Volatility Regime Read

VIX Daily

July 30, 2026

Covering the July 29, 2026 session

The VIX jumped 2.45 points to 20.66, its largest one-day rise in 36 sessions, as the S&P 500 fell 1.52% after the Fed held rates unchanged.

RegimeHigh

Term structureContango

Short-end stressN/A

S&P 500

7,316.15

-112.63 (-1.52%)

VIX

20.66

+2.45 (+13.5%)

Risk-on / risk-off

1.18

+0.01 on the session

85th pctile, 1y · risk-on · 0 = neutral, higher = more risk-on

The Session

Wall Street closed down sharply after the Fed held rates unchanged, sending the S&P 500 down 1.52%, or 112.63 points, to 7,316.15 — its largest drop in 33 sessions. The VIX responded with a 2.45-point rise to 20.66, up 13.45% and the largest one-day advance in 36 sessions, holding the High regime with the term structure in contango. VVIX climbed to 109.5 and VXN added 2.23 points to 30.84, while OVX jumped. The dollar fell 0.57% to 100.80 as Treasury yields rose, the 30-year at a 19-year high. The risk-on/off score held at 1.18. One-month skew steepened 0.56 points to 6.72.

Dashboard

Metric	Latest	Session	Context
S&P 500	7,316.15	-112.63	-1.52% on the session
VIX	20.66	+2.45	+13.45% on the session
Regime band	High	—	252d percentile 76%
VIX / VIX3M	0.914	—	above 1 is backwardation
Risk-on / risk-off	+1.18	+0.01	85th percentile, 1y
Expected move	±1.21%	+0.20	to 2026-07-30, options-implied
25-delta skew, 1m	6.72	+0.56	vol points, put over call
Same-day expiry share	63.8%	-1.5	of session option volume
Volatility regime score	34.0	—	Settled · 0-100, higher is more stress

Levels & Expected Move

Expected move

±89 (1.21%)

to 2026-07-30, 1d · ATM IV 23.2%

Peak OI strikes

6,800 / 7,550

put / call, 2026-07-30 · call -25, put -500

Assumed dealer gamma

-125,604

indicative · no sign change within the near-dated book

Same-day expiries

63.8%

share of session volume · -1.5pp

Assumed dealer gamma by strike · thousands · indicative — the dealer side of each contract is assumed, not observed

At-the-money implied volatility by maturity

Maturity	25Δ skew (vol pts)	ATM IV
1w 2026-08-05, 7d	4.31	17.90%
1m 2026-08-28, 30d	6.72	17.09%
3m 2026-10-30, 93d	7.33	16.93%

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

The volatility regime shifted from Very High to High.

VIX regime — last 30 sessions

This session produced the largest one-day VIX rise in 36 sessions.

S&P 500 vs VIX — last 60 sessions · S&P 500 7,316.15 · VIX 20.66

What Moved the Tape — July 29, 2026 session

U.S. Treasury Yields Rise, 30-Year Yield at 19-Year High; Dollar FallsWSJ Markets · 2026-07-30
Wall Street closes down sharply after Fed holds rates unchanged - reuters.comReuters Business · 2026-07-29
Treasury Yields Lose Steam as Fed Holds Rates SteadyWSJ Markets · 2026-07-29
ING Says Dollar to Take Cue from Oil Prices If Fed Holds RateFinancial Post · 2026-07-29
Rupee's RBI-spurred rally faces twin headwinds of oil volatility, Fed uncertainty - BusinessLineGoogle News IN · 2026-07-29

Headlines are linked to their publishers; inclusion is not endorsement and reflects coverage during the session window only.

Scenarios

The VIX closed at 19.47 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=1,688
moves to 20-30	9.1%	n=185
moves to <15	7.9%	n=161

S&P 500 from here	Median	Worst 5%	Sample
next session	+0.06%	-2.01%	n=2,034
5 sessions	+0.37%	-4.32%	n=2,030

Risk Window

US high-impact releases and major central-bank events, for the sessions ahead.

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
+3 more

July 31, 2026

BoJ Gov Ueda Speech19:59 · Japan

August 3, 2026

ISM Manufacturing PMI10:00 · United States

August 4, 2026

JOLTs Job Openings10:00 · United States
BoJ Monetary Policy Meeting Minutes19:50 · Japan

August 5, 2026

Services Sector PMI10:00 · United States

S&P 500 options: 2026-07-30, 2026-08-05, 2026-08-11 · VIX futures: 2026-08-19, 2026-09-16

Regime

Regime band High (252d percentile 76%); VIX level 19.47 (z-score +0.39 (252d)); Vol-of-everything composite 0.4822 z (breadth 100% above 1y median) [delayed].

S&P 500 vs VIX — last 30 sessions

VIX regime — last 30 sessions

Metric	Latest	As of
Regime band252d percentile 76%	High	2026-07-30
VIX levelz-score +0.39 (252d)	19.47	2026-07-30
Vol-of-everything compositedelayedbreadth 100% above 1y median	0.4822 z	2026-07-30

Term Structure

VIX / VIX3M 0.9138 (contango, streak 70d) [delayed]; Short-end stress 16.69 (VIX1D vs VIX 18.77; short-end reading delayed (as of 2026-07-17)) [delayed]; Short-vol carry 0.0943 (positive short-vol carry) [delayed].

Metric	Latest	As of
VIX / VIX3Mdelayedcontango, streak 70d	0.9138	2026-07-17
Short-end stressdelayedVIX1D vs VIX 18.77; short-end reading delayed (as of 2026-07-17)	16.69	2026-07-17
Short-vol carrydelayedpositive short-vol carry	0.0943	2026-07-17

Vol-of-Vol & Tail

VVIX / VIX 5.299 (VVIX 109.5); SKEW 139.6 (Cboe SKEW index (tail-hedging demand)); VRP 9.968 (VIX minus 21d realized vol (vol points)).

Variance risk premium (VIX − 21d realized)

Metric	Latest	As of
VVIX / VIXVVIX 109.5	5.299	2026-07-29
SKEWCboe SKEW index (tail-hedging demand)	139.6	2026-07-29
VRPVIX minus 21d realized vol (vol points)	9.968	2026-07-29

Cross-Asset

HY OAS 2.84 pp (HYG/LQD 0.746); MOVE 70.88 (OVX 67.6, GVZ 24.6) [delayed]; Risk-on/off score 2.152 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 range

Risk-on / risk-off score · σ from neutral · above the zero line is risk-on

Metric	Latest	As of
HY OASHYG/LQD 0.746	2.84 pp	2026-07-28
MOVEdelayedOVX 67.6, 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	2.152 z	2026-07-30

Cross-Country

VIX − VSTOXX (US–Europe fear gap) 5.109 (Nikkei-VI/VIX 2.04; India-VIX/VIX 0.62; RVX/VIX 1.20) [proxy].

Metric	Latest	As of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 2.04; India-VIX/VIX 0.62; RVX/VIX 1.20	5.109	2026-07-29

Positioning

VIX futures COT (net non-commercial z) -0.6822 z (percentile 24%; VXX 23.42; VIX put/call 0.35; Fear & Greed 34); Days since last spike 85 days (VIX 19.47 vs 50d MA 17.45 / 200d MA 18.74; 21d realized vol 10.7 vs VIX 19.5).

Metric	Latest	As of
VIX futures COT (net non-commercial z)percentile 24%; VXX 23.42; VIX put/call 0.35; Fear & Greed 34	-0.6822 z	2026-07-21
Days since last spikeVIX 19.47 vs 50d MA 17.45 / 200d MA 18.74; 21d realized vol 10.7 vs VIX 19.5	85 days	2026-07-30

Volatility Regime Score

Composite

34.0

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	9.97	87	13(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge	5.30	25	25
Risk-on / risk-offcross-asset appetite — positive is risk-on	2.15	100	0(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes	0.48	56	56

What to watch

VIX holding above 20 or retreating into the prior 15-20 band would clarify the regime. Core PCE, advance GDP and the BoE decision land tomorrow; the options market implies a 1.21% S&P move into the 30 July expiry.

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