Vol411 for Friday, January 29, 2021

Host: Dan Deming, Managing Director, KKM Financial
  • 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.

Get the Medium app

A button that says 'Download on the App Store', and if clicked it will lead you to the iOS App store
A button that says 'Get it on, Google Play', and if clicked it will lead you to the Google Play store