The S&P 500 fell 0.69%, or 53.30 points, to 7,691.76 on its third straight decline, as a bond selloff sapped risk appetite per Bloomberg Markets. The VIX rose 0.65 points to 15.84, a 0.4 daily-sigma lift that left it in the Low regime with the curve in contango — a modest response relative to the equity drop and consistent with where realised volatility has been running. VXN climbed to 22.56 and VSTOXX to 13.36, while OVX and GVZ both declined. Risk appetite stayed elevated at 1.28 standard deviations above neutral, though the score eased 0.19. One-month skew widened 0.38 points to 4.15, and options priced a 0.59% expected move into tomorrow's expiry.
Dashboard
Metric
Latest
Session
Context
S&P 500
7,691.76
-53.30
-0.69% on the session
VIX
15.84
+0.65
+4.28% on the session
Regime band
Low
—
252d percentile 23%
VIX / VIX3M
0.914
—
above 1 is backwardation
Risk-on / risk-off
+1.28
-0.19
87th percentile, 1y
Expected move
±0.59%
+0.10
to 2026-08-19, options-implied
25-delta skew, 1m
4.15
+0.38
vol points, put over call
Same-day expiry share
60.6%
-4.0
of session option volume
Volatility regime score
52.2
—
Neutral · 0-100, higher is more stress
Levels & Expected Move
Expected move
±46 (0.59%)
to 2026-08-19, 1d · ATM IV 11.3%
Peak OI strikes
7,630 / 7,725
put / call, 2026-08-19 · call -375, put +205
Assumed dealer gamma
-45,932
indicative · no sign change within the near-dated book
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 15.84, 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 15.82 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
82.9%
n=1,696
moves to 20-30
9.0%
n=185
moves to <15
8.0%
n=163
S&P 500 from here
Median
Worst 5%
Sample
next session
+0.06%
-2.01%
n=2,043
5 sessions
+0.37%
-4.32%
n=2,040
Risk Window
US high-impact releases and major central-bank events, for the sessions ahead.
August 19, 2026
FOMC Meeting Minutes14:00 · United States
August 24, 2026
RBA Meeting Minutes21:30 · Australia
August 25, 2026
Speech by RBA's Jacobs01:00 · Australia
August 26, 2026
Core PCE Price Index Month-over-Month08:30 · United States
Durable Goods Orders Month-over-Month08:30 · United States
GDP Growth Quarter-over-Quarter Second Estimate08:30 · United Statescons. 1.5
Personal Income Month-over-Month08:30 · United States
HY OAS 2.7 pp (HYG/LQD 0.751) [delayed]; MOVE 74.98 (OVX 47.2, GVZ 24.0); Risk-on/off score 1.117 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 | OVX: -1.543σ, 10y breakeven: 1.076σ, S&P 500: -0.9459σ, VXN: 0.6401σ, GVZ: -0.6317σ, VSTOXX: 0.4386σ, VIX: 0.4198σ, Nikkei VI: 0.2127σ | Range: -1.543σ–1.076σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 1.117z (2026-08-19) | Range: -0.3461z–1.634z | Source: FRED, Cboe | Trend(5pt): -0.02063,-0.1499,0.1869,1.25,1.117
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.751
2.7 pp
2026-08-17
MOVEOVX 47.2, GVZ 24.0
74.98
2026-08-18
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) -0.6409 z (percentile 25%; VXX 19.65; VIX put/call 0.36; Fear & Greed 54); Days since last spike 99 days (VIX 15.82 vs 50d MA 17.00 / 200d MA 18.51; 21d realized vol 14.3 vs VIX 15.8).
Days since last spikeVIX 15.82 vs 50d MA 17.00 / 200d MA 18.51; 21d realized vol 14.3 vs VIX 15.8
99 days
2026-08-19
Volatility Regime Score
Composite
52.2
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
15
85(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.86
69
69
Risk-on / risk-offcross-asset appetite — positive is risk-on
1.12
73
27(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.35
4
4
What to watch
FOMC minutes are due tomorrow at 14:00. Whether the VIX holds the 15–20 band — it has stayed there on 82.9% of 1,696 historical sessions — and trade inside the 46-point implied move would keep the picture intact.
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