- Yesterday, the VIX Index closed at 21.24 and today the VVIX Index is down to 107, which is near its lowest levels since the start of the COVID-19 pandemic.
- The VIX futures curve climbs from now until April with the February expiration at 23.93, March at 26.67 and April at 27.89. From there, the curve flattens out until October.
- Industrywide, 38 million options contracts traded yesterday. So far in February, the options average daily volume is just over 40 million.
- The VIX options put/call ratio was 0.75 yesterday, down from 1.51 just a week before.
- Also yesterday, the June 110 calls were the most active VIX options traded, trading out-of-the-money at $0.21. Additionally, 21,000 June 16/21 VIX options puts traded and 31,000 February 45 VIX options puts traded.
To learn more visit Cboe’s website.
· The VIX Index is down to 21 after last week’s high of 37.51.
· The VIX futures curve is back in contango with a 2.60 spread between the February and March VIX futures. Volatility in the front month VIX future has been high this week, reaching 34.55 on Monday, February 1.
· 30-day realized volatility for the S&P 500 Index is at 15.50. The VVIX Index is at 107, a new low for 2021.
· Today’s most active VIX options include February 45 VIX options calls, March 23 VIX options puts and April 30 VIX options calls.
· Next week: stimulus negotiations, the last few Q4 2020 earnings calls and Consumer Price Index (CPI) data.
To learn more visit Cboe’s website.
