Vol411 for Tuesday, November 24, 2020

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

· The S&P 500 Index was up over 1%, well over the 3,600-price level. The VIX Index was down .50, to 23.16.

· Last week, December became the front month and was quoted at a slight premium to Spot VIX, sitting around 23.80 yesterday. Looking at the 2021 VIX futures curve, it is still very flat, which is unusual compared to the typical curve at beginning of the year.

· The VVIX Index was down slightly to 108 and may see a downside pressure before Thanksgiving.

· On Monday, 6,000 April 20 VIX options calls were bought between 7.60 and 7.70, making it one of the biggest VIX options trades of the day. Some of the major trades today were: 4,000 December puts sold for 3.44, 2,000 December 21 puts bought for .93 and 2,000 December 30 puts bought for 7.58.

To learn more visit Cboe’s website.

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