In the October 22 Striking Price column in Barron’s, Steve Sears wrote --“keep an eye on the CBOE Volatility Index, or VIX. Already, some investors are preparing for significant volatility around the Nov. 8 election. Investors recently bought about 6,000 VIX Nov. 30 calls and about 9,000 Nov. 17 calls.”
IMPLIED VOLATILITY FOR S&P 500 PUTS
The table below shows samplings of implied volatility estimates for S&P 500 2100 options with select expiration dates. The Monday, Wednesday and Friday expirations of the November 8 election week highlighted in blue font. According to the table, note that the market is pricing in higher implied volatility just after the election. Earlier today I also checked the SPX “Term Structure” function at Bloomberg for more implied volatility estimates at other strike prices, and it appeared that the implied volatility estimates often were about 2 or 3 points higher for many SPX O-T-M put options expiring on November 9 (versus the SPX O-T-M put options expiring on November 7). See also an October 24 CBOE Blog for more analysis on this point. The many SPX index option expirations provide investors the ability to implement more targeted buying, selling and spreading strategies.
VIX FUTURES PRICES
The table below shows the most recent quotes for VIX futures at around 1:30 p.m. CT on October 25. The VIX Index has tended to be mean-reverting, and the VIX futures that expire in 2017 have higher prices.
Visit the Product Specific Strategies section of the CBOE website to learn more about how index options can help you manage your investment portfolio.