· 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.