In the volatility space today:
- Nov VIX futures & options last trade date → expiry
- CME’s new CVOL Index introduced
- RV LIVE at 3pm EST: Naufal Sanaullah, EIA All Weather Partners
Nov ”ELECTION VIX” to expire. Post election massive selling of vol premium has been large contributor to SPX ↑ (see note from yesterday) ↓
CME announced new volatility indices: CVOL, for release H12021 (CME LINK HERE)
Vol indices like VIX are based on measuring 30 day implied vol on ATM (at the money) strikes of the underlying.
CVOL now measures every single listed strike and calculates into one index. First to be rolled out with 2yr historical data:
10y USTs, EUR, GBP, JPY, CAD, AUD vs USD + a single G5 basket of the aforementioned
Later today at 3pm EST:
@Max Wiethe & Naufal Sanaullah, chief macro strategist at EIA All Weather Alpha Partners discuss the dynamics of options activity driving the index into year end.