Vol411 for Friday, September 11, 2020

Host: Dan Deming, Managing Director, KKM Financial

· The VIX Index is currently trending lower around 27.40 after a high of 38.28 last Friday.

· September VIX futures are trading at a discount of around $0.30 to the cash. There is a roll market of $5.20 between September and October. A negative roll market is possible next week as October VIX futures become the front month.

· The VVIX Index, a measure of implied volatility in the VIX options, is currently at 116. While that is elevated, it is not too outsized relative to some of the volatility the market has realized recently.

· Next week: Expiration, FOMC, U.S./China relations and COVID-19 stories will continue to dominate the headlines, impacting the volatility structure.

To learn more visit Cboe’s website.

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