
https://www.cboe.com/tradable-products/vix/faqs/#product-and-settlement-information
Perhaps you are referring to the discrepancy in final trading day, since the options stop trading on the close Tuesday, whereas the futures continue to trade the premarket on Wednesday. (This would not have forward vol implications for the synthetics, however, since any time the options are tradable, they remain arbitrage-bound with the futures.)
Such an expiration timing offset would be interesting, though, if it were real! (I assume, a little *too* interesting for the VIX options market makers to stomach.)
Thank you for this correction. I looked up the product specs and honestly i don't know why i misread this. I knew VIX options can't be traded on their settlement date and don't think that was part of the confusion but now i'm worried about early senility. In any case, that was careless and I appreciate the correction. I will edit it on the permapost versions on the blog