Vol411 for Tuesday, December 1, 2020

Host: Russell Rhoads, Head of Research and Consulting, EQ Derivatives

· The S&P 500 Index is up almost 50 points at 3,670 and the VIX Index is up slightly at 20.60.

· December VIX futures are at 22.45 and there is only a 1-point high-low spread is only for the 2021 VIX futures prices.

· The Electoral College will meet on Monday, December 14, to officially cast their votes, finalizing the U.S. Presidential Election. At-the-money S&P 500 Index option implied volatility is at 16.12 but the expiration dates directly before and after that date are predicted to be higher. This may suggest that markets are predicting little risk in the presidential outcome.

· Today, a trader bought 16,697 March 20 VIX puts in a sweep-order.

To learn more visit Cboe’s website.

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