Vol411 for Monday, January 11, 2021
· The U.S. equity markets were led higher by the small-cap Russell 2000 Index last week. The Russell 2000 Index was up nearly 6% and has continued a multi-month trend of outperformance, relative to large-cap indices.
· The S&P 500 Index is down less than 1% and the 10-day realized volatility for the S&P 500 Index is up near 12.5%. The VIX Index is around 23.5, at the time of recording.
· VIX Index options ADV was around 675,000 per day last week.
· January VIX Index futures, which expire on January 20, are trading around 23.70. February VIX Index futures are trading around 25.60, with the spread between January and February VIX Index futures narrowing down to 1.85.
· The January 30 and March 30 VIX options calls are trading actively today.
· In 2020, the VIX Index average close was 29.25. So far in 2021, the average is just below 25.
To learn more visit Cboe’s website.
