VIX Futures Settlement Changes

Stuart Barton, PhD, CFA I February 9, 2021

There has been some confusion over the process and timing of the CBOE Futures Exchange’s (CFE) new VIX futures settlement and new Trade At Settlement (TAS) market hours.

On January 19, 2021, the CFE clarified earlier announcements regarding the new settlement process and extended TAS market hours for VIX futures.[1] Specifically, the CFE clarified that effective January 25, 2021, the VIX futures settlement will be determined from a Volume Weighted Average Price (VWAP) of executions in both the full size VIX futures (the VX futures) and the mini VIX futures (VXM futures) over the last 30 seconds of regular trading between 3:59:30 and 4:00:00 ET. This was an update to an earlier announcement on November 6, 2020 that the VWAP would take place over the final 60 seconds.[2]

Furthermore, on December 23, 2020 the CFE has announced that the closing time of the TAS market in VIX futures would be extended from 3:58:00 to 4:00:00 ET and this extension was confirmed in the January 19, 2021 announcement.[3]

Invest in Vol uses Exchange Traded Products linked to VIX Futures to access volatility related risk premiums in our Smart Vol managed accounts. Invest In Vol believes that determining VIX futures’ settlement prices from an average over a period of time is more reliable than relying on bid and offer prices at the market close. Invest In Vol therefore welcomes these changes and does not expect to alter its Smart Vol methodology in response.

[1] [2] [3]

About Invest In Vol

Invest In Vol is an SEC Registered Investment Adviser (RIA) that exclusively focuses on investing in volatility as an asset class. Our team works with clients to deepen their understanding of volatility investing and deliver them the most investable volatility products.


This article is not intended as, and does not constitute, investment advice. Investing involves risk, including the possible loss of principal. Past performance does not guarantee future results. All material presented is compiled from sources believed to be reliable and current, but accuracy cannot be guaranteed. This is not to be construed as an offer to buy or sell any financial instruments and should not be relied upon as the sole factor in an investment making decision. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. The views and opinions expressed are those of the author at the time of publication and are subject to change. There is no guarantee that these views will come to pass. As with all investments, there are associated inherent risks. Please obtain and review all financial material carefully before investing. Investments are subject to change without notice.

For a more complete disclosure please visit

  • Black Twitter Icon
  • Black LinkedIn Icon

Investing involves risk, including the possible loss of principal and fluctuation of value. Past performance is no guarantee of future results. Carefully consider the investment objectives, risk factors, charges and expenses before investing. Invest In Vol, LLC is the investment advisor for the separately managed accounts (SMAs) and advisory services; it provides investment advisory services to clients and does not sell securities. For a more complete description of our business, Form ADV 2A with accompanying brochures, and disclosures & definitions click here.

*The Invest in Vol Smart Vol Strategy was ranked number one in the Stock Index category, number two in the Systematic Traders category, and number two in the Short Term category BarclayHedge for 2020. Managers are ranked and nominated for awards based on quantitative data collected and analyzed by BarclayHedge for various award categories. Invest In Vol does not pay BarclayHedge for inclusion in rankings or nominations. Past account performance is not indicative of future results and individual account performance may vary. BarclayHedge makes no representation or warranty of any kind regarding the adequacy, accuracy or completeness of any information used in its rankings. No award should be construed by clients or prospective clients as a guarantee that they will experience a certain level of performance if engaged or continue to be engaged, nor should they be construed as a current or past endorsement of Invest In Vol by any of its clients. A more complete disclosure is available here:

© 2021 by Invest In Vol, LLC