Vol411 for Tuesday, November 10, 2020

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

· The S&P 500 Index is under pressure today and started the day down 1%. The VIX Index is up to 26.50.

· November VIX futures are at a discount, trading at 25.85. December VIX futures are at 26.15 and January futures are at 26.30. Then there is a slight downward slope to June, which is at 25.20.

· The VVIX Index is at 116.29, moving in the opposite direction of the VIX Index. Usually, the two indices confirm each other, which is something to keep an eye on.

· 120,000 December 20 VIX options puts were traded yesterday. Today, a trader sold 10,000 January 18 VIX options puts for $0.46 each, then bought 2,000 of the January 20 VIX options puts for $1.06 each.

To learn more visit Cboe’s website.