The S&P 500 advanced 0.26%, or 20.30 points, to 7,748.50, keeping the index within 0.12% of its 12-month high. The VIX fell 0.73 points, or 4.78%, to 14.55 and stayed in the Very Low regime, with the curve in contango and no short-end stress. The pairing sat against a risk-on reading of 1.42 standard deviations above neutral, at the 95th percentile of the past year and the 98th over three years. VXN dropped 1.41 points to 20.97 and VXX slipped 2.99%, while OVX eased 2.6 points to 52.3. Nikkei VI jumped 7.07 points to 32.06 as Sensex and Nifty traded lower ahead of CPI and European markets declined, per Business Standard. The dollar index rose 0.19% to 100.01.
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 7,748.50 · VIX 14.55S&P 500 vs VIX — last 60 sessions | Latest: 7748 (2026-08-12) | Range: 7267–7758 | Source: Cboe, S&P Dow Jones Indices | Trend(6pt): 7433,7267,7483,7499,7728,7748 | VIX: 14.55 (range 14.55–22.22)
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Scenarios
The VIX closed at 14.60 in the <15 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
92.3%
n=1,933
moves to 15-20
7.7%
n=162
S&P 500 from here
Median
Worst 5%
Sample
next session
+0.06%
-1.38%
n=2,094
5 sessions
+0.24%
-3.43%
n=2,093
Risk Window
US high-impact releases and major central-bank events, for the sessions ahead.
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 4%); VIX level 14.6 (z-score -1.07 (252d)); Vol-of-everything composite -0.627 z (breadth 0% above 1y median) [delayed].
S&P 500 vs VIX — last 30 sessionsS&P 500 vs VIX — last 30 sessions | Latest: 7748 (2026-08-12) | Range: 7316–7758 | Source: Cboe, S&P Dow Jones Indices | Trend(5pt): 7483,7544,7408,7600,7748 | VIX: 14.55 (range 14.55–20.66)VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: Very Low (2026-08-13) | 30 sessions | Distribution: Very Low 30%, Low 27%, Normal 20%, High 20%, Very High 3% | Source: Cboe
Metric
Latest
As of
Regime band252d percentile 4%
Very Low
2026-08-13
VIX levelz-score -1.07 (252d)
14.6
2026-08-13
Vol-of-everything compositedelayedbreadth 0% above 1y median
HY OAS 2.72 pp (HYG/LQD 0.750) [delayed]; MOVE 70.88 (OVX 52.3, GVZ 25.6) [delayed]; Risk-on/off score 1.363 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 | Nikkei VI: 1.445σ, VXN: -0.8583σ, OVX: -0.71σ, US dollar (DXY): 0.5642σ, 10y breakeven: -0.5408σ, VXX: -0.5303σ, VIX: -0.4719σ, VVIX: -0.4092σ | Range: -0.8583σ–1.445σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 1.363z (2026-08-13) | Range: -0.3461z–1.634z | Source: FRED, Cboe | Trend(5pt): 0.01166,0.123,0.1195,1.273,1.363
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.750
2.72 pp
2026-08-11
MOVEdelayedOVX 52.3, 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 19.45; VIX put/call 0.38; Fear & Greed 62); Days since last spike 95 days (VIX 14.60 vs 50d MA 17.21 / 200d MA 18.54; 21d realized vol 13.7 vs VIX 14.6).
Days since last spikeVIX 14.60 vs 50d MA 17.21 / 200d MA 18.54; 21d realized vol 13.7 vs VIX 14.6
95 days
2026-08-13
Volatility Regime Score
Composite
46.2
Neutral · 4 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
Variance risk premiumimplied minus realized — a wide premium is the calm state
0.85
8
92(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
6.08
79
79
Risk-on / risk-offcross-asset appetite — positive is risk-on
1.36
93
7(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.63
7
7
What to watch
Options imply a 0.56% move, or 44 points, through tomorrow’s expiry. Historically, sessions opening with the VIX below 15 have stayed in that band 92.3% of the time across 1,933 observations. Tomorrow’s PPI is the next scheduled US print.
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The VIX Daily lands before the US open with the previous session's close, what the options market is pricing, and the week's scheduled risk. Free.