The S&P 500 gained 110.78 points, or 1.48%, to 7,600.50 on its third consecutive advance, leaving the index 0.12% below its 12-month high. The VIX slipped only 0.13 points to 15.86, a muted response that kept the gauge in the Low regime with the term structure in contango. The risk-on/off score rose 0.13 to 1.63, at the 100th percentile of both its one- and three-year ranges. High-yield OAS tightened 0.07pp to 2.78pp; the VXN fell 1.23 and VSTOXX 0.51, with the OVX down 5.8 points. One-month skew compressed 1.10 vol points to 3.64. Options imply a 0.53% move, or 40 points, into tomorrow's expiry.
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 the S&P 500 within 0.35% of its 12-month high.
S&P 500 vs VIX — last 60 sessions · S&P 500 7,600.50 · VIX 15.86S&P 500 vs VIX — last 60 sessions | Latest: 7600 (2026-08-03) | Range: 7267–7610 | Source: Cboe, S&P Dow Jones Indices | Trend(6pt): 7399,7580,7501,7575,7438,7600 | VIX: 15.86 (range 15.03–22.22)
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Scenarios
The VIX closed at 15.86 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=1,690
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=2,036
5 sessions
+0.37%
-4.32%
n=2,033
Risk Window
US high-impact releases and major central-bank events, for the sessions ahead.
August 4, 2026
JOLTs Job Openings Level10:00 · United Statescons. 7400000.0
BoJ Monetary Policy Meeting Minutes19:50 · Japan
August 5, 2026
Services Sector PMI10:00 · United Statescons. 54.5
August 7, 2026
Payroll Jobs Growth08:30 · United Statescons. 80000
Unemployment Rate08:30 · United Statescons. 4.2
August 11, 2026
RBA Interest Rate Decision00:30 · Australia
Press Conference by RBA01:30 · Australia
Existing Home Sales Level10:00 · United States
August 12, 2026
Core Inflation Rate Month-over-Month08:30 · United States
Core Inflation Rate Year-over-Year08:30 · United States
Inflation Rate Month-over-Month08:30 · United States
Inflation Rate Year-over-Year08:30 · United States
HY OAS 2.78 pp (HYG/LQD 0.747); MOVE 70.88 (OVX 57.2, GVZ 23.6) [delayed]; Risk-on/off score 1.634 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 | S&P 500: 1.966σ, OVX: -1.582σ, HY OAS: -1.291σ, Nikkei VI: 1.26σ, VXN: -0.7447σ, VSTOXX: -0.5931σ, 10y breakeven: -0.5322σ, US dollar (DXY): 0.4589σ | Range: -1.582σ–1.966σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 1.634z (2026-08-03) | Range: -0.4415z–1.634z | Source: FRED, Cboe | Trend(5pt): -0.4415,0.08859,0.7902,1.17,1.634
Metric
Latest
As of
HY OASHYG/LQD 0.747
2.78 pp
2026-08-03
MOVEdelayedOVX 57.2, GVZ 23.6
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) -0.3981 z (percentile 33%; VXX 21.08; VIX put/call 0.37; Fear & Greed 59); Days since last spike 87 days (VIX 15.86 vs 50d MA 17.36 / 200d MA 18.68; 21d realized vol 13.2 vs VIX 15.9).
Days since last spikeVIX 15.86 vs 50d MA 17.36 / 200d MA 18.68; 21d realized vol 13.2 vs VIX 15.9
87 days
2026-08-03
Volatility Regime Score
Composite
54.5
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.
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
2.68
19
81(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.73
61
61
Risk-on / risk-offcross-asset appetite — positive is risk-on
1.63
100
0(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
0.46
55
55
What to watch
JOLTs are due at 10:00 tomorrow. A VIX exit from the 15-20 band, where readings have stayed on 83.0% of 1,690 historical sessions, or a move beyond the 40-point options-implied range, would reframe the tape.
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