parlouster 0 Report post Posted October 1, 2020 Basic question about calculating option cash settlement: A position of 10 @ VIX Sept 2020 calls with strike price = 24.00 was settled at expiration on 9/30/20 for $1890, but my calculation it should have settled for $2120. Question is what am I doing wrong, or is there something else going on? Per CBOE, VIX options settle based on ticker VRO rather than VIX. Again per CBOE, Sept 2020 VRO was 26.12. So 10 @ 24 calls should have settled for: 10 * 100 * (26.12 - 24.00) = $2120. Or am I missing something? Commissions were charged on purchase of options, but none were noted on statement at exercise. It just shows cash settlement of $1890. Thank you. Share this post Link to post Share on other sites
Yowster 9,846 Report post Posted October 1, 2020 @parlouster I'm seeing a VXX settlement price of $25.89 ($26.12 was the Sep16 value). Share this post Link to post Share on other sites
