In preparation for trading VIX ETPs in 2016, I wanted to share the expiration date for all monthly VIX futures next year as well as the number of days in each roll period. Table below (source calendar).
Expiration Date Roll Period Length
- Ending January 20: 23 days
- Ending February 17: 19 days
- Ending March 16: 20 days
- Ending April 20: 24 days
- Ending May 18: 20 days
- Ending June 15: 19 days
- Ending July 20: 24 days
- Ending August 17: 20 days
- Ending September 21: 19 days
- Ending October 19: 20 days
- Ending November 16: 20 days
- Ending December 21: 24 days
Showing posts with label roll period. Show all posts
Showing posts with label roll period. Show all posts
2016 VIX Futures Expiration Days And Roll Period Lengths
-JW
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2015 VIX Futures Expiration Days And Roll Period Lengths
As we get ready to head into 2015, I wanted to share the expiration date for each VIX futures month next year as well as the number of days in each roll period. Table below (source calendar).
Expiration Date Roll Period Length
- Ending January 21: 22 days
- Ending February 18: 19 days
- Ending March 18: 20 days
- Ending April 15: 19 days
- Ending May 20: 25 days
- Ending June 17: 19 days
- Ending July 22: 24 days
- Ending August 19: 20 days
- Ending September 16: 19 days
- Ending October 21: 25 days
- Ending November 18: 20 days
- Ending December 16: 19 days
-JW
. . . . . . . . . . . . . .
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