The S&P 500 rose 0.72%, or 55.29 points, to 7,730.99, leaving it 0.87% below its 12-month high. The VIX fell 0.70 points to 14.51, down 4.60%, and stayed in the Very Low regime in contango. Risk-on held at a 0.96 score. Treasury yields edged higher ahead of Jackson Hole and a speech by Fed Chair Warsh; CrowdStrike’s stock jumped after record-breaking earnings. Bitcoin rose 1.56% to 80,258 as the VXN slipped 1.18 points to 20.24. At a VIX of 14.51 the session showed no standout volatility move. Options implied a 0.70% one-day expected move to the 28 August expiry, with peak open interest at the 7,800 calls and 7,400 puts, and one-month skew at 3.41 after a 0.14 decline.
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 14.51, this is where realised volatility sits across horizons.
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Scenarios
The VIX closed at 14.49 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=1,935
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=2,098
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 3%); VIX level 14.49 (z-score -1.11 (252d)); Vol-of-everything composite -0.647 z (breadth 0% above 1y median) [delayed].
S&P 500 vs VIX — last 30 sessionsS&P 500 vs VIX — last 30 sessions | Latest: 7731 (2026-08-27) | Range: 7316–7799 | Source: Cboe, S&P Dow Jones Indices | Trend(5pt): 7443,7316,7758,7692,7731 | VIX: 14.51 (range 14.25–20.66)VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: Very Low (2026-08-28) | 30 sessions | Distribution: Very Low 47%, Low 23%, Normal 10%, High 17%, Very High 3% | Source: Cboe
Metric
Latest
As of
Regime band252d percentile 3%
Very Low
2026-08-28
VIX levelz-score -1.11 (252d)
14.49
2026-08-28
Vol-of-everything compositedelayedbreadth 0% above 1y median
HY OAS 2.67 pp (HYG/LQD 0.748) [delayed]; MOVE 69.86 (OVX 46.2, GVZ 26.8); Risk-on/off score 1.041 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 | S&P 500: 0.9839σ, VXN: -0.7212σ, Bitcoin: 0.713σ, 10y breakeven: 0.541σ, Nikkei VI: -0.4865σ, VIX: -0.4532σ, VVIX: -0.3995σ, VXX: -0.3978σ | Range: -0.7212σ–0.9839σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 1.041z (2026-08-28) | Range: -0.3461z–1.634z | Source: FRED, Cboe | Trend(5pt): 0.2591,-0.01285,0.03021,1.249,1.041
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.748
2.67 pp
2026-08-26
MOVEOVX 46.2, GVZ 26.8
69.86
2026-08-27
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 18.10; VIX put/call 0.37; Fear & Greed 58); Days since last spike 106 days (VIX 14.49 vs 50d MA 16.51 / 200d MA 18.40; 21d realized vol 11.5 vs VIX 14.5).
Days since last spikeVIX 14.49 vs 50d MA 16.51 / 200d MA 18.40; 21d realized vol 11.5 vs VIX 14.5
106 days
2026-08-28
Volatility Regime Score
Composite
41.6
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
2.98
27
73(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.71
61
61
Risk-on / risk-offcross-asset appetite — positive is risk-on
1.04
71
29(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.65
2
2
What to watch
Observable markers include whether the VIX remains below 15 and whether the S&P 500 stays near the 7,800 and 7,400 peak open-interest strikes into the 28 August expiry. Fed Chair Warsh speaks and the Non Farm Payrolls annual revision is due.
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