The S&P 500 fell 0.32%, or 24.91 points, to 7,728.20 for a second straight session, leaving the index 0.38% below its 12-month high. Headlines linked the pressure to a US-Iran standoff that lifted oil and dented stocks. The VIX nonetheless slipped 0.18 points to 15.28, a 1.16% drop that kept the gauge in the Very Low regime and in contango, underscoring a quiet realised-volatility backdrop. Cross-asset measures eased too: VSTOXX fell 0.55 to 15.39, VXN dropped 0.66 to 22.38, and SKEW declined 1.5 to 135.6. The risk-on score held at 1.48, in the 98th percentile of its one-year range. Options implied a 0.77% expected move, or 60 points, into the August 12 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
A session without a standout move. With the VIX at 15.28, this is where realised volatility sits across horizons.
Headlines are linked to their publishers; inclusion is not endorsement and reflects coverage during the session window only.
Scenarios
The VIX closed at 15.37 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=1,695
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=2,038
Risk Window
US high-impact releases and major central-bank events, for the sessions ahead.
August 12, 2026
Core Inflation Rate Month-over-Month08:30 · United Statescons. 0.2
Core Inflation Rate Year-over-Year08:30 · United Statescons. 2.5
Inflation Rate Month-over-Month08:30 · United Statescons. 0.1
Inflation Rate Year-over-Year08:30 · United Statescons. 3.4
+1 more
August 13, 2026
Producer Price Index Month-over-Month08:30 · United Statescons. 0.2
Speech by RBA's Gov Bullock19:30 · Australia
August 14, 2026
Retail Sales Month-over-Month08:30 · United Statescons. 0.1
Michigan Consumer Sentiment Preliminary10:00 · United Statescons. 54.5
Regime band Very Low (252d percentile 15%); VIX level 15.37 (z-score -0.84 (252d)); Vol-of-everything composite -0.4524 z (breadth 0% above 1y median) [delayed].
S&P 500 vs VIX — last 30 sessionsS&P 500 vs VIX — last 30 sessions | Latest: 7728 (2026-08-11) | Range: 7316–7758 | Source: Cboe, S&P Dow Jones Indices | Trend(5pt): 7483,7515,7499,7490,7728 | VIX: 15.28 (range 14.9–20.66)VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: Very Low (2026-08-12) | 30 sessions | Distribution: Very Low 27%, Low 30%, Normal 20%, High 20%, Very High 3% | Source: Cboe
Metric
Latest
As of
Regime band252d percentile 15%
Very Low
2026-08-12
VIX levelz-score -0.84 (252d)
15.37
2026-08-12
Vol-of-everything compositedelayedbreadth 0% above 1y median
HY OAS 2.7 pp (HYG/LQD 0.750) [delayed]; MOVE 70.88 (OVX 55.0, GVZ 26.0) [delayed]; Risk-on/off score 1.489 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: -1.072σ, GVZ: -1.061σ, VSTOXX: -0.6332σ, S&P 500: -0.443σ, SKEW: -0.4245σ, VXN: -0.4027σ, OVX: -0.2885σ, VVIX: -0.2736σ | Range: -1.072σ–-0.2736σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 1.489z (2026-08-12) | Range: -0.3461z–1.634z | Source: FRED, Cboe | Trend(5pt): -0.02982,0.2409,0.4192,1.292,1.489
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.750
2.7 pp
2026-08-10
MOVEdelayedOVX 55.0, GVZ 26.0
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 20.05; VIX put/call 0.38; Fear & Greed 61); Days since last spike 94 days (VIX 15.37 vs 50d MA 17.25 / 200d MA 18.55; 21d realized vol 13.7 vs VIX 15.4).
Days since last spikeVIX 15.37 vs 50d MA 17.25 / 200d MA 18.55; 21d realized vol 13.7 vs VIX 15.4
94 days
2026-08-12
Volatility Regime Score
Composite
49.8
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
1.56
12
88(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.95
71
71
Risk-on / risk-offcross-asset appetite — positive is risk-on
1.49
98
2(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.45
12
12
What to watch
Core CPI is due at 08:30 on August 12 with a 0.2% month-over-month consensus. A break of the VIX out of the 15-20 band would mark a shift from the pattern seen on 83.0% of 1,695 comparable sessions.
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