A Brief History of VIX Settlement

I received a question via Facebook regarding VIX settlement. December VIX options and futures settled on the open yesterday at 16.69 and VIX has been at relatively low levels as of late. I believe that prompted a friend of the CBOE, Mark Mercuri, to ask what was the lowest ever VIX settlement price. Luckily this data was at my fingertips (on my hard drive) and I created the chart below that shows all VIX settlement prices from 2004 through this week. The lowest ever VIX settlement was 9.95 in February 2007. I have highlighted this on the chart. Since we are playing with numbers I also pointed out the highest ever VIX settlement, 67.22 from November 2008. That was a time many market participants may try to forget. Of course if you happened to be long November VIX futures you remember this period fondly.

VIX Settlement History.jpg