Vol411 for Friday, February 5, 2021
· 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.
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