Vol411 for Tuesday, October 6, 2020 (12:39 p.m. CT)

Host: Russell Rhoads, Head of Research and Consulting, EQ Derivatives
  • Today saw a quiet start for the S&P 500 Index after a strong day yesterday. The VIX Index is up to 28.10.
  • October VIX futures are at 30.40 followed by November at 31.65 and December at 30.30.
  • The “spot” VIX Index calculation uses two expiring SPX option series as inputs. Those expirations periodically change where currently, the October 30 and November 6 SPX options are the current inputs to the VIX Index. Tomorrow, these two inputs will change to November 6 and November 13 SPX options. This has a big effect on the VIX Index, resulting in the VIX Index moving higher because those options expire after the election versus options that expire before the election.

To learn more visit Cboe’s website.

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