Equity indexes barely budged near record territory, yet the VIX climbed 0.56 points to 15.46 even as the S&P 500 closed just 0.06% off its 12-month high.
The S&P 500 finished essentially flat at 7,753.11, down 0.06%, leaving it just 0.06% below its 12-month high after Wall Street had hit record highs as July payrolls eased rate fears. The VIX rose 0.56 points, or 3.76%, to 15.46 and stayed in the Very Low regime with the futures curve in contango. The risk-on/off score held at 1.49, in the 98th percentile of its one-year range. SKEW climbed 4.6 points to 137.1, Bitcoin fell 1.44%, and the dollar index advanced 0.21% to 99.81. Options into the 11 August expiry implied a 0.54% move, or 42 points.
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 7,753.11 · VIX 15.46S&P 500 vs VIX — last 60 sessions | Latest: 7753 (2026-08-10) | Range: 7267–7758 | Source: Cboe, S&P Dow Jones Indices | Trend(6pt): 7403,7406,7440,7443,7758,7753 | VIX: 15.46 (range 14.9–22.22)
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Scenarios
The VIX closed at 15.50 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=162
S&P 500 from here
Median
Worst 5%
Sample
next session
+0.06%
-2.01%
n=2,041
5 sessions
+0.37%
-4.32%
n=2,037
Risk Window
US high-impact releases and major central-bank events, for the sessions ahead.
Regime band Very Low (252d percentile 17%); VIX level 15.5 (z-score -0.80 (252d)); Vol-of-everything composite -0.423 z (breadth 0% above 1y median) [delayed].
S&P 500 vs VIX — last 30 sessionsS&P 500 vs VIX — last 30 sessions | Latest: 7753 (2026-08-10) | Range: 7316–7758 | Source: Cboe, S&P Dow Jones Indices | Trend(5pt): 7499,7575,7509,7438,7753 | VIX: 15.46 (range 14.9–20.66)VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: Very Low (2026-08-11) | 30 sessions | Distribution: Very Low 23%, Low 33%, Normal 20%, High 20%, Very High 3% | Source: Cboe
Metric
Latest
As of
Regime band252d percentile 17%
Very Low
2026-08-11
VIX levelz-score -0.80 (252d)
15.5
2026-08-11
Vol-of-everything compositedelayedbreadth 0% above 1y median
HY OAS 2.7 pp (HYG/LQD 0.750) [delayed]; MOVE 70.88 (OVX 56.1, GVZ 27.9) [delayed]; Risk-on/off score 1.557 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: 2.147σ, GVZ: 1.259σ, SKEW: 1.257σ, Nikkei VI: -1.004σ, US dollar (DXY): 0.6221σ, Bitcoin: -0.5452σ, VIX: 0.3611σ, VVIX: 0.3548σ | Range: -1.004σ–2.147σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 1.557z (2026-08-11) | Range: -0.3461z–1.634z | Source: FRED, Cboe | Trend(5pt): -0.247,0.105,0.4702,1.26,1.557
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.750
2.7 pp
2026-08-07
MOVEdelayedOVX 56.1, GVZ 27.9
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) -0.3493 z (percentile 35%; VXX 20.21; VIX put/call 0.38; Fear & Greed 65); Days since last spike 93 days (VIX 15.50 vs 50d MA 17.27 / 200d MA 18.56; 21d realized vol 14.0 vs VIX 15.5).
Days since last spikeVIX 15.50 vs 50d MA 17.27 / 200d MA 18.56; 21d realized vol 14.0 vs VIX 15.5
93 days
2026-08-11
Volatility Regime Score
Composite
50.3
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
1.44
12
88(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.98
72
72
Risk-on / risk-offcross-asset appetite — positive is risk-on
1.56
99
1(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.42
14
14
What to watch
A move further from the 12-month high, a VIX exit from the 15-20 band, or a drop in the risk-on score from the 98th percentile would change the picture. Tomorrow brings the RBA decision and existing home sales; US core inflation follows Wednesday.
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