Volatility Regime Read

VIX Daily

July 31, 2026
Covering the July 30, 2026 session

Microsoft-led buying lifted the S&P 500 1.66% to 7,437.63 and cut the VIX by 3.57 points to 17.09, the largest one-day volatility decline in 79 sessions.

RegimeNormal
Term structureContango
Short-end stressN/A
S&P 500
7,437.63
+121.48 (+1.66%)
VIX
17.09
-3.57 (-17.3%)
Risk-on / risk-off
1.35
+0.18 on the session
96th pctile, 1y · risk-on · 0 = neutral, higher = more risk-on

The Session

The S&P 500 advanced 1.66%, or 121.48 points, to 7,437.63 — its largest one-day gain in 31 sessions — as Microsoft led a Wall Street rally. The VIX fell 3.57 points, or 17.28%, to 17.09, a 2.3-sigma move and the largest one-day decline in 79 sessions, returning the index to the Normal regime in contango. VVIX dropped 14.8 points to 94.7 and VXN fell 3.29 to 27.55, while Europe's VSTOXX rose 2.46 points to 18.01, the session's largest standardised cross-asset move. The risk-on reading climbed to 1.35, sitting at the 96th percentile of its one-year range. Treasury yields rose and inflation worries lingered in the bond market even as equities pushed higher. One-month skew compressed 1.56 vol points to 5.16.

Dashboard

MetricLatestSessionContext
S&P 5007,437.63+121.48+1.66% on the session
VIX17.09-3.57-17.28% on the session
Regime bandNormal—252d percentile 43%
VIX / VIX3M0.914—above 1 is backwardation
Risk-on / risk-off+1.35+0.1896th percentile, 1y
Expected move±0.85%-0.36to 2026-07-31, options-implied
25-delta skew, 1m5.16-1.56vol points, put over call
Same-day expiry share62.4%-1.4of session option volume
Volatility regime score43.2—Neutral · 0-100, higher is more stress

Levels & Expected Move

Expected move
±63 (0.85%)
to 2026-07-31, 1d · ATM IV 16.3%
Peak OI strikes
7,130 / 7,620
put / call, 2026-07-31 · call +70, put +330
Assumed dealer gamma
-9,554
indicative · no sign change within the near-dated book
Same-day expiries
62.4%
share of session volume · -1.4pp
Maturity25Δ skew (vol pts)ATM IV
1w 2026-08-06, 7d4.1313.13%
1m 2026-08-28, 29d5.1614.37%
3m 2026-10-30, 92d6.1715.50%

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 79 sessions.

VSTOXX moved 2.84σ higher — the largest standardised move across the cross-asset panel.

What Moved the Tape — July 30, 2026 session

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

Scenarios

The VIX closed at 16.78 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…FrequencySample
stays in 15-2083.0%n=1,689
moves to 20-309.1%n=185
moves to <157.9%n=161
S&P 500 from hereMedianWorst 5%Sample
next session+0.06%-2.01%n=2,035
5 sessions+0.37%-4.32%n=2,031

Risk Window

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

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
August 7, 2026
  • Headline Unemployment Rate08:30 · United States
  • Payroll Jobs Growth08:30 · United States

S&P 500 options: 2026-07-31, 2026-08-06, 2026-08-12 · VIX futures: 2026-08-19, 2026-09-16

Regime

Regime band Normal (252d percentile 43%); VIX level 16.78 (z-score -0.43 (252d)); Vol-of-everything composite -0.1303 z (breadth 0% above 1y median) [delayed].

MetricLatestAs of
Regime band252d percentile 43%Normal2026-07-31
VIX levelz-score -0.43 (252d)16.782026-07-31
Vol-of-everything compositedelayedbreadth 0% above 1y median-0.1303 z2026-07-31

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].

MetricLatestAs of
VIX / VIX3Mdelayedcontango, streak 70d0.91382026-07-17
Short-end stressdelayedVIX1D vs VIX 18.77; short-end reading delayed (as of 2026-07-17)16.692026-07-17
Short-vol carrydelayedpositive short-vol carry0.09432026-07-17

Vol-of-Vol & Tail

VVIX / VIX 5.539 (VVIX 94.7); SKEW 139.9 (Cboe SKEW index (tail-hedging demand)); VRP 5.176 (VIX minus 21d realized vol (vol points)).

MetricLatestAs of
VVIX / VIXVVIX 94.75.5392026-07-30
SKEWCboe SKEW index (tail-hedging demand)139.92026-07-30
VRPVIX minus 21d realized vol (vol points)5.1762026-07-30

Cross-Asset

HY OAS 2.87 pp (HYG/LQD 0.747); MOVE 70.88 (OVX 63.4, GVZ 24.5) [delayed]; Risk-on/off score 2.358 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).

MetricLatestAs of
HY OASHYG/LQD 0.7472.87 pp2026-07-29
MOVEdelayedOVX 63.4, GVZ 24.570.882026-07-17
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-off2.358 z2026-07-31

Cross-Country

VIX − VSTOXX (US–Europe fear gap) -0.9243 (Nikkei-VI/VIX 1.75; India-VIX/VIX 0.70; RVX/VIX 1.16) [proxy].

MetricLatestAs of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.75; India-VIX/VIX 0.70; RVX/VIX 1.16-0.92432026-07-30

Positioning

VIX futures COT (net non-commercial z) -0.6822 z (percentile 24%; VXX 21.82; VIX put/call 0.37; Fear & Greed 39); Days since last spike 86 days (VIX 16.78 vs 50d MA 17.39 / 200d MA 18.71; 21d realized vol 11.9 vs VIX 16.8).

MetricLatestAs of
VIX futures COT (net non-commercial z)percentile 24%; VXX 21.82; VIX put/call 0.37; Fear & Greed 39-0.6822 z2026-07-21
Days since last spikeVIX 16.78 vs 50d MA 17.39 / 200d MA 18.71; 21d realized vol 11.9 vs VIX 16.886 days2026-07-31

Volatility Regime Score

Composite
43.2
Neutral · 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.

ComponentValueOwn 1y %ileStress %ile
VIX / VIX3Mabove 1 is backwardation — near-term fear bid over longer-dated0.917676
Variance risk premiumimplied minus realized — a wide premium is the calm state5.183862(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge5.544545
Risk-on / risk-offcross-asset appetite — positive is risk-on2.361000(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes-0.133333
What to watch

Options imply a 0.85% move into tomorrow's expiry, with peak open interest at the 7,620 call and 7,130 put. Historically, the VIX has stayed in the 15-20 band on 83.0% of 1,689 sessions. BoJ Governor Ueda speaks tomorrow; ISM Manufacturing follows Monday.

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