· COVID-19 stimulus negotiations continue in Congress. Jobless claims unexpectedly surged to 853,000 this week, surpassing the expected 730,000 claims.
· Yesterday, the VIX Index climbed above 22 after the market sell-off. At-the-money implied volatility for this week’s S&P 500 Index options is 17 and next week’s is 16. 10-day realized volatility is just below 10.
· The VIX futures term structure is in contango, with December futures trading at 22.55. January VIX futures are trading at 24.38 and the futures for February to July 2021 all above 25.
· In VIX options today, a trader bought 50,000 March 50 VIX options calls for $1.15.
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