Vol411 for Thursday, January 21, 2021

Host: Kevin Davitt, Senior Instructor, Cboe Options Institute
  • Yesterday, U.S. equities markets reached new all-time highs. Small-caps underperformed in a reversal of more recent macro trends.
  • Market participants are questioning what volatility will look like after the presidential transition yesterday. It is predicted that a significant implied volatility risk premium will persist.
  • One-month at-the-money SPX options are trading at an implied volatility near 17. One-month historical volatility is just over 10.
  • Volatility in 30-day Russell 2000 Index options is at 27.5, while 30-day realized volatility for Russell 2000 Index options is near 20.
  • Volume for VIX futures, Mini VIX futures and VIX options has been strong, with VIX options ADV near half a million.
  • The S&P 500 Index is essentially unchanged as of this morning and the VIX Index is measuring around 21.75 today.
  • The at-the-money February VIX futures straddle is at 5.98.

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