· The S&P 500 Index ended last week modestly higher but it is on the lower end of a 1% intraday range today to start the week. There has been a lack of clarity on the federal stimulus and an uptick in COVID-19 cases, topping 40 million cases globally.
· The VIX Index rose with the S&P 500 Index last week. The 10-day S&P 500 Index realized volatility is just below 18%.
· Currently, October VIX futures are at 27.90. November VIX futures are at 28.90, followed by December’s 28.25 and 27.90 for January. This puts the October — November VIX futures spread at $1.00, compared to last week’s $2.00.
· VIX options have been active lately, with a February and March 21/17 VIX put 1x2 ratio spread trading on Friday. Today, there were 9,800 December 30 VIX calls traded.
To learn more visit Cboe’s website.