Vol411 for Tuesday, December 15, 2020

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

· The S&P 500 Index started the day strong, up about 20 points, at 3,670. The VIX Index is at 23.40.

· The December VIX futures are at 23.30 and expire tomorrow. January VIX futures are currently at 25.50. The VIX futures curve remains flat, between 26.20 and 26.60 between February and July 2021.

· The VVIX is down significantly to 119 after reaching a new one-month high last week. The increase happened during the transition from the December — January options to the January — February options.

· A bearish 1x2 traded today as a trader bought one January 22 VIX options put and sold two January 18 VIX options puts for a $1.05 debit. There was a bullish call spread today when a trader bought 7,800 January 26 VIX options calls for $3.47 and sold 7,800 January 28 VIX options calls for $2.92.

To learn more visit Cboe’s website.

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