Vol411 for Friday, December 4, 2020
· This week the VIX Index ranged between 20 and 22 and is currently at 20.75. The S&P 500 Index continues to push to all-time highs. Its 10-day realized volatility dropped from 15% to 11% but the 30-day realized volatility is holding steady at 19%.
· The VIX futures curve is steepening, out $0.40 to $1.90 between December and January 2021. There is also a slight curve forming for the first few months of 2021.
· The VVIX Index is trending toward the low end of its range, currently at 104.5. Out-of-the-money December VIX options are active today.
· Next week: Stimulus negotiations, vaccine updates and Consumer Price Index (CPI) and Producer Price Index (PPI) data.
To learn more visit Cboe’s website.
