The S&P 500 finished 21.51 points lower at 7,652.86, down 0.28% and 1.87% below its 12-month high. The VIX rose 0.72 points, or 4.76%, to 15.85 — a half-sigma move that held the Low regime, with the curve in contango and no short-end stress. Bloomberg cited preparation for Nvidia earnings and Jackson Hole; Reuters had flagged Iran and inflation tests. The DXY rose 0.20% to 99.00 as 10-year breakevens eased to 2.32% and the OVX fell 2.9 points. Risk appetite stayed positive at 1.02 but softened 0.13 on the day. One-month skew widened 0.39 points to 4.28 and SKEW climbed to 145.6; options implied a 0.50% move, or 39 points, into the 25 August expiry.
Dashboard
Metric
Latest
Session
Context
S&P 500
7,652.86
-21.51
-0.28% on the session
VIX
15.85
+0.72
+4.76% on the session
Regime band
Low
—
252d percentile 22%
VIX / VIX3M
0.854
—
above 1 is backwardation
Risk-on / risk-off
+1.02
-0.13
69th percentile, 1y
Expected move
±0.50%
-0.05
to 2026-08-25, options-implied
25-delta skew, 1m
4.28
+0.39
vol points, put over call
Same-day expiry share
68.0%
+5.4
of session option volume
Volatility regime score
44.0
—
Neutral · 0-100, higher is more stress
Levels & Expected Move
Expected move
±39 (0.50%)
to 2026-08-25, 1d · ATM IV 9.6%
Peak OI strikes
7,375 / 8,000
put / call, 2026-08-25 · call +150, put -200
Assumed dealer gamma
-33,909
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 15.85, this is where realised volatility sits across horizons.
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Scenarios
The VIX closed at 15.81 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=1,698
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=2,046
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 2.7 pp (HYG/LQD 0.751) [delayed]; MOVE 73.98 (OVX 46.7, GVZ 28.3); Risk-on/off score 0.8143 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 | 10y breakeven: -1.07σ, OVX: -0.7744σ, Bitcoin: 0.6993σ, US dollar (DXY): 0.5941σ, GVZ: 0.546σ, SKEW: 0.4837σ, VIX: 0.4663σ, VXN: 0.4327σ | Range: -1.07σ–0.6993σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 0.8143z (2026-08-25) | Range: -0.3461z–1.634z | Source: FRED, Cboe | Trend(5pt): 0.1923,-0.1947,0.08748,1.351,0.8143
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.751
2.7 pp
2026-08-21
MOVEOVX 46.7, GVZ 28.3
73.98
2026-08-24
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 18.96; VIX put/call 0.37; Fear & Greed 55); Days since last spike 103 days (VIX 15.81 vs 50d MA 16.65 / 200d MA 18.45; 21d realized vol 12.9 vs VIX 15.8).
Days since last spikeVIX 15.81 vs 50d MA 16.65 / 200d MA 18.45; 21d realized vol 12.9 vs VIX 15.8
103 days
2026-08-25
Volatility Regime Score
Composite
44.0
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
2.91
26
74(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.59
49
49
Risk-on / risk-offcross-asset appetite — positive is risk-on
0.81
60
40(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.35
12
12
What to watch
A break of the Low regime or a VIX move out of the 15-20 band would reframe the setup; historically the index has stayed in that band on 82.9% of 1,698 sessions. Core PCE, durable goods and the GDP second estimate land on 26 August.
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