The S&P 500 closed down 0.17% at 7,723.55, a 12.97-point decline that still left the index 0.17% below its 12-month high after a five-day gain of 5.57%. The VIX fell 0.69 points, or 4.18%, to 15.81 and remained in the Low regime with the term structure in contango. Risk appetite stayed elevated: the risk-on/off score held at 1.46, in the 98th percentile of its one-year range. SKEW jumped 6.9 points to 133.3, while VXN dropped 1.33 points to 24.15 and VSTOXX eased 0.77 to 16.49. The dollar slipped 0.20% on the DXY to 99.69. Asia climbed as tech mood swung and oil retreated, with SoftBank jumping 10% and the ASX 200 and NZX 50 reaching new highs. One-month skew compressed 1.02 vol points to 2.62.
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 7,723.55 · VIX 15.81S&P 500 vs VIX — last 60 sessions | Latest: 7724 (2026-08-05) | Range: 7267–7737 | Source: Cboe, S&P Dow Jones Indices | Trend(6pt): 7444,7554,7358,7572,7737,7724 | VIX: 15.81 (range 15.03–22.22)
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Scenarios
The VIX closed at 15.96 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=1,693
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=2,038
5 sessions
+0.37%
-4.32%
n=2,035
Risk Window
US high-impact releases and major central-bank events, for the sessions ahead.
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
August 14, 2026
Retail Sales Month-over-Month08:30 · United States
Michigan Consumer Sentiment Preliminary10:00 · United States
HY OAS 2.73 pp (HYG/LQD 0.745) [delayed]; MOVE 70.88 (OVX 51.5, GVZ 25.6) [delayed]; Risk-on/off score 2.139 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: 1.886σ, GVZ: 1.168σ, VSTOXX: -0.8851σ, VXN: -0.8102σ, VXX: -0.6683σ, US dollar (DXY): -0.5909σ, 10y breakeven: -0.5407σ, OVX: -0.5327σ | Range: -0.8851σ–1.886σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 2.139z (2026-08-06) | Range: -0.3583z–2.139z | Source: FRED, Cboe | Trend(5pt): -0.3164,0.117,0.2873,1.148,2.139
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.745
2.73 pp
2026-08-04
MOVEdelayedOVX 51.5, GVZ 25.6
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 20.51; VIX put/call 0.38; Fear & Greed 60); Days since last spike 90 days (VIX 15.96 vs 50d MA 17.32 / 200d MA 18.60; 21d realized vol 14.2 vs VIX 16.0).
Days since last spikeVIX 15.96 vs 50d MA 17.32 / 200d MA 18.60; 21d realized vol 14.2 vs VIX 16.0
90 days
2026-08-06
Volatility Regime Score
Composite
48.7
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
1.63
12
88(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.72
60
60
Risk-on / risk-offcross-asset appetite — positive is risk-on
2.14
100
0(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.32
19
19
What to watch
A move that takes the S&P 500 clear of its 12-month high area, or a VIX exit from the 15-20 band it has held on 83% of 1,693 historical sessions, would change the picture. Payrolls and unemployment print on 7 August.
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