Equities ground higher without a standout move, the S&P 500 adding 24.42 points to 7,677.28 as the VIX fell 0.40 points to 15.45 and the risk-on score held at 1.00. VVIX declined 3.0 to 85.7, SKEW dropped 2.4 to 143.3 and the MOVE index eased 2.1 to 71.9. Contango and an absence of short-end stress kept the Very Low regime intact. The options market implied a 0.48 percent, or 37-point, expected move into the 26 August expiry, where open interest peaks at the 8,000 call and 7,600 put. One-month skew stood at 3.93 vol points after a 0.35 decline. Headlines pointed to markets awaiting Core PCE data and Nvidia earnings. The S&P 500 remains 1.56 percent below its 12-month high.
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 15.45, 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 15.65 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=1,699
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=2,047
5 sessions
+0.37%
-4.30%
n=2,044
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
Regime band Very Low (252d percentile 18%); VIX level 15.65 (z-score -0.76 (252d)); Vol-of-everything composite -0.3845 z (breadth 0% above 1y median) [delayed].
S&P 500 vs VIX — last 30 sessionsS&P 500 vs VIX — last 30 sessions | Latest: 7677 (2026-08-25) | Range: 7316–7799 | Source: Cboe, S&P Dow Jones Indices | Trend(5pt): 7534,7413,7724,7786,7677 | VIX: 15.45 (range 14.25–20.66)VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: Very Low (2026-08-26) | 30 sessions | Distribution: Very Low 40%, Low 23%, Normal 13%, High 20%, Very High 3% | Source: Cboe
Metric
Latest
As of
Regime band252d percentile 18%
Very Low
2026-08-26
VIX levelz-score -0.76 (252d)
15.65
2026-08-26
Vol-of-everything compositedelayedbreadth 0% above 1y median
HY OAS 2.63 pp (HYG/LQD 0.748) [delayed]; MOVE 71.92 (OVX 46.2, GVZ 27.7); Risk-on/off score 1.137 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 | SKEW: -0.6588σ, VXN: -0.5507σ, MOVE: -0.5073σ, VVIX: -0.507σ, Nikkei VI: 0.4663σ, S&P 500: 0.4348σ, GVZ: -0.3253σ, VXX: -0.2622σ | Range: -0.6588σ–0.4663σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 1.137z (2026-08-26) | Range: -0.3461z–1.634z | Source: FRED, Cboe | Trend(5pt): 0.255,-0.1209,0.1031,1.321,1.137
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.748
2.63 pp
2026-06-17
MOVEOVX 46.2, GVZ 27.7
71.92
2026-08-25
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 18.67; VIX put/call 0.37; Fear & Greed 59); Days since last spike 104 days (VIX 15.65 vs 50d MA 16.63 / 200d MA 18.43; 21d realized vol 12.9 vs VIX 15.7).
Days since last spikeVIX 15.65 vs 50d MA 16.63 / 200d MA 18.43; 21d realized vol 12.9 vs VIX 15.7
104 days
2026-08-26
Volatility Regime Score
Composite
39.8
Settled · 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
2.51
23
77(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.54
45
45
Risk-on / risk-offcross-asset appetite — positive is risk-on
1.14
74
26(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.38
11
11
What to watch
Core PCE, durable goods orders and the GDP second estimate print at 08:30. A VIX exit from the 15-20 band or an S&P 500 move outside the 37-point implied range would alter the Very Low picture.
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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.