Vol411 for Tuesday, September 8, 2020

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

· Following the Labor Day weekend, the S&P 500 Index continues its downward trend from late last week, declining about 2%, while the VIX Index continues to rise higher.

· There is one week left of the September futures contract, which is currently at 31.80. October is up at 36.90 and November is down at 31. Looking forward, December to May futures see a gentle slant downward from 30 down to 27.50.

· October VIX options and futures will expire in a calculation that is based on the standard November options, which expire after the election. It may be easier to think of the election as an earnings event, where volatility on broad-based options are expected to grind higher as the event approaches.

· The SEPT 70 VIX calls were the most active options this morning, and about 150,000 September VIX futures were traded last Friday.

To learn more visit Cboe’s website.

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