Vol411 for Tuesday, December 22, 2020

· The S&P 500 Index is down four points to 3,690 after doing a reversal intraday yesterday. The VIX Index is down 0.79 to 24.37 after climbing above 30 intraday yesterday for the first time since early November.

· January VIX futures are down 0.50 to 25.80. February through July 2021 VIX futures all have a 26 handle and are within a 0.40 range.

· Traders assessing volatility expectations in the Spot VIX measurement during the holiday week should also look at the front month futures contract, which already takes the holidays into account.

· 5,000 January 28 VIX options calls sold and 10,000 April 60 VIX options calls were bought today.

· Yesterday, a trader sold 1,000 February 18 VIX options puts about an hour before the U.S. markets opened for the day. As a reminder, S&P 500 Index options and VIX Index options can be traded pre-market.

To learn more visit Cboe’s website.

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