Vol411 for Friday, January 22, 2021

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.

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