Vol411 for Thursday, December 31, 2020

Host: Kevin Davitt, Senior Instructor, Cboe Options Institute

· 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.

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