· The S&P 500 Index is currently near the low of its 2-week range, while S&P 500 futures neared the 3,400 level overnight with stimulus negotiations driving the market.
· 10-day and 30-day S&P 500 Index realized volatility levels are in the mid to high teens, while the VIX Index remains in the high 20s.
· November is now the front month and the VIX futures term structure is inverted out to mid-2021.
· The November 25/21 VIX options put spread traded in size today at $1.24. The November 70 VIX options calls traded 7,000 times at around $0.20 and the December 30 call/25 put VIX options collar traded for a $1.58 credit.
· Looking ahead: presidential debate, earnings and housing data.
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