VIXpiration Analysis — SPY

Seasonal patterns around the VIX settlement date (calendar 3rd Fri − 30 days, CBOE rule)

What does this page show? — The VIX expiration (VIXpiration) occurs monthly — 30 calendar days before the 3rd Friday (CBOE rule). Here you see how the market typically behaves around this date: average return path, volatility patterns, significance tests and a backtest of the VIX strategy. Sidebar: set the ticker, period and event window (t−x to t+y) — all sections update automatically.
VIXpiration Path — Cumulative ∅ Return
VIXpiration t=0 = VIX settlement day (calendar 3rd Fri − 30 days)
Volatility Around VIXpiration — 1d vs. 5d

Shows the annualised volatility (cross-section std of all events) per day in the event window. 1d Vola = dispersion on exactly that day, 5d Vola = smoothed dispersion over ±2 days. A decline at t=0 signals vol compression before expiry.

VIXpiration — One Chart per Month
VIXpiration t=0 = VIX settlement day (calendar 3rd Fri − 30 days)

Each chart shows the cumulative path around the VIX settlement date of the respective month. Toggle individual months on/off in the sidebar.

Significance Test — Expiration Day (t=0)
Significance Test — Selected Period
Backtest: VIXpiration

VIXpiration strategy: Buy t-3 (Close) · Sell t+3 (Close)

Streak Analysis by Month
Heatmap: Month × Offset

Avg. daily return per month and offset day (t−N to t+N). Red = negative, green = positive.

VIX Calendar

Next 10 VIX expiration dates

Next 10 dates (table)

Methodology

VIXpiration (CBOE Rule)

  • VIX options expire exactly 30 calendar days before the SPX monthly expiry (3rd Friday)
  • Formula: VIXpiration settlement = 3rd Friday (month M) − 30 days = typically Wednesday in month M−1
  • Last trading day: Tuesday before the settlement Wednesday (no trading after that)
  • Holiday rule: If the settlement Wednesday or OPEX Friday falls on a trading holiday, expiry is moved to the previous trading day
  • Notable cases: 04/2025 (Good Friday) → VIX 18.03 Tue, 06/2026 (Juneteenth) → VIX 19.05 Tue
  • VIXpiration typically produces: IV crush afterwards, gamma squeeze and higher vol beforehand

Data Basis

  • Data source: Supabase (Yahoo Finance), updated daily
  • Settlement date: Algorithmically calculated (calendar 3rd Fri − 30 days, NYSE holiday adjustment)

Event Window

  • t=0: VIX settlement day (or next/previous trading day)
  • Return: Daily return (Close[t] / Close[t−1] − 1) × 100
  • Window: t−N to t+N (adjustable), N = number of trading days
  • Aggregation: Arithmetic mean of all events per offset

Backtest

  • Buy at close of day t−N, sell at close of day t+N
  • Return = cumulative return over the window (not annualised)
  • Equity curve = cumulative sum of all trade returns