Vol411 for Tuesday, October 27, 2020

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

· The S&P 500 Index is down about .25% today and the VIX Index is firmly above 30, at 33.50 at time of filming.

· November VIX futures are currently trading around 31.75, up $0.40 on the day, and December VIX futures are up slightly at 30.50. The November 4 VIX Weekly futures, which expire next week after the U.S. election, are at 32.50.

· The VVIX Index is elevated to 133.50, the highest level since early September. The VIX3M is at 32.60, a slight discount.

· In options trading, 25,000 November 21 VIX options puts sold for $0.21 each yesterday. Today’s biggest trade was 20,000 December 18 VIX options puts.

To learn more visit Cboe’s website.

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