Equities staged a broad rally as a weak jobs report allayed rate-hike fears, lifting the S&P 500 47.68 points to 7,757.64. The index finished within 0.35% of its 12-month high and is up 3.58% over five sessions. The VIX fell 0.25 points to 14.90, remaining in the Very Low regime with the futures curve in contango. Risk-on conditions held firm at a score of 1.45, the 97th percentile of the past year. The dollar slipped 0.37% on the DXY to 99.60, the VXN dropped 1.13 points to 22.82, and SKEW eased 2.2 points to 132.6.
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 7,757.64 · VIX 14.90S&P 500 vs VIX — last 60 sessions | Latest: 7758 (2026-08-07) | Range: 7267–7758 | Source: Cboe, S&P Dow Jones Indices | Trend(6pt): 7408,7384,7354,7458,7710,7758 | VIX: 14.9 (range 14.9–22.22)
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Scenarios
The VIX closed at 15.45 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
82.9%
n=1,693
moves to 20-30
9.1%
n=185
moves to <15
7.9%
n=162
S&P 500 from here
Median
Worst 5%
Sample
next session
+0.06%
-2.01%
n=2,040
5 sessions
+0.37%
-4.32%
n=2,036
Risk Window
US high-impact releases and major central-bank events, for the sessions ahead.
Regime band Very Low (252d percentile 16%); VIX level 15.45 (z-score -0.81 (252d)); Vol-of-everything composite -0.4345 z (breadth 0% above 1y median) [delayed].
S&P 500 vs VIX — last 30 sessionsS&P 500 vs VIX — last 30 sessions | Latest: 7758 (2026-08-07) | Range: 7316–7758 | Source: Cboe, S&P Dow Jones Indices | Trend(5pt): 7440,7544,7443,7316,7758 | VIX: 14.9 (range 14.9–20.66)VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: Very Low (2026-08-10) | 30 sessions | Distribution: Very Low 20%, Low 33%, Normal 23%, High 20%, Very High 3% | Source: Cboe
Metric
Latest
As of
Regime band252d percentile 16%
Very Low
2026-08-10
VIX levelz-score -0.81 (252d)
15.45
2026-08-10
Vol-of-everything compositedelayedbreadth 0% above 1y median
HY OAS 2.71 pp (HYG/LQD 0.747) [delayed]; MOVE 70.88 (OVX 55.8, GVZ 25.6) [delayed]; Risk-on/off score 1.604 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 | US dollar (DXY): -1.096σ, S&P 500: 0.8473σ, VXN: -0.6885σ, SKEW: -0.5969σ, 10y breakeven: -0.5407σ, GVZ: 0.4357σ, OVX: -0.4151σ, Bitcoin: 0.357σ | Range: -1.096σ–0.8473σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 1.604z (2026-08-10) | Range: -0.3461z–1.634z | Source: FRED, Cboe | Trend(5pt): -0.2905,0.06695,0.5694,1.273,1.604
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.747
2.71 pp
2026-08-06
MOVEdelayedOVX 55.8, 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) -0.3493 z (percentile 35%; VXX 20.32; VIX put/call 0.38; Fear & Greed 64); Days since last spike 92 days (VIX 15.45 vs 50d MA 17.27 / 200d MA 18.57; 21d realized vol 14.0 vs VIX 15.4).
Days since last spikeVIX 15.45 vs 50d MA 17.27 / 200d MA 18.57; 21d realized vol 14.0 vs VIX 15.4
92 days
2026-08-10
Volatility Regime Score
Composite
51.8
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
0.86
8
92(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
6.07
77
77
Risk-on / risk-offcross-asset appetite — positive is risk-on
1.60
100
0(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.43
13
13
What to watch
A sustained push through the S&P 500's 12-month high, or a VIX climb back above 15, would change the picture. Options imply a 50-point move into 10 August; open interest peaks at 8,000 calls and 7,530 puts. Core CPI arrives 12 August.
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