- The VIX Index is currently around 31 after ranging between 29.25 to 35.50 throughout the day.
- The February and March VIX futures roll market is negative on the session and the curve is seeing a backwardation until the end of summer.
- 10-day realized volatility jumped from 12 to 18 and the at-the-money implied volatility straddle for the SPX has gone up from 16.50 last week to 23.50 today.
- The VVIX Index pushed higher this week to 137.
- February out-of-the-money VIX options calls are the most active today.
- A trader rolled an April 32.5 VIX options position to June 29.
- Next week: Manufacturing and unemployment data points will be released, more major earnings reports, single-list volatility and COVID-19 related news, including stimulus negotiations.
To learn more visit Cboe’s website.