Vol411 for Tuesday, November 17, 2020

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

· The S&P 500 Index began the day down 18 points. In response, the VIX Index rose to 22.85.

· Standard November VIX futures expire tomorrow morning, making December, currently around 24.30, the front month. The December VIX futures usually face holiday headwinds, as it settles into S&P 500 Index options that expire just after Christmas, New Year’s and Martin Luther King Jr. Day.

· January to July VIX futures are trading within $0.40 of each other, signaling uncertainty in the markets.

· S&P 500 Index options that expire a week before the Georgia Senate runoff election are showing an implied volatility of 18.72 and those that expire just after are up to 19.86. These numbers show that markets are bracing for results.

· In trading today, a December 20/22 VIX options 2x3 ratio put spread traded for $1.12.

To learn more visit Cboe’s website.

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