Vol411 for Monday, January 4, 2021

Host: Kevin Davitt, Senior Instructor, Cboe Options Institute
  • Last week, most U.S. indices continued to advance and ended 2020 close to, or at, all-time highs. Futures were up this morning but reversed after the U.S. cash open.
  • The S&P 500 Index is down about 1.5% and the VIX Index is up to 26.5, marking the first time it has risen above 26 since the U.S. presidential election in November.
  • The VIX Index’s average close in 2020 was 29.3, the highest annual average since 2009, when it measured 31.5 on average.
  • The RVX Index, the expected 30-day volatility measurement of the Russell 2000 Index, is up to 33.70 today.
  • The January — February VIX futures spread is in contango.
  • In VIX options this morning, a March 22/19 VIX options put spread traded 10,000.
  • The January 6 weekly VIX options remain active ahead of the U.S. Senate run-off election in Georgia tomorrow.

To learn more visit Cboe’s website.

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