· 10-day S&P 500 Index (SPX) realized volatility is at its lowest level since December 31, 2019. 30-day SPX realized volatility is unusually low, but not the lowest seen this year.
· There is a +10 spread between 1-month SPX implied volatility and 1-month SPX realized volatility. This spread is at the high end of a multi-year range.
· January 6 VIX weekly options continue to be a popular trade this week.
· The Russell 2000 Index is up 31% this quarter. The small-cap benchmark has more than doubled since the March 23 lows.
· Cboe plans to launch trading in Mini-Russell 2000 Index options in the first quarter of 2021, subject to regulatory review.
To learn more visit Cboe’s website.