Host: Dan Deming, Managing Director, KKM Financial

· The VIX Index ends the day around 21.

· The spread between February and March VIX futures is 1.60. There is a slight incline on the VIX futures curve from March to May, but it remains flat from May through the rest of the summer.

· 30-day realized volatility for the S&P 500 Index is near 10.50. The at-the-money straddle for the S&P 500 Index implied volatility is near 17.

· The VVIX Index is closing today at the low end of its range for the week, around 114.

· Out-of-the-money February VIX options call and put ratio spreads are active today.

· Next week: earnings, economic data points and new Biden administration initiatives.

To learn more visit Cboe’s website.


Host: Kevin Davitt, Senior Instructor, Cboe Options Institute
  • Yesterday, U.S. equities markets reached new all-time highs. Small-caps underperformed in a reversal of more recent macro trends.
  • Market participants are questioning what volatility will look like after the presidential transition yesterday. It is predicted that a significant implied volatility risk premium will persist.
  • One-month at-the-money SPX options are trading at an implied volatility near 17. One-month historical volatility is just over 10.
  • Volatility in 30-day Russell 2000 Index options is at 27.5, while 30-day realized volatility for Russell 2000 Index options is near 20.
  • Volume for VIX futures, Mini VIX futures and VIX options has been strong, with VIX options ADV near half a million.
  • The S&P 500 Index is essentially unchanged as of this morning and the VIX Index is measuring around 21.75 today.
  • The at-the-money February VIX futures straddle is at 5.98.

To learn more visit Cboe’s website.


Host: Joe Tigay, Chief Trading Officer, Equity Armor Investments

· Today is expiration day for January VIX options and futures, which settled at 22.59.

· The market is risk-on today, as volatility falls with the inauguration of President Joe Biden.

· Despite lower volatility, VIX futures, the SKEW Index and the VVIX Index all remain elevated. The continued elevation could be caused by low interest rates leading to more volatility.

To learn more visit Cboe’s website.


Host: Kevin Davitt, Senior Instructor, Cboe Options Institute

· The S&P 500 Index popped above 3,800 on the open today.

· The VIX Index was around 23 earlier today, after briefly pushing near 26 during last Friday’s session.

· January VIX futures are at 23 and February VIX futures are at 25.50. The spread between the February and March VIX futures is 0.80.

· The March 85 VIX options calls traded about 12,000 times today.

· Former Federal Reserve Chair Janet Yellen is participating in a Senate confirmation hearing today and will become the next Secretary of the Treasury if she is confirmed.

· Major earnings this week include Netflix, Goldman Sachs, Logitech and more.

To learn more visit Cboe’s website.


A concise weekly overview of the U.S. equities and derivatives markets

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Last week (January 11 through January 15) marked the beginning of earnings season as several big banks reported numbers for Q4 2020. The Dollar Index, which recently measured near five-year lows, rebounded slightly; however, growth underperformed in relation to value. President-elect Biden made headlines when he announced a proposed $1.9 trillion stimulus plan for COVID-19 recovery and response. The Commerce Department reported a drop in retail sales by 0.7% in December as initial and continuing jobless claims climbed higher. The S&P 500 had its worst week since the end of October, but decreased only by less than 1.5%. At the same time, the small-cap Russell 2000 Index pushed higher, gaining 37% since October 31. And finally, according to Trade Alert, the industry reached a new volume record on Friday with over 49.5 …


Host: Dan Deming, Managing Director, KKM Financial

· The VIX Index is hovering between 23.5 and 24. The index reached an intraday high of 25.80 earlier today when the S&P 500 Index was seeing some selling pressure.

· There is currently a 1.70 spread between January and February VIX Index futures and 0.60 between February and March VIX Index futures.

· 30-day realized volatility is at 10%, with implied volatility between 23.5 and 24. There has been a disconnect this week between realized volatility and market anticipation.

· January at- and out-of-the-money VIX options puts are active today.

· Next week: Inauguration Day, VIX futures expiration, stimulus negotiations and earnings.

To learn more visit Cboe’s website.


Host: Kevin Davitt, Senior Instructor, Cboe Options Institute

· Big Tech continues to climb as financials and commodities join in that growth and lead the S&P 500 Index to new all-time highs.

· The 20–22 range is the new low-end for the VIX Index, which fell below 22 today.

· January VIX Index futures are trading at 22.40 today and expire next Wednesday morning. February VIX Index futures are at 24.60, causing a split of 2.20.

· A three-way VIX Index options trade is seeing some attention today. …


Host: Joe Tigay, Chief Trading Officer, Equity Armor Investments
  • The VIX Index is lower today but staying within the 20 to 25 range.
  • The S&P 500 Index is inching closer to an all-time high of 2,824 and the market is anticipating an update on interest rates from the Fed.
  • Market participants are looking at wage and housing prices, which can heavily influence inflation.

To learn more visit Cboe’s website.


Host: Joe Tigay, Chief Trading Officer, Equity Armor Investments
  • Today, the S&P 500 Index is up slightly by 15 to 20 points, with companies like Tesla seeing strong performance.
  • The VIX Index is down to 23.5 today after last Wednesday’s rise to 28.
  • Currently, the VVIX Index is slightly elevated at 115. The SKEW Index is at 135, which is still elevated but down from nearing 150 in December.

To learn more visit Cboe’s website.


Host: Kevin Davitt, Senior Instructor, Cboe Options Institute

· The U.S. equity markets were led higher by the small-cap Russell 2000 Index last week. The Russell 2000 Index was up nearly 6% and has continued a multi-month trend of outperformance, relative to large-cap indices.

· The S&P 500 Index is down less than 1% and the 10-day realized volatility for the S&P 500 Index is up near 12.5%. The VIX Index is around 23.5, at the time of recording.

· VIX Index options ADV was around 675,000 per day last week.

· January VIX Index futures, which expire on January 20, are trading around 23.70. February VIX Index futures are trading around 25.60, with the spread between January and February VIX Index futures narrowing down to 1.85. …

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