Hi Matthew,
C2 normally uses the Wednesday’s closing vix spot value to settle the expired vix options and future instead of using the correct vix settlement value. For this month, the Oct. vix settlement value is 17.21. Since the market jumps today causing the spot vix down big, now around 15. Due to the big difference from the actual settlement value, it will cause bigger error of my system value. Please make an effort to close the expired vix options using the correct settlement value.
Thank you for your help
YZ from YZ income fund