Vol411 for Thursday, February 4, 2021
· At the time of recording, the S&P 500 Index was above its all-time closing high and the VIX Index measured just above 22. The S&P 500 Index ultimately finished the day near 3,871, reaching a new record high.
· The 10-day historical volatility measure for the VIX Index is near 30 and 30-day at-the-money S&P 500 Index volatility fell to 17.
· Congress continues to work toward a stimulus bill with Democrats proposing a scaled back bill that would send about $1,400 to roughly 70% of Americans based off of income.
· The VIX futures term structure has returned to a more normalized contango. The front month VIX futures are trading around 24.50, March VIX futures are trading around 26.80 and April VIX futures are trading around 27.80.
· Today, VIX options are seeing a slight call skew and a trader sold June 35 VIX options calls to buy June 28 VIX options puts.
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