Vol411 for Friday, November 13, 2020

Host: Dan Deming, Managing Director, KKM Financial
  • The VIX Index is pushing down near the 23 level, hovering around its lowest level in the past two and a half months.
  • 10-day realized volatility saw an 11-point drop from 30 to 19, and 30-day realized volatility is holding around 21.
  • The VIX futures term structure is shifting towards contango as it moves toward expiration next week. The November — December VIX futures widened out to $1.20 and December — January is at $0.70.
  • The VVIX Index is down from 120 to 115 today, which is still elevated.
  • Next week: expirations, market trends with pressure on the VIX Index, retail sales numbers, big box earnings and stimulus talks.

To learn more visit Cboe’s website.

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