Vol411 for Friday, January 22, 2021
· 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.
