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Insights


Will Volatility Risk Premium Remain Attractive in 2021?

Wednesday, January 13, 2021

Market conditions reflected an unusual mix of resilience and anxiety as 2020 came to a close. The equity market advanced in November and December despite worsening pandemic statistics, political tension over election results and partisan bickering over over the economic relief bill. Meanwhile, the Cboe® Volatility Index® (the VIX®) remained solidly above its long-term average even as the market ascended to new highs. At year-end, the VIX® futures curve reflected expectations of the VIX® remaining in the mid-20’s well into 2021.


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December 2020 Market Recap

Thursday, January 7, 2021

The S&P 500® Index returned 12.15% for the fourth quarter of 2020, resulting in a return of 18.40% for the year. The fourth quarter was a mirror image of the third with a loss in the first month rather than the final month as the S&P 500® Index posted a loss of 2.66% for October followed by gains of 10.95% and 3.84% in November and December, respectively.
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Lower, not Low: An Examination of Recent Implied Volatility

Thursday, December 10, 2020

Implied volatility levels plummeted in November. With election uncertainty in the rearview mirror and news of significant progress on COVID-19 vaccines, the Cboe® Volatility Index (the VIX®) declined from 38.02 on October 30 to 20.57 on November 30. The 45.90% drop is the largest month-to-month decline in VIX® history.


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