· November is currently the highest price on the VIX futures curve, which remains in backwardation into 2021.
· There has been a big decrease week-over-week in realized volatility. The 10-day is down from 19% to 14.5% and 30-day is down from 23% to 17.5%.
· The VVIX Index is currently holding firm around the 119 level for the second week in a row. Recently, there is more demand for puts than calls. Today, a November 20/26 VIX options put spread traded 15,000 times and a January 21/22/24 VIX options put spread traded 10,000 times.
· Next week: earnings will be a big focus in the vol structure with “triple A” earnings on Thursday — Apple, Amazon and Alphabet.
To learn more visit Cboe’s website.