Despite a second straight equity decline that left the S&P 500 0.34% below its 12-month high, the VIX fell 0.66 points to 15.15 in the Very Low regime.
The S&P 500 slipped 0.18% to 7,709.96 on a second consecutive decline, yet sits just 0.34% below its 12-month high. The VIX nonetheless fell 0.66 points, or 4.17%, to 15.15, remaining in contango within the Very Low regime. The risk-on/off score held at 1.48, the 98th percentile of its one-year range and 99th over three years. VSTOXX dropped 0.74 to 15.75 and Nikkei VI fell 3.29 to 29.78, while the dollar rose 0.28% and OVX jumped 5.9 to 57.3. One-month skew widened 0.86 vol points to 3.48. Into tomorrow's expiry the options market implies a 0.74% move, with peak open interest at the 7,800 call and 7,550 put.
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 7,709.96 · VIX 15.15S&P 500 vs VIX — last 60 sessions | Latest: 7710 (2026-08-06) | Range: 7267–7737 | Source: Cboe, S&P Dow Jones Indices | Trend(6pt): 7501,7584,7357,7534,7724,7710 | VIX: 15.15 (range 15.03–22.22)
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Scenarios
The VIX closed at 15.25 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=1,694
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=2,039
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
Regime band Very Low (252d percentile 13%); VIX level 15.25 (z-score -0.88 (252d)); Vol-of-everything composite -0.4808 z (breadth 0% above 1y median) [delayed].
S&P 500 vs VIX — last 30 sessionsS&P 500 vs VIX — last 30 sessions | Latest: 7710 (2026-08-06) | Range: 7316–7737 | Source: Cboe, S&P Dow Jones Indices | Trend(5pt): 7354,7483,7458,7429,7710 | VIX: 15.15 (range 15.03–20.66)VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: Very Low (2026-08-07) | 30 sessions | Distribution: Very Low 17%, Low 33%, Normal 23%, High 23%, Very High 3% | Source: Cboe
Metric
Latest
As of
Regime band252d percentile 13%
Very Low
2026-08-07
VIX levelz-score -0.88 (252d)
15.25
2026-08-07
Vol-of-everything compositedelayedbreadth 0% above 1y median
HY OAS 2.75 pp (HYG/LQD 0.747) [delayed]; MOVE 70.88 (OVX 57.3, GVZ 24.9) [delayed]; Risk-on/off score 1.772 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 | 10y breakeven: 2.163σ, OVX: 1.58σ, VSTOXX: -0.8527σ, US dollar (DXY): 0.8262σ, Nikkei VI: -0.6767σ, VIX: -0.425σ, GVZ: -0.4078σ, SKEW: 0.3899σ | Range: -0.8527σ–2.163σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 1.772z (2026-08-07) | Range: -0.3583z–1.772z | Source: FRED, Cboe | Trend(5pt): -0.3583,0.3359,0.5127,1.158,1.772
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.747
2.75 pp
2026-08-05
MOVEdelayedOVX 57.3, GVZ 24.9
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 20.23; VIX put/call 0.39; Fear & Greed 60); Days since last spike 91 days (VIX 15.25 vs 50d MA 17.28 / 200d MA 18.58; 21d realized vol 14.1 vs VIX 15.2).
Days since last spikeVIX 15.25 vs 50d MA 17.28 / 200d MA 18.58; 21d realized vol 14.1 vs VIX 15.2
91 days
2026-08-07
Volatility Regime Score
Composite
49.6
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
1.01
8
92(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.86
68
68
Risk-on / risk-offcross-asset appetite — positive is risk-on
1.77
100
0(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.48
12
12
What to watch
US Payroll Jobs Growth and the Unemployment Rate print at 08:30 tomorrow. Observable shifts include the S&P 500 moving further from its 12-month high or the VIX leaving the 15-20 band, where it has historically stayed 83% of the time across 1,694 sessions.
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