With the FOMC meeting scheduled for next Tuesday, December 15, and the announcement of a possible rate hike on 2016 on Wednesday, we are seeing inflated volatility levels across equity markets.
VIX (spot) is currently 21.65, whereas the Russell 2000 Volatility Index (RVX) is 22.33.
Next week is also expiry, further heightening volatility levels. The at-the-money SPX Dec 2025 Straddle is priced 53.05, implying a move of about 2.6 percent between now and next Friday’s expiration. [...]