VIX quotes, options chains, and correct greeks for VIX options

You can get free delayed VIX option quotes at or Yahoo Finance using the ^VIX symbol.  Go to here for options calenders giving the correct expiration dates (always last trading on a Tuesday, expiration on a Wednesday morning)

Schwab uses $VIX as the ticker symbol, Fidelity uses VIX, Yahoo uses ^VIX.

VIX Settlement values (the price used to evaluate loss/gain at expiration) use symbol VRO  (^VRO for Yahoo, $VRO for Schwab).

The option Greeks (e.g., delta, gamma, theta) and computed IVs for VIX options are computed incorrectly on most broker’s software packages because they incorrectly use the VIX index instead of the appropriate VIX future month as the underlying.  I go through the steps in computing the correct Greeks yourself in this post.

First posted on

Click here to leave a comment

Leave a Comment