Vol411 for Thursday, December 24, 2020

Host: Dan Deming, Managing Director, KKM Financial

· The VIX Index is trading down today and is currently at 21.95.

· 30-day realized volatility is at 11.5% and 10-day realized volatility is at 8.5%. With the VIX Index near 22, that is a $10 dispersion between 30-day realized volatility and 30-day implied volatility.

· The middle of the VIX futures term structure is shifting to contango.

· The VVIX Index is at 116 today, which is elevated but down from the highs it reached on Monday.

· Next week: Consumer Confidence and Chicago Purchasing Managers Index (PMI) data points.

To learn more visit Cboe’s website.

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