The S&P 500 advanced 0.21% to 7,707.98 as the U.S. Treasury stepped in to support bonds and eased investor stress. The VIX fell 0.95 points, or 6.00%, to 14.89 — the largest one-day decline in 12 sessions — remaining in the Very Low regime in contango with no short-end stress. Risk-on held at 1.18 standard deviations above neutral, down 0.16 on the day and at the 79th one-year percentile. Bitcoin jumped 7.09% to 69,266, while the dollar index fell 0.82% to 98.83. VVIX dropped 6.3 to 86.5 and MOVE declined 3.7 to 71.3. Options implied a 0.54% expected move, or 42 points, into the 20 August expiry; one-month skew compressed 0.53 points to 3.62.
Derived from the S&P 500 option chain at the prior close. The expected move is implied-volatility derived, not read from a straddle price. The gamma figure assumes the dealer side of every contract and is indicative only — that side is not observable in public data.
Today's Focus
This session produced the largest one-day VIX fall in 12 sessions.
S&P 500 vs VIX — last 60 sessions · S&P 500 7,707.98 · VIX 14.89S&P 500 vs VIX — last 60 sessions | Latest: 7708 (2026-08-19) | Range: 7267–7799 | Source: Cboe, S&P Dow Jones Indices | Trend(6pt): 7473,7431,7537,7429,7692,7708 | VIX: 14.89 (range 14.25–22.22)
Bitcoin moved 2.72σ higher — the largest standardised move across the cross-asset panel.
Headlines are linked to their publishers; inclusion is not endorsement and reflects coverage during the session window only.
Scenarios
The VIX closed at 15.10 in the 15-20 band. Every figure below is the historical frequency for sessions that opened in that band — a record of what happened, not a forecast of what will.
Next session, the VIX…
Frequency
Sample
stays in 15-20
82.9%
n=1,692
moves to 20-30
9.1%
n=185
moves to <15
8.0%
n=164
S&P 500 from here
Median
Worst 5%
Sample
next session
+0.06%
-2.01%
n=2,041
5 sessions
+0.37%
-4.32%
n=2,040
Risk Window
US high-impact releases and major central-bank events, for the sessions ahead.
August 24, 2026
RBA Meeting Minutes21:30 · Australia
August 25, 2026
Speech by RBA's Jacobs01:00 · Australia
August 26, 2026
Core PCE Price Index Month-over-Month08:30 · United States
Durable Goods Orders Month-over-Month08:30 · United States
GDP Growth Quarter-over-Quarter Second Estimate08:30 · United Statescons. 1.5
Personal Income Month-over-Month08:30 · United States
+3 more
August 28, 2026
Non Farm Payrolls Annual Revision Prel10:00 · United States
Regime band Very Low (252d percentile 11%); VIX level 15.1 (z-score -0.91 (252d)); Vol-of-everything composite -0.5113 z (breadth 0% above 1y median) [delayed].
S&P 500 vs VIX — last 30 sessionsS&P 500 vs VIX — last 30 sessions | Latest: 7708 (2026-08-19) | Range: 7316–7799 | Source: Cboe, S&P Dow Jones Indices | Trend(5pt): 7504,7534,7316,7753,7708 | VIX: 14.89 (range 14.25–20.66)VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: Very Low (2026-08-20) | 30 sessions | Distribution: Very Low 40%, Low 23%, Normal 13%, High 20%, Very High 3% | Source: Cboe
Metric
Latest
As of
Regime band252d percentile 11%
Very Low
2026-08-20
VIX levelz-score -0.91 (252d)
15.1
2026-08-20
Vol-of-everything compositedelayedbreadth 0% above 1y median
HY OAS 2.75 pp (HYG/LQD 0.748) [delayed]; MOVE 71.26 (OVX 47.7, GVZ 26.7); Risk-on/off score 0.8515 z (risk-on — equal-weight blend of five cross-asset ratios — small vs large caps, cyclicals vs defensives, high-yield vs investment-grade credit, copper vs gold, and stocks vs bonds — each standardised over a rolling year. Scale is standard deviations from neutral: 0 is neutral, positive is risk-on, negative is risk-off).
Biggest session movers · move in σ — each series against its own 12-month daily rangeBiggest session movers | Bitcoin: 2.715σ, US dollar (DXY): -2.413σ, GVZ: 1.49σ, VVIX: -1.075σ, MOVE: -0.9137σ, VIX: -0.6165σ, VXX: -0.5328σ, Nikkei VI: 0.3991σ | Range: -2.413σ–2.715σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 0.8515z (2026-08-20) | Range: -0.3461z–1.905z | Source: FRED, Cboe | Trend(5pt): -0.1016,-0.1929,0.2124,1.267,0.8515
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.748
2.75 pp
2026-08-18
MOVEOVX 47.7, GVZ 26.7
71.26
2026-08-19
Risk-on/off scorerisk-on — equal-weight blend of five cross-asset ratios — small vs large caps, cyclicals vs defensives, high-yield vs investment-grade credit, copper vs gold, and stocks vs bonds — each standardised over a rolling year. Scale is standard deviations from neutral: 0 is neutral, positive is risk-on, negative is risk-off
VIX futures COT (net non-commercial z) -0.6409 z (percentile 25%; VXX 19.05; VIX put/call 0.36; Fear & Greed 57); Days since last spike 97 days (VIX 15.10 vs 50d MA 17.10 / 200d MA 18.50; 21d realized vol 14.1 vs VIX 15.1).
Days since last spikeVIX 15.10 vs 50d MA 17.10 / 200d MA 18.50; 21d realized vol 14.1 vs VIX 15.1
97 days
2026-08-20
Volatility Regime Score
Composite
50.1
Neutral · 4 components
0-100, the mean of each component's own one-year percentile, oriented so higher is more volatility stress. Each component is ranked against its own past year, so a reading can be calm in absolute terms and still sit high against its own recent range.
Component
Value
Own 1y %ile
Stress %ile
Variance risk premiumimplied minus realized — a wide premium is the calm state
0.77
10
90(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.81
64
64
Risk-on / risk-offcross-asset appetite — positive is risk-on
0.85
61
39(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.51
7
7
What to watch
A VIX move back through 15, or an S&P 500 retreat from 7,707.98, would change the tone. Sessions that opened in the 15–20 band have stayed there on 82.9% of 1,692 observations. Core PCE and the GDP second estimate are due 26 August.
Get this every weekday morning
The VIX Daily lands before the US open with the previous session's close, what the options market is pricing, and the week's scheduled risk. Free.