The S&P 500 advanced 136.02 points to 7,736.52, its fourth consecutive gain and the largest single-session rise in 81 sessions, leaving the index at its 12-month high. Headlines pointed to Trump saying a Hormuz deal is close, with the Nasdaq digesting tech earnings. Despite that surge, the VIX rose 0.64 points, or 4.04%, to 16.50, staying in the Low regime with the curve in contango. The risk-on reading held at 1.58, the 100th percentile over one and three years. SKEW dropped 13.6 points to 126.4, while one-month skew compressed 1.02 vol points to 2.62. Options implied a 0.80% move, or 62 points, into Wednesday'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 largest one-day S&P 500 gain in 81 sessions.
S&P 500 vs VIX — last 60 sessions · S&P 500 7,736.52 · VIX 16.50S&P 500 vs VIX — last 60 sessions | Latest: 7737 (2026-08-04) | Range: 7267–7737 | Source: Cboe, S&P Dow Jones Indices | Trend(6pt): 7401,7610,7365,7544,7600,7737 | VIX: 16.5 (range 15.03–22.22)
Headlines are linked to their publishers; inclusion is not endorsement and reflects coverage during the session window only.
Scenarios
The VIX closed at 16.58 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=1,692
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=2,037
5 sessions
+0.37%
-4.32%
n=2,034
Risk Window
US high-impact releases and major central-bank events, for the sessions ahead.
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
+1 more
August 13, 2026
Producer Price Index Month-over-Month08:30 · United States
HY OAS 2.78 pp (HYG/LQD 0.745) [delayed]; MOVE 70.88 (OVX 53.5, GVZ 23.5) [delayed]; Risk-on/off score 2.202 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 | SKEW: -3.718σ, S&P 500: 2.405σ, 10y breakeven: -2.121σ, OVX: -1.015σ, VXN: 0.4314σ, VIX: 0.412σ, VSTOXX: 0.3525σ, Bitcoin: 0.3413σ | Range: -3.718σ–2.405σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 2.202z (2026-08-05) | Range: -0.3723z–2.202z | Source: FRED, Cboe | Trend(5pt): -0.3723,0.306,0.5784,1.216,2.202
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.745
2.78 pp
2026-08-03
MOVEdelayedOVX 53.5, GVZ 23.5
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 21.27; VIX put/call 0.38; Fear & Greed 59); Days since last spike 89 days (VIX 16.58 vs 50d MA 17.36 / 200d MA 18.62; 21d realized vol 14.3 vs VIX 16.6).
Days since last spikeVIX 16.58 vs 50d MA 17.36 / 200d MA 18.62; 21d realized vol 14.3 vs VIX 16.6
89 days
2026-08-05
Volatility Regime Score
Composite
48.3
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
2.21
15
85(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.61
52
52
Risk-on / risk-offcross-asset appetite — positive is risk-on
2.20
100
0(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.18
28
28
What to watch
Services Sector PMI prints at 10:00 tomorrow, consensus 54.5. A break of the indicative dealer gamma flip at 7,630, or a VIX move out of the 15-20 band it has held on 83.0% of 1,692 historical sessions, would reframe the setup.
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