Vol411 for Monday, February 8
- The S&P 500 is above 3,900 today, reaching a new all-time high. Last week, 30-day S&P 500 Index realized volatility climbed to 15.4%, while 30-day S&P 500 Index implied volatility fell to just over 16%.
- The small-cap Russell 2000 Index is up another 1.5% today and up about 15% year-to-date.
- Last week, the VIX futures curve moved from about $0.45 inverted on a Month-1/Month-2 basis to a $2.55 carry, or contango, by the end of the week. The standard February VIX futures and options will expire and cash-settle next week on February 17.
- The VIX Index closed at the low end of its one-year range last week but was still above 20. The index is measuring slightly higher today, at the 21.70 at time of filming.
- VIX options trading has been slightly skewed toward puts, which is interesting given the relatively low levels of the VIX Index and VIX futures.
- This week: earnings slow down, U.S. federal budget expected and reports on inflation data, weekly jobless claims and consumer sentiment will be released.
To learn more visit Cboe’s website.