The CBOE Volatility Index (VIX) is a key benchmark of expected market volatility, as measured by options prices on the S&P 500 index (SPX).
Important differences between volatility options and other index options:
Quoting – Volatility-related index options quotes are based on the expected value at expiration, and are not the same as the "spot" price, which represents the current index value.
Expiration and settlement – Volatility-related index options normally expire on a Wednesday, with settlement completed the following day. The last trade day is typically the Tuesday before expiration.
The following CBOE volatility indexes are available:
Volatility-Related Index Underlying Index* Index Symbol* Settlement Symbol*
CBOE Volatility Index® S&P 500 (SPX) VIX VRO
CBOE NASDAQ-100 Volatility IndexSM NASDAQ-100 (NDX) VXN VSX
CBOE Russell 2000 Volatility IndexSM Russell 2000 (RUT) RVX RSL
* To access quotes or options chains through Power E*TRADE Pro or E*TRADE MarketTrader, enter a dollar sign before the symbol – for instance, $VIX instead of VIX.
VIX Q&A
http://www.cboe.com/micro/vix/VIXoptionsFAQ.aspx
Expiration
VIX index options normally expire on a Wednesday-more specifically, on the Wednesday that is 30 days prior to the next Friday SPX options expiration. (This is an important distinction from other index options, which expire on Fridays.) Typically, the last trade day for VIX index options is the Tuesday before Wednesday expiration.
The timing of expiration each month depends on how many weeks there are between SPX options expirations:
When there are four weeks between SPX expirations - VIX index options expire on the Wednesday before the third Friday of the month (not necessarily the third Wednesday)
When there are five weeks between SPX expirations - VIX index options expire on the Wednesday after the third Friday
Expiration dates for VIX index options in the second half of 2008 are:
August 20, 2008
September 17, 2008
October 22, 2008
November 19, 2008
December 17, 2008
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