The S&P 500 closed essentially flat at 7,675.70, off 0.02%, after hot inflation data and rising Treasury yields, Reuters and Bloomberg reported. The VIX fell 0.24 points to 15.21, holding the Very Low regime in contango with no short-end stress — a quiet print that leaves realised volatility compressed near these levels across horizons. Risk stayed on at a 0.96 score, down 0.03 on the day. The dollar rose, DXY at 99.17 up 0.25%, as MOVE dropped 2.5 to 69.4. Options implied a 0.69% expected move, or 53 points, into the 27 August expiry, where peak open interest sits at the 7,725 calls and 7,570 puts. One-month skew narrowed 0.38 vol points to 3.55.
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 15.21, this is where realised volatility sits across horizons.
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Scenarios
The VIX closed at 14.91 in the <15 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
92.2%
n=1,934
moves to 15-20
7.8%
n=164
S&P 500 from here
Median
Worst 5%
Sample
next session
+0.06%
-1.38%
n=2,098
5 sessions
+0.24%
-3.43%
n=2,097
Risk Window
US high-impact releases and major central-bank events, for the sessions ahead.
August 28, 2026
Non Farm Payrolls Annual Revision Prel10:00 · United States
Regime band Very Low (252d percentile 8%); VIX level 14.91 (z-score -0.98 (252d)); Vol-of-everything composite -0.5525 z (breadth 0% above 1y median) [delayed].
S&P 500 vs VIX — last 30 sessionsS&P 500 vs VIX — last 30 sessions | Latest: 7676 (2026-08-26) | Range: 7316–7799 | Source: Cboe, S&P Dow Jones Indices | Trend(5pt): 7458,7429,7710,7745,7676 | VIX: 15.21 (range 14.25–20.66)VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: Very Low (2026-08-27) | 30 sessions | Distribution: Very Low 43%, Low 23%, Normal 10%, High 20%, Very High 3% | Source: Cboe
Metric
Latest
As of
Regime band252d percentile 8%
Very Low
2026-08-27
VIX levelz-score -0.98 (252d)
14.91
2026-08-27
Vol-of-everything compositedelayedbreadth 0% above 1y median
HY OAS 2.7 pp (HYG/LQD 0.748) [delayed]; MOVE 69.44 (OVX 46.8, GVZ 27.0); Risk-on/off score 0.9404 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 | US dollar (DXY): 0.7595σ, MOVE: -0.6102σ, GVZ: -0.4024σ, Bitcoin: 0.2682σ, VXN: -0.2264σ, OVX: 0.1802σ, VIX: -0.1555σ, VXX: -0.1176σ | Range: -0.6102σ–0.7595σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 0.9404z (2026-08-27) | Range: -0.3461z–1.634z | Source: FRED, Cboe | Trend(5pt): 0.2591,0.002642,-0.0857,1.26,0.9404
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.748
2.7 pp
2026-08-25
MOVEOVX 46.8, GVZ 27.0
69.44
2026-08-26
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 18.54; VIX put/call 0.37; Fear & Greed 55); Days since last spike 105 days (VIX 14.91 vs 50d MA 16.60 / 200d MA 18.41; 21d realized vol 13.0 vs VIX 14.9).
Days since last spikeVIX 14.91 vs 50d MA 16.60 / 200d MA 18.41; 21d realized vol 13.0 vs VIX 14.9
105 days
2026-08-27
Volatility Regime Score
Composite
43.8
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
2.26
20
80(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.60
52
52
Risk-on / risk-offcross-asset appetite — positive is risk-on
0.94
61
39(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.55
4
4
What to watch
Fed Chair Warsh's speech and the non-farm payrolls annual revision on 28 August are the near-term calendar markers. A sustained VIX lift out of the Very Low regime, or a shift away from contango, would alter the current quiet setup.
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