Neither the equity advance nor the volatility decline stood out in size. The S&P 500 added 15.60 points, or 0.21%, to close at 7,428.78. The VIX declined 0.46 points, or 2.46%, to 18.21, remaining in its High regime band with the term structure in contango. The risk-on/off score held at 1.17, the 83rd percentile of its one-year range. WSJ Markets reported Treasury yields edged lower as the U.S. and Iran held back strikes. Cross-asset, the Nikkei VI rose 8.73 points to 41.14 even as SKEW fell 3.6 to 143.0, OVX dropped 3.5 to 57.1 and VVIX slipped 2.4 to 98.5. At-the-money options implied a 1.01% one-day move.
Dashboard
Metric
Latest
Session
Context
S&P 500
7,428.78
+15.60
+0.21% on the session
VIX
18.21
-0.46
-2.46% on the session
Regime band
High
—
252d percentile 65%
VIX / VIX3M
0.914
—
above 1 is backwardation
Risk-on / risk-off
+1.17
-0.04
83th percentile, 1y
Expected move
±1.01%
+0.12
to 2026-07-29, options-implied
25-delta skew, 1m
6.16
+0.05
vol points, put over call
Same-day expiry share
65.3%
-5.8
of session option volume
Volatility regime score
36.1
—
Settled · 0-100, higher is more stress
Levels & Expected Move
Expected move
±75 (1.01%)
to 2026-07-29, 1d · ATM IV 19.3%
Peak OI strikes
7,300 / 7,575
put / call, 2026-07-29 · call -50, put +600
Assumed dealer gamma
-22,814
indicative · no sign change within the near-dated book
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
A session without a standout move. With the VIX at 18.21, this is where realised volatility sits across horizons.
Headlines are linked to their publishers; inclusion is not endorsement and reflects coverage during the session window only.
Scenarios
The VIX closed at 18.37 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
83.0%
n=1,689
moves to 20-30
9.0%
n=184
moves to <15
7.9%
n=161
S&P 500 from here
Median
Worst 5%
Sample
next session
+0.06%
-2.01%
n=2,033
5 sessions
+0.37%
-4.32%
n=2,029
Risk Window
US high-impact releases and major central-bank events, for the sessions ahead.
July 29, 2026
Fed Interest Rate Decision14:00 · United Statescons. 3.75
Fed Press Conference14:30 · United States
RBA Hunter Speech18:40 · Australia
July 30, 2026
BoE Interest Rate Decision07:00 · United Kingdomcons. 3.75
Core PCE Price Index Month-over-Month08:30 · United Statescons. 0.2
GDP Growth Quarter-over-Quarter Advance Estimate08:30 · United Statescons. 2.1
Personal Income Month-over-Month08:30 · United Statescons. 0.3
HY OAS 2.81 pp (HYG/LQD 0.743); MOVE 70.88 (OVX 57.1, GVZ 24.6) [delayed]; Risk-on/off score 2.044 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 | Nikkei VI: 1.82σ, SKEW: -1.017σ, OVX: -0.9608σ, VVIX: -0.4069σ, VIX: -0.2952σ, S&P 500: 0.284σ, GVZ: 0.2745σ, VSTOXX: -0.2722σ | Range: -1.017σ–1.82σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 2.044z (2026-07-29) | Range: -0.4415z–2.044z | Source: FRED, Cboe | Trend(5pt): 0.6338,0.06076,0.6076,1.023,2.044
Metric
Latest
As of
HY OASHYG/LQD 0.743
2.81 pp
2026-07-27
MOVEdelayedOVX 57.1, GVZ 24.6
70.88
2026-07-17
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) -0.6822 z (percentile 24%; VXX 22.03; VIX put/call 0.34; Fear & Greed 40); Days since last spike 84 days (VIX 18.37 vs 50d MA 17.38 / 200d MA 18.73; 21d realized vol 10.2 vs VIX 18.4).
Days since last spikeVIX 18.37 vs 50d MA 17.38 / 200d MA 18.73; 21d realized vol 10.2 vs VIX 18.4
84 days
2026-07-29
Volatility Regime Score
Composite
36.1
Settled · 5 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
VIX / VIX3Mabove 1 is backwardation — near-term fear bid over longer-dated
0.91
76
76
Variance risk premiumimplied minus realized — a wide premium is the calm state
8.05
78
22(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.41
33
33
Risk-on / risk-offcross-asset appetite — positive is risk-on
2.04
100
0(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
0.23
49
49
What to watch
The Fed interest rate decision and press conference are due tomorrow. Sessions opening in the VIX 15-20 band have stayed there 83.0% of the time historically, on 1,689 observations. Options imply a 75-point expected move into the expiry.
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