Friday, September 01, 2006

Data on $VIX options (Volatility) and interest rate options

  • $VIX Expiration Date:
    In most months VIX options expire the Wednesday before equity options expire. Some months however they expire on the Wednesday after the 3rd Friday of the month -- which is generally when equity options expire)


Reference http://www.cboe.com/Products/indexopts/vixoptions_spec.aspx


Interest Rate Options Product Specifications

Symbols:
13-Week Treasury Bill - IRX
5-Year Treasury Note - FVX
10-Year Treasury Note - TNX
30-Year Treasury Bond - TYX

Underlying:
IRX is based on the discount rate of the most recently auctioned 13-week U.S. Treasury Bill. The new T-bill is substituted weekly on the trading day following its auction, usually a Monday. FVX, TNX and TYX are based on 10 times the yield-to-maturity on the most recently auctioned 5-year Treasury note, 10-year Treasury note and 30-year Treasury bond, respectively. Options are European style exercise.

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