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Risk & Volatility Dashboard See how volatility measures and indices could help mitigate risky market environments.

• As the S&P 500® completed a fourth consecutive session of small gains, VIX® closed July 21, 2020, at its lowest level since February, down five points from our last report. Despite a turn upwards in reported cases of COVID-19, hopes for an effective vaccine fueled optimism over the medium-term outlook.

• Nonetheless, warning signs continue to flash across the options markets. VIX is still high in historical terms, and its futures curve continues to display a steep rise towards the fourth quarter and the U.S. election. Meanwhile the Cboe Skew Index, which can indicate the perceived likelihood of a sudden, unexpected decline, closed yesterday at the unusually elevated level of 140.

• Our option-writing and dynamic strategies did manage to gain ground over the last month, but none kept pace with the S&P 500’s return of 11.4%.

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