VIX Futures Explained: Contract Specs, SOQ Settlement, Term Structure and Roll Yield

VIX futures are cash-settled futures, listed on the Cboe Futures Exchange (CFE), whose final value is a special calculation of the Cboe Volatility Index made from S&P 500 option prices on expiration morning. They do not track today’s VIX: each contract prices the market’s expectation of where 30-day implied volatility will be on its own expiry date, plus a premium, and that gap is why long volatility products have historically lost money over time while the index itself went nowhere.

In short: one VX contract is the VIX level times $1,000, moves in 0.05 point ($50) increments, and expires on a Wednesday 30 days before the following month’s standard S&P 500 option expiry. At expiry it settles in cash to a special opening quotation (SOQ) of the VIX, calculated from opening prices of a single series of SPX options in a special auction. Because the VIX cannot be bought and stored, there is no cash-and-carry link between the index and the futures. The curve usually slopes upward (contango) because volatility tends to revert to its average and because sellers of volatility demand a premium. A long position that keeps rolling forward pays that slope, which is the roll yield problem in every long VIX futures fund.

This article builds on contango and backwardation and the cash settlement basics in physical vs cash settlement. It uses Cboe’s rulebook and settlement data throughout.

A common misconception: “VIX futures are a bet on the VIX”

They are a bet on a future value of the VIX. The distinction matters because the VIX is not an asset. It is a number computed from SPX option prices, and nobody can buy it today, hold it, and deliver it later. For crude oil or gold, the futures price is tied to spot by the cost of storing and financing the commodity. For the VIX there is no such tie, so the futures can sit well above or below the index for long stretches, and the only force pulling them together is the approaching expiry.

A concrete case from Cboe’s own data, worked through below: on September 22, 2026 the VIX closed at 14.21 and the October 2026 future settled at 17.36. Four weeks later the VIX had risen to 16.68, and the October future had fallen, to a final settlement of 16.82. A trader who was right that volatility would rise still lost money on a long future.

What the VIX measures

The VIX is Cboe’s estimate of the 30-day expected volatility of the S&P 500, derived from the prices of a wide strip of out-of-the-money SPX puts and calls and expressed in annualised percentage points. A VIX of 20 implies the options market is pricing S&P 500 moves of about 20% a year, or roughly 1.26% a day (20 divided by the square root of 252).

Cboe’s daily VIX history, which runs back to January 2, 1990, gives useful anchors (calculated from Cboe’s published history file through November 9, 2026):

Measure	Value
Median daily close since 1990	17.56
Mean daily close since 1990	19.42
Highest close	82.69 (March 16, 2020)
Highest intraday level	89.53 (October 24, 2008)
August 5, 2024	Intraday high 65.73, close 38.57
April 8, 2025	Close 52.33
November 9, 2026	Close 19.92

The gap between the mean and the median tells you the distribution is skewed: long calm stretches punctuated by violent spikes.

The contract: CFE Rule 1202

The specifications below come from Chapter 12 of the CFE Rulebook, revised as of September 28, 2026.

Term	Specification
Symbol	VX (weeklys VX01 through VX53); cash index VIX
Multiplier	$1,000 per index point (a VIX of 16.50 makes one contract $16,500)
Minimum tick	0.05 points = $50; spread legs and net spread prices may trade in 0.01 ($10)
Listings	Up to six weekly expirations, nine near-term serial months and five months on the February quarterly cycle
Monthly final settlement date	The Wednesday 30 days before the third Friday of the following calendar month
Holiday rule	If that Wednesday, or the Friday 30 days after it, is a Cboe Options holiday, settlement moves to the business day before the Wednesday
Last trading	Trading in the expiring contract ends at 8:00 a.m. Chicago time on the final settlement date
Hours	5:00 p.m. (previous day) to 4:00 p.m. Chicago time, with regular hours 8:30 a.m. to 3:00 p.m.
Daily settlement	Volume-weighted average price in the final 60 seconds before 3:00 p.m. Chicago time, with fallbacks
Price limits	During extended hours only: 70% above or 30% below the prior settlement
Trade at settlement	Permitted within 0.50 points of the settlement, but not in an expiring contract on its final settlement day
Clearing and settlement	Cleared by OCC; cash settlement on the business day after the final settlement date

The Mini VIX future (VXM, CFE Chapter 17) has a $100 multiplier, one tenth of VX.

Position accountability. Under Rule 1202(d), a person who holds more than the equivalent of 50,000 VX contracts net across all VX and VXM futures and VX options, or more than 30,000 in the expiring contract from the Friday before its final settlement date, or more than 10,000 in the expiring contract on the business day before it, becomes subject to accountability under CFE Rule 412A. The tightening near expiry exists because the settlement is a single morning auction, which is where a large position could do the most damage.

Working out an expiry date

The rule ties each VX contract to the SPX options that will have 30 days left on its settlement morning. Take the next three monthly contracts as of November 10, 2026:

November 2026: the third Friday of December 2026 is December 18. Thirty days earlier is Wednesday, November 18.
December 2026: the third Friday of January 2027 is January 15. Thirty days earlier is Wednesday, December 16.
May 2027: the third Friday of June 2027 is June 18. Juneteenth (June 19) falls on a Saturday in 2027, so CFE’s holiday schedule observes it on Friday, June 18, 2027, the very Friday the rule points to. The holiday clause moves settlement to the business day before the Wednesday: Tuesday, May 18, 2027. Cboe’s settlement data files for that contract are already labelled with that date.

How the final settlement value is set: the SOQ

Cboe described the settlement process in its 2024 filing to list options on VX futures (CFE Submission 24-018). The final settlement value is a special opening quotation of the VIX, computed from a special opening auction in SPX options on Cboe Options that concludes at 8:30 a.m. Chicago time on the settlement date. It differs from the normal VIX calculation in three ways:

One expiration only. The SOQ uses SPX options expiring exactly 30 calendar days later, with no interpolation between two expirations.
A fixed strike range. Cboe Options sets and announces the range of strikes by algorithm, rather than cutting off where two consecutive strikes have zero bids. Options with a zero bid inside the range can be included.
Opening trade prices, not midpoints. Each constituent option enters at its opening trade price from the auction, governed by Cboe Options Rule 5.31. Where a series does not trade, the midpoint of its opening bid and offer is used.

Two consequences follow. First, the SOQ can land some distance from the previous afternoon’s VIX close, or from the VIX printed later that morning. On October 21, 2026, the October contract’s final settlement was 16.82 while the VIX closed the day at 16.68. Second, the auction makes the settlement sensitive to orders in out-of-the-money SPX options at the open. John Griffin and Amin Shams argued in “Manipulation in the VIX?” (Review of Financial Studies, 2018) that trading patterns around settlement were consistent with manipulation; Cboe disputed the paper’s conclusions. The accountability levels that tighten in the final days, and the auction design itself, are the exchange’s controls on that risk.

Why the curve is usually in contango

With no storage arbitrage, the VIX futures curve reflects two things:

Mean reversion. Volatility tends to drift back toward its long-run level. When the VIX is below its average, futures further out price a higher level; when it spikes far above, they price a lower one. That is why the curve is typically upward sloping in calm markets and inverted (backwardated) in panics.
A risk premium. Buyers of volatility are buying insurance against equity crashes, and sellers demand compensation. Peter Carr and Liuren Wu documented in “Variance Risk Premiums” (Review of Financial Studies, 2009) that the variance implied by S&P 500 options has on average exceeded the variance subsequently realised, a negative premium for holders of volatility. The VIX futures curve inherits that premium.

Worked example 1: the curve on September 22, 2026

Cboe’s daily settlement files give the following on September 22, 2026, with the VIX closing at 14.21:

Contract	Final settlement date	Days away	Settlement	Premium to VIX
October 2026	October 21, 2026	29	17.36	+3.15 (+22.2%)
November 2026	November 18, 2026	57	18.20	+3.99 (+28.1%)
December 2026	December 16, 2026	85	18.60	+4.39 (+30.9%)
January 2027	January 20, 2027	120	19.41	+5.20 (+36.6%)
February 2027	February 17, 2027	148	19.89	+5.68 (+40.0%)
March 2027	March 17, 2027	176	20.06	+5.85 (+41.2%)
April 2027	April 21, 2027	211	20.43	+6.22 (+43.7%)

A textbook contango curve, steepest at the front.

The constant 30-day point. Interpolating linearly by days between the October (29 days) and November (57 days) contracts, the 30-day futures price is 0.964 x 17.36 + 0.036 x 18.20 = 17.39. That is what a fund holding “one month of VIX futures” was paying for exposure: 3.18 points above the index.

The roll. A fund that keeps a constant one-month exposure is always selling the first month and buying the second. Here the second month costs 0.84 points, or 4.85%, more than the first, for 28 more days of exposure. If the curve held its shape, the position would lose roughly that much a month as the futures it holds roll down toward spot, close to 63% annualised on a simple basis. Curves do not hold their shape, so this is an indicator of the drag, not a forecast.

What actually happened to the October contract. A trader buying one October future at 17.3607 on September 22 and holding to expiry:

Final settlement on October 21: 16.82.
P&L: (16.82 - 17.3607) x $1,000 = -$540.70, or a loss of about 10.8 ticks.
Over the same period the VIX rose from 14.21 to 16.68, a gain of 2.47 points.

Had the VIX simply stayed at 14.21, convergence would have cost the long about $3,150. The rise in volatility reduced the loss but did not overcome the premium already in the price.

Snapshot: the curve after a spike, November 9, 2026

The curve changes shape quickly. The VIX closed at 28.18 on November 5, 2026, then fell back to 19.92 by November 9. Cboe’s settlements that day were 20.01 for November, 19.49 for December, 20.10 for January, 20.46 for February and 21.03 for June 2027. The front of the curve had flattened and briefly kinked, the December contract trading below both its neighbours and the spot index, as the market priced the recent stress fading over the next few weeks.

How VIX futures ETPs work

Most retail exposure to VIX futures comes through exchange-traded products tracking S&P Dow Jones Indices’ VIX futures indices. A Barclays Bank PLC prospectus for its iPath VIX ETNs, filed with the SEC, sets out how the S&P 500 VIX Short-Term Futures Index works:

It holds the first and second month VIX futures, with a weighted average maturity of one month.
Each roll period starts on the Tuesday before the monthly VIX futures settlement date and runs to the Tuesday before the next one.
At the start, all the weight is in the first month. On each business day after, a fraction of the first-month position, inversely proportional to the length of the roll period, is sold and an equal notional amount of the second month bought.
The index also earns a Treasury bill return on its notional value.
The Mid-Term index works the same way across the fourth to seventh months, for a constant maturity of about five months. Later contracts move less than the front month, and the curve is usually flatter out there, so the mid-term index is less exposed both to spikes and to the steepest part of the roll.

That daily selling of the cheaper front month and buying of the dearer second month is the mechanism that turns contango into a steady loss.

Worked example 2: February 5, 2018 and the inverse ETNs

Inverse VIX products sell the same index short and rebalance daily. Their risk is not slow decay but a single day. Cboe’s settlement data for February 2 and February 5, 2018:

	February 2, 2018	February 5, 2018	Change
VIX close	17.31	37.32	+115.6%
February 2018 VX settlement	15.625	33.225	+112.6%
March 2018 VX settlement	14.975	27.975	+86.8%

On February 2 the short-term index’s roll period (January 17 to February 14, 2018) had 20 business days, with 7 remaining from February 5, so roughly 35% of the contract weight sat in February and 65% in March. Weighting the two contracts’ moves by their dollar exposure, the index rose about 96% on February 5, ignoring the small Treasury bill return. A product designed to deliver the inverse of that daily return would have lost about 96%.

Credit Suisse’s VelocityShares Daily Inverse VIX Short Term ETN (XIV) tracked exactly that. Its January 2018 pricing supplement, filed with the SEC, warned that if the underlying futures rose more than 80% in a day, it was “extremely likely” the notes would fall to 20% or less of the prior day’s value and become subject to acceleration. On February 6, 2018, Credit Suisse announced an event acceleration of XIV because its intraday indicative value on February 5 had fallen to 20% or less of the prior day’s closing indicative value, which it gave as $108.3681 for February 2. Our rough 96% loss would imply a value near $4.20. The notes were redeemed at their indicative value on the accelerated valuation date.

The arithmetic generalises. A -1x daily product cannot lose more than 100% in a day, but a +100% day in the underlying futures takes it to zero, and the VIX more than doubled that day. Prospectuses for these products state the risk plainly. Daily-rebalanced leveraged and inverse products also have to trade in the same direction as the market near the close, which adds to the move on the days that matter most. Futures fund mechanics more broadly are covered in futures ETFs explained.

How professionals use VIX futures

Described as practice, not advice:

Hedging equity tail risk. Because the VIX tends to jump when the S&P 500 falls, long VIX futures can offset some equity losses in a sell-off, at the cost of the roll in calm periods. The hedge is imperfect: futures can lag a spot spike (as the March contract did in February 2018) and they decay between spikes.
Relative value along the curve. Calendar spreads express a view on the slope rather than the level, and CFE allows spread legs to trade in 0.01 point increments.
Hedging volatility exposure elsewhere. Dealers who are short SPX options, or who run products tied to the VIX, use VX futures to manage that book.
Volatility selling. Short VIX futures positions collect the roll in contango and carry the tail risk shown above.

What can go wrong

Being right on the VIX and losing on the future. The future already prices a level; you profit only if the outcome beats that price.
Roll decay. Constant-maturity long exposure loses the curve’s slope, month after month, when the curve is in contango.
Spikes against short positions. VX futures can more than double in a day. Price limits apply only in extended hours.
Settlement risk. The SOQ comes from one morning’s auction and can differ meaningfully from the previous close.
Margin increases in stress. Clearing margins rise with volatility, often on the days a short volatility position is already losing (see SPAN and futures margin models).
Product structure risk. ETNs carry issuer credit risk and acceleration clauses; leveraged and inverse funds compound daily returns, so their long-run results differ from the index multiple.

The short version

VIX futures are cash-settled CFE contracts worth $1,000 per VIX point, expiring on a Wednesday 30 days before the next month’s SPX option expiry, and settling to a special opening quotation built from opening prices of a single SPX expiration. Because the VIX cannot be stored or delivered, futures price expected future volatility plus a premium, so the curve usually sits in contango and converges down toward spot. On Cboe’s own data from September 2026, a long October future lost $540 even though the VIX rose 2.47 points, and a constant one-month position faced a roll of about 4.85% a month. In the other direction, a single day in February 2018 lifted the short-term VIX futures index by about 96% and ended an inverse ETN. The product is explained here as a mechanism, not as a recommendation to buy or sell volatility.