The S&P 500 fell 0.87%, or 66.82 points, to 7,641.16, taking its five-day loss to 2.02% and leaving the index 2.02% below its 12-month high. The VIX rose 1.12 points to 16.01, its largest one-day advance in 16 sessions, but stayed in the Very Low regime with the term structure in contango and no short-end stress. VVIX climbed 3.3 to 89.9 and one-month skew widened 0.90 vol points to 4.52. Bitcoin gained 5.44% to 73,033 and the risk-on/off score held at 1.09, still risk-on at the 72nd percentile of its one-year range. Front-expiry options implied a 0.68% move, or 52 points.
Dashboard
Metric
Latest
Session
Context
S&P 500
7,641.16
-66.82
-0.87% on the session
VIX
16.01
+1.12
+7.52% on the session
Regime band
Very Low
—
252d percentile 18%
VIX / VIX3M
0.840
—
above 1 is backwardation
Risk-on / risk-off
+1.09
-0.03
72th percentile, 1y
Expected move
±0.68%
+0.14
to 2026-08-21, options-implied
25-delta skew, 1m
4.52
+0.90
vol points, put over call
Same-day expiry share
58.5%
-7.7
of session option volume
Volatility regime score
45.8
—
Neutral · 0-100, higher is more stress
Levels & Expected Move
Expected move
±52 (0.68%)
to 2026-08-21, 1d · ATM IV 13.1%
Peak OI strikes
7,000 / 8,000
put / call, 2026-08-21 · call -100, put -500
Assumed dealer gamma
-132,677
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
The volatility regime shifted from Low to Very Low.
VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: Very Low (2026-08-21) | 30 sessions | Distribution: Very Low 37%, Low 23%, Normal 17%, High 20%, Very High 3% | Source: Cboe
This session produced the largest one-day VIX rise in 16 sessions.
S&P 500 vs VIX — last 60 sessions · S&P 500 7,641.16 · VIX 16.01S&P 500 vs VIX — last 60 sessions | Latest: 7641 (2026-08-20) | Range: 7267–7799 | Source: Cboe, S&P Dow Jones Indices | Trend(6pt): 7564,7420,7544,7316,7692,7641 | VIX: 16.01 (range 14.25–22.22)
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Scenarios
The VIX closed at 15.67 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=164
S&P 500 from here
Median
Worst 5%
Sample
next session
+0.06%
-2.01%
n=2,045
5 sessions
+0.37%
-4.30%
n=2,043
Risk Window
US high-impact releases and major central-bank events, for the sessions ahead.
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 Statescons. 0.2
Durable Goods Orders Month-over-Month08:30 · United Statescons. 0.7
GDP Growth Quarter-over-Quarter Second Estimate08:30 · United Statescons. 1.5
Personal Income Month-over-Month08:30 · United Statescons. 0.3
+3 more
August 28, 2026
Non Farm Payrolls Annual Revision Prel10:00 · United States
Regime band Very Low (252d percentile 18%); VIX level 15.67 (z-score -0.74 (252d)); Vol-of-everything composite -0.3816 z (breadth 0% above 1y median) [delayed].
S&P 500 vs VIX — last 30 sessionsS&P 500 vs VIX — last 30 sessions | Latest: 7641 (2026-08-20) | Range: 7316–7799 | Source: Cboe, S&P Dow Jones Indices | Trend(5pt): 7515,7499,7490,7728,7641 | VIX: 16.01 (range 14.25–20.66)VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: Very Low (2026-08-21) | 30 sessions | Distribution: Very Low 37%, Low 23%, Normal 17%, High 20%, Very High 3% | Source: Cboe
Metric
Latest
As of
Regime band252d percentile 18%
Very Low
2026-08-21
VIX levelz-score -0.74 (252d)
15.67
2026-08-21
Vol-of-everything compositedelayedbreadth 0% above 1y median
HY OAS 2.73 pp (HYG/LQD 0.750) [delayed]; MOVE 73.18 (OVX 49.6, GVZ 27.3); Risk-on/off score 0.8498 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 | Bitcoin: 2.208σ, 10y breakeven: 2.134σ, S&P 500: -1.184σ, VXN: 0.7443σ, VIX: 0.7222σ, VVIX: 0.5655σ, Nikkei VI: -0.5647σ, OVX: 0.5222σ | Range: -1.184σ–2.208σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 0.8498z (2026-08-21) | Range: -0.3461z–1.634z | Source: FRED, Cboe | Trend(5pt): -0.03136,-0.1554,-0.06181,1.277,0.8498
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.750
2.73 pp
2026-08-19
MOVEOVX 49.6, GVZ 27.3
73.18
2026-08-20
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 19.19; VIX put/call 0.36; Fear & Greed 52); Days since last spike 101 days (VIX 15.67 vs 50d MA 16.77 / 200d MA 18.48; 21d realized vol 13.7 vs VIX 15.7).
Days since last spikeVIX 15.67 vs 50d MA 16.77 / 200d MA 18.48; 21d realized vol 13.7 vs VIX 15.7
101 days
2026-08-21
Volatility Regime Score
Composite
45.8
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
2.35
21
79(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.61
52
52
Risk-on / risk-offcross-asset appetite — positive is risk-on
0.85
61
39(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.38
12
12
What to watch
Historically, sessions that opened in the 15-20 VIX band have remained there on 82.9% of 1,696 observations. Core PCE, durable goods and the second GDP estimate are due 26 August; a shift out of the Very Low band would reframe the tape.
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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.