The S&P 500 advanced 0.43% to 7,674.37 after a five-day decline of 1.43%, while the VIX dropped 0.88 points to 15.13 and the volatility regime shifted from Very Low into Low. The VXN fell 1.28 points to 21.98 and the VVIX declined 3.6 to 86.3. Bitcoin led the cross-asset panel, jumping 7.26% to 78,335 in a 3.06-sigma move. The risk-on score rose to 1.15, at the 76th percentile of its one-year range. Headlines cited a rebound in Treasury yields after services PMI beat estimates, Goldman arguing slowing inflation is the best path to lower US yields, and hedge funds adding to megacap tech. Term structure stayed in contango with no short-end stress.
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 Very Low to Low.
VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: Low (2026-08-24) | 30 sessions | Distribution: Very Low 37%, Low 27%, Normal 13%, High 20%, Very High 3% | Source: Cboe
Bitcoin moved 3.06σ higher — the largest standardised move across the cross-asset panel.
Headlines are linked to their publishers; inclusion is not endorsement and reflects coverage during the session window only.
Scenarios
The VIX closed at 15.94 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=1,697
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 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
+2 more
August 28, 2026
Non Farm Payrolls Annual Revision Prel10:00 · United States
HY OAS 2.63 pp (HYG/LQD 0.752) [delayed]; MOVE 73.4 (OVX 49.6, GVZ 27.3); Risk-on/off score 0.7195 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: 3.059σ, VSTOXX: -2.223σ, VXN: -0.7801σ, VVIX: -0.6096σ, S&P 500: 0.5883σ, VIX: -0.5675σ, US dollar (DXY): -0.2964σ, Nikkei VI: -0.266σ | Range: -2.223σ–3.059σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 0.7195z (2026-08-24) | Range: -0.3461z–1.634z | Source: FRED, Cboe | Trend(5pt): 0.1625,-0.3461,0.03113,1.401,0.7195
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.752
2.63 pp
2026-06-17
MOVEOVX 49.6, GVZ 27.3
73.4
2026-08-21
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) -0.9467 z (percentile 18%; VXX 18.95; VIX put/call 0.36; Fear & Greed 55); Days since last spike 102 days (VIX 15.94 vs 50d MA 16.69 / 200d MA 18.47; 21d realized vol 12.8 vs VIX 15.9).
Days since last spikeVIX 15.94 vs 50d MA 16.69 / 200d MA 18.47; 21d realized vol 12.8 vs VIX 15.9
102 days
2026-08-24
Volatility Regime Score
Composite
49.1
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
2.28
20
80(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.70
59
59
Risk-on / risk-offcross-asset appetite — positive is risk-on
0.72
58
42(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.32
15
15
What to watch
A sustained equity move beyond the 0.55% range the options market implies through 24 August, or a VIX exit from the 15-20 band, would change the setup. Core PCE, durable goods orders and the GDP second estimate arrive 26 August.
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