Vol411 for Tuesday, October 13, 2020

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

· The S&P 500 Index is down 0.3%, while the VIX Index is up $0.88, to 25.95.

· October VIX futures are at 26.70, while November and December VIX futures are at 28.70 and 27.85, respectively. Looking from January to June, VIX futures in 2021 are priced from 27.75 to 26.70, showing a $1.05 range over those six months.

· At the money implied volatility for the four Fridays that have SPX expirations in November show that the VIX Index may experience headwinds as those expirations roll into the VIX Index calculation.

· Yesterday, a trader rolled down from October 37.50 VIX options calls to October 30 VIX options calls for a $0.44 credit.

To learn more visit Cboe’s website.

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