The VIX style calculation for the March 22nd SPX options closed today at 17.06. The data is from the CBOE’s VIX Term Structure website.
The CBOE will use the March SPX options to compute the settlement value for the February VIX Futures when they expire on February 19th.
February VIX futures, on the other hand closed at 16.25, a 5% discount to the March SPX options. The blue dot on the chart marks the VIX style calculation for the March SPX options.
Normally VIX Futures trade at a 3% to 9% premium to the VIX style IVs of the SPX options that will be used to settle them.
This implies to me that profitable arbitrage of VIX futures using SPX options requires a difference between the two of around +-5% or more. Anybody have any insights on this?
For more background see: VIX Futures—Crystal Ball or Insurance Policy?