Volatility Regime Read

VIX Daily

August 17, 2026

Covering the August 14, 2026 session

The S&P 500 fell 0.17% to 7,785.76 and the VIX eased 0.38 points to 14.25 on 2026-08-14.

RegimeVery Low

Term structureContango

Short-end stressN/A

S&P 500

7,785.76

-13.23 (-0.17%)

VIX

14.25

-0.38 (-2.6%)

Risk-on / risk-off

1.49

+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 2.27% (+0.03%); SKEW 138.4 (+4.0); US dollar (DXY) 99.67 (-0.29%). The composite risk-on/risk-off score reads 1.49 (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	7,785.76	-13.23	-0.17% on the session
VIX	14.25	-0.38	-2.60% on the session
Regime band	Very Low	—	252d percentile 9%
VIX / VIX3M	0.914	—	above 1 is backwardation
Risk-on / risk-off	+1.49	+0.07	96th percentile, 1y
Expected move	±0.48%	-0.04	to 2026-08-17, options-implied
25-delta skew, 1m	2.91	+0.13	vol points, put over call
Same-day expiry share	65.4%	+0.1	of session option volume
Volatility regime score	52.5	—	Neutral · 0-100, higher is more stress

Levels & Expected Move

Expected move

±37 (0.48%)

to 2026-08-17, 3d · ATM IV 5.3%

Peak OI strikes

7,535 / 7,850

put / call, 2026-08-17 · call -50, put +35

Assumed dealer gamma

+72,265

indicative · sign change near 7,835

Same-day expiries

65.4%

share of session volume · +0.1pp

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 2026-08-21, 7d	1.32	8.20%
1m 2026-09-14, 31d	2.91	11.29%
3m 2026-11-20, 98d	4.70	14.61%

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 7,785.76 · VIX 14.25

What Moved the Tape — August 14, 2026 session

Cooler inflation data may force Warsh's divided Fed to hold the line on rates - ReutersReuters Business · 2026-08-14
Dow, S&P 500 Futures Climb, Nasdaq Futures Inch Lower After July PPI Cools Fed Rate Hike Expectations - TradingViewGoogle News US · 2026-08-14
Dollar Falls as Rate-Hike Prospects Dim and Treasury Yields Rise With Oil PricesYahoo Finance · 2026-08-14
Strong Market Rally Lifts Four Stocks Near Buy Points, New HighsYahoo Finance · 2026-08-14
Canada's Core Inflation Softness Guides Bank Of Canada's Rate Path, Says TD Securities - Bitcoin WorldGoogle News Canada · 2026-08-14

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

Scenarios

The VIX closed at 14.92 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=1,935
moves to 15-20	7.7%	n=162

S&P 500 from here	Median	Worst 5%	Sample
next session	+0.06%	-1.38%	n=2,095
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 18, 2026

Building Permits Preliminary08:30 · United Statescons. 1370000.00
Housing Starts Level08:30 · United Statescons. 1350000.00

August 19, 2026

FOMC Meeting Minutes14:00 · United States

S&P 500 options: 2026-08-17, 2026-08-21, 2026-08-27 · VIX futures: 2026-08-19, 2026-09-16

Regime

Regime band Very Low (252d percentile 9%); VIX level 14.92 (z-score -0.97 (252d)); Vol-of-everything composite -0.5535 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 9%	Very Low	2026-08-17
VIX levelz-score -0.97 (252d)	14.92	2026-08-17
Vol-of-everything compositedelayedbreadth 0% above 1y median	-0.5535 z	2026-08-17

Term Structure

VIX / VIX3M 0.9138 (contango, streak 70d) [delayed]; Short-end stress 16.69 (VIX1D vs VIX 18.77; short-end reading delayed (as of 2026-07-17)) [delayed]; Short-vol carry 0.0943 (positive short-vol carry) [delayed].

Metric	Latest	As of
VIX / VIX3Mdelayedcontango, streak 70d	0.9138	2026-07-17
Short-end stressdelayedVIX1D vs VIX 18.77; short-end reading delayed (as of 2026-07-17)	16.69	2026-07-17
Short-vol carrydelayedpositive short-vol carry	0.0943	2026-07-17

Vol-of-Vol & Tail

VVIX / VIX 6.139 (VVIX 87.5); SKEW 138.4 (Cboe SKEW index (tail-hedging demand)); VRP 0.6055 (VIX minus 21d realized vol (vol points)).

Variance risk premium (VIX − 21d realized)

Metric	Latest	As of
VVIX / VIXVVIX 87.5	6.139	2026-08-14
SKEWCboe SKEW index (tail-hedging demand)	138.4	2026-08-14
VRPVIX minus 21d realized vol (vol points)	0.6055	2026-08-14

Cross-Asset

HY OAS 2.71 pp (HYG/LQD 0.751) [delayed]; MOVE 70.88 (OVX 49.5, GVZ 23.9) [delayed]; Risk-on/off score 1.518 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 0.751	2.71 pp	2026-08-13
MOVEdelayedOVX 49.5, 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	1.518 z	2026-08-17

Cross-Country

VIX − VSTOXX (US–Europe fear gap) 1.367 (Nikkei-VI/VIX 1.98; India-VIX/VIX 0.76; RVX/VIX 1.21) [proxy].

Metric	Latest	As of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.98; India-VIX/VIX 0.76; RVX/VIX 1.21	1.367	2026-08-14

Positioning

VIX futures COT (net non-commercial z) -0.6409 z (percentile 25%; VXX 19.36; VIX put/call 0.37; Fear & Greed 65); Days since last spike 97 days (VIX 14.92 vs 50d MA 17.17 / 200d MA 18.52; 21d realized vol 13.6 vs VIX 14.9).

Metric	Latest	As of
VIX futures COT (net non-commercial z)percentile 25%; VXX 19.36; VIX put/call 0.37; Fear & Greed 65	-0.6409 z	2026-08-11
Days since last spikeVIX 14.92 vs 50d MA 17.17 / 200d MA 18.52; 21d realized vol 13.6 vs VIX 14.9	97 days	2026-08-17

Volatility Regime Score

Composite

52.5

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	0.61	7	93(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge	6.14	82	82
Risk-on / risk-offcross-asset appetite — positive is risk-on	1.52	96	4(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes	-0.55	7	7

What to watch

For context, the S&P 500 sits 0.17% below its 12-month high and the VIX is -0.65 points over five sessions.

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