Vol411 for Tuesday, December 29, 2020

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

· Today, the S&P 500 Index is up 0.5% and the VIX Index is down to 21.41.

· The VVIX Index is down to 114. This value is still elevated but take note that the Index has remained mostly above 100 since March this year.

· January VIX futures are up to 23.65 with a 1.80 premium to the Spot VIX. Market participants are focusing on the senate runoff in Georgia, which could adjust uncertainty in the VIX futures curve.

· January 6 VIX weekly options are a popular trade this week, with some of the most notable trades seen yesterday and today.

To learn more visit Cboe’s website.