Volatility Regime Read

VIX Daily

August 14, 2026

Covering the August 13, 2026 session

The S&P 500 rose 0.65% to 7,798.99 and the VIX rose 0.08 points to 14.63 on 2026-08-13.

RegimeVery Low

Term structureContango

Short-end stressNone

S&P 500

7,798.99

+50.49 (+0.65%)

VIX

14.63

+0.08 (+0.5%)

Risk-on / risk-off

1.43

-0.07 on the session

96th pctile, 1y · risk-on · 0 = neutral, higher = more risk-on

The Session

The volatility regime screens Very Low and the futures curve is in contango. The session's largest standardised moves were 10y breakeven 2.24% (-0.02%); GVZ 23.9 (-1.7); S&P 500 7,798.99 (+0.65%). The composite risk-on/risk-off score reads 1.43 (risk-on), -0.07 on the session. That was the S&P 500 within 0.35% of its 12-month high.

Dashboard

Metric	Latest	Session	Context
S&P 500	7,798.99	+50.49	+0.65% on the session
VIX	14.63	+0.08	+0.55% on the session
Regime band	Very Low	—	252d percentile 4%
VIX / VIX3M	0.786	—	above 1 is backwardation
Risk-on / risk-off	+1.43	-0.07	96th percentile, 1y
Expected move	±0.52%	-0.04	to 2026-08-14, options-implied
25-delta skew, 1m	2.78	-0.24	vol points, put over call
Same-day expiry share	65.3%	+5.9	of session option volume
Volatility regime score	46.0	—	Neutral · 0-100, higher is more stress

Levels & Expected Move

Expected move

±41 (0.52%)

to 2026-08-14, 1d · ATM IV 10.0%

Peak OI strikes

7,500 / 7,900

put / call, 2026-08-14 · call +370, put -50

Assumed dealer gamma

+442,721

indicative · sign change near 7,780

Same-day expiries

65.3%

share of session volume · +5.9pp

Assumed dealer gamma by strike · thousands · indicative — the dealer side of each contract is assumed, not observed

At-the-money implied volatility by maturity

Maturity	25Δ skew (vol pts)	ATM IV
1w 2026-08-20, 7d	1.42	9.13%
1m 2026-09-11, 29d	2.78	12.02%
3m 2026-11-20, 99d	4.63	14.82%

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 7,798.99 · VIX 14.63

What Moved the Tape — August 13, 2026 session

Stock market today: Dow, S&P 500, Nasdaq gain on soft inflation data, earningsYahoo Entertainment · 2026-08-13
Benchmarks end sideways; metal shares tumbleBusiness Standard · 2026-08-13
Benchmarks trade in negative terrain; oil & gas shares declineBusiness Standard · 2026-08-13

Headlines are linked to their publishers; inclusion is not endorsement and reflects coverage during the session window only.

Scenarios

The VIX closed at 14.50 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=1,934
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 14, 2026

Retail Sales Month-over-Month08:30 · United Statescons. 0.1
Michigan Consumer Sentiment Preliminary10:00 · United Statescons. 54.5

August 18, 2026

Building Permits Preliminary08:30 · United States
Housing Starts Level08:30 · United Statescons. 1340000.00
Speech by RBA's Hauser22:45 · Australia

August 19, 2026

FOMC Meeting Minutes14:00 · United States

S&P 500 options: 2026-08-14, 2026-08-20, 2026-08-27 · VIX futures: 2026-08-19, 2026-09-16

Regime

Regime band Very Low (252d percentile 4%); VIX level 14.5 (z-score -1.10 (252d)); Vol-of-everything composite -0.6493 z (breadth 0% above 1y median) [delayed].

S&P 500 vs VIX — last 30 sessions

VIX regime — last 30 sessions

Metric	Latest	As of
Regime band252d percentile 4%	Very Low	2026-08-14
VIX levelz-score -1.10 (252d)	14.5	2026-08-14
Vol-of-everything compositedelayedbreadth 0% above 1y median	-0.6493 z	2026-08-14

Term Structure

VIX / VIX3M 0.7861 (contango, streak 1d); Short-end stress 9.49 (VIX1D vs VIX 14.63; no short-end stress); Short-vol carry 0.272 (positive short-vol carry).

Metric	Latest	As of
VIX / VIX3Mcontango, streak 1d	0.7861	2026-08-13
Short-end stressVIX1D vs VIX 14.63; no short-end stress	9.49	2026-08-13
Short-vol carrypositive short-vol carry	0.272	2026-08-13

Vol-of-Vol & Tail

VVIX / VIX 6.112 (VVIX 89.4); SKEW 134.4 (Cboe SKEW index (tail-hedging demand)); VRP 0.8321 (VIX minus 21d realized vol (vol points)).

Variance risk premium (VIX − 21d realized)

Metric	Latest	As of
VVIX / VIXVVIX 89.4	6.112	2026-08-13
SKEWCboe SKEW index (tail-hedging demand)	134.4	2026-08-13
VRPVIX minus 21d realized vol (vol points)	0.8321	2026-08-13

Cross-Asset

HY OAS 2.71 pp (HYG/LQD 0.749) [delayed]; MOVE 70.88 (OVX 49.4, GVZ 23.9) [delayed]; Risk-on/off score 1.458 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 range

Risk-on / risk-off score · σ from neutral · above the zero line is risk-on

Metric	Latest	As of
HY OASdelayedHYG/LQD 0.749	2.71 pp	2026-08-12
MOVEdelayedOVX 49.4, GVZ 23.9	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	1.458 z	2026-08-14

Cross-Country

VIX − VSTOXX (US–Europe fear gap) -0.6321 (Nikkei-VI/VIX 2.14; India-VIX/VIX 0.78; RVX/VIX 1.24) [proxy].

Metric	Latest	As of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 2.14; India-VIX/VIX 0.78; RVX/VIX 1.24	-0.6321	2026-08-13

Positioning

VIX futures COT (net non-commercial z) -0.3493 z (percentile 35%; VXX 19.62; VIX put/call 0.37; Fear & Greed 67); Days since last spike 96 days (VIX 14.50 vs 50d MA 17.18 / 200d MA 18.53; 21d realized vol 13.8 vs VIX 14.5).

Metric	Latest	As of
VIX futures COT (net non-commercial z)percentile 35%; VXX 19.62; VIX put/call 0.37; Fear & Greed 67	-0.3493 z	2026-08-04
Days since last spikeVIX 14.50 vs 50d MA 17.18 / 200d MA 18.53; 21d realized vol 13.8 vs VIX 14.5	96 days	2026-08-14

Volatility Regime Score

Composite

46.0

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	0.83	8	92(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge	6.11	81	81
Risk-on / risk-offcross-asset appetite — positive is risk-on	1.46	96	4(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes	-0.65	6	6

What to watch

For context, the S&P 500 sits 0.00% below its 12-month high and the VIX is -0.52 points over five sessions.

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