Volatility Regime Read

VIX Daily

August 31, 2026
Covering the August 28, 2026 session

VSTOXX fell 4.31 points to 8.04, the session's sharpest cross-asset move, as the S&P 500 declined 0.25% to 7,711.76 and the VIX eased 0.08 points to 14.43.

RegimeVery Low
Term structureContango
Short-end stressNone
S&P 500
7,711.76
-19.23 (-0.25%)
VIX
14.43
-0.08 (-0.6%)
Risk-on / risk-off
0.99
+0.03 on the session
66th pctile, 1y · risk-on · 0 = neutral, higher = more risk-on

The Session

The S&P 500 fell 0.25%, or 19.23 points, to 7,711.76 as short-term Treasury yields rose after Federal Reserve chair Kevin Warsh targeted inflation at Jackson Hole and left open further rate hikes, per WSJ Markets, Reuters and CBC Business. The VIX still eased 0.08 points to 14.43, holding the Very Low regime in contango. Risk stayed on at 0.99. VSTOXX fell 4.31 points to 8.04, the largest standardised cross-asset move, and Nikkei VI dropped 4.78 to 23.25. The dollar rose 0.54% on the DXY to 99.70, Bitcoin declined 3.02% to 77,830, and SKEW climbed 5.7 to 149.8.

Dashboard

MetricLatestSessionContext
S&P 5007,711.76-19.23-0.25% on the session
VIX14.43-0.08-0.55% on the session
Regime bandVery Low—252d percentile 12%
VIX / VIX3M0.826—above 1 is backwardation
Risk-on / risk-off+0.99+0.0366th percentile, 1y
Expected move±0.56%-0.14to 2026-08-31, options-implied
25-delta skew, 1m3.43+0.02vol points, put over call
Same-day expiry share69.7%+1.7of session option volume
Volatility regime score40.3—Neutral · 0-100, higher is more stress

Levels & Expected Move

Expected move
±43 (0.56%)
to 2026-08-31, 3d · ATM IV 6.2%
Peak OI strikes
7,300 / 8,000
put / call, 2026-08-31 · call +200, put -100
Assumed dealer gamma
-108,945
indicative · no sign change within the near-dated book
Same-day expiries
69.7%
share of session volume · +1.7pp
Maturity25Δ skew (vol pts)ATM IV
1w 2026-09-04, 7d1.979.50%
1m 2026-09-28, 31d3.4311.37%
3m 2026-11-30, 94d4.6213.80%

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

VSTOXX moved 4.77σ lower — the largest standardised move across the cross-asset panel.

What Moved the Tape — August 28, 2026 session

Headlines are linked to their publishers; inclusion is not endorsement and reflects coverage during the session window only.

Scenarios

The VIX closed at 15.21 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…FrequencySample
stays in 15-2082.9%n=1,699
moves to 20-309.0%n=185
moves to <158.0%n=165
S&P 500 from hereMedianWorst 5%Sample
next session+0.06%-2.01%n=2,050
5 sessions+0.37%-4.30%n=2,046

Risk Window

US high-impact releases and major central-bank events, for the sessions ahead.

September 1, 2026
  • ISM Manufacturing PMI Index10:00 · United States
  • JOLTs Job Openings Level10:00 · United States
  • Speech by BoJ's Takada21:30 · Japan
September 2, 2026
  • BoC Interest Rate Decision09:45 · Canada
  • Press Conference by BoC10:30 · Canada
September 3, 2026
  • Services Sector PMI10:00 · United States
September 4, 2026
  • Speech by BoE's Gov Bailey04:50 · United Kingdom
  • Payroll Jobs Growth08:30 · United States
  • Unemployment Rate08:30 · United States

S&P 500 options: 2026-08-31, 2026-09-04, 2026-09-11 · VIX futures: 2026-09-16, 2026-10-21

Regime

Regime band Very Low (252d percentile 12%); VIX level 15.21 (z-score -0.89 (252d)); Vol-of-everything composite -0.4829 z (breadth 0% above 1y median) [delayed].

MetricLatestAs of
Regime band252d percentile 12%Very Low2026-08-31
VIX levelz-score -0.89 (252d)15.212026-08-31
Vol-of-everything compositedelayedbreadth 0% above 1y median-0.4829 z2026-08-31

Term Structure

VIX / VIX3M 0.8255 (contango, streak 1d); Short-end stress 10.21 (VIX1D vs VIX 14.43; no short-end stress); Short-vol carry 0.2114 (positive short-vol carry).

MetricLatestAs of
VIX / VIX3Mcontango, streak 1d0.82552026-08-28
Short-end stressVIX1D vs VIX 14.43; no short-end stress10.212026-08-28
Short-vol carrypositive short-vol carry0.21142026-08-28

Vol-of-Vol & Tail

VVIX / VIX 6.003 (VVIX 86.6); SKEW 149.8 (Cboe SKEW index (tail-hedging demand)); VRP 3.941 (VIX minus 21d realized vol (vol points)).

MetricLatestAs of
VVIX / VIXVVIX 86.66.0032026-08-28
SKEWCboe SKEW index (tail-hedging demand)149.82026-08-28
VRPVIX minus 21d realized vol (vol points)3.9412026-08-28

Cross-Asset

HY OAS 2.63 pp (HYG/LQD 0.750) [delayed]; MOVE 70.97 (OVX 43.5, GVZ 25.2); Risk-on/off score 1.298 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).

MetricLatestAs of
HY OASdelayedHYG/LQD 0.7502.63 pp2026-06-17
MOVEOVX 43.5, GVZ 25.270.972026-08-28
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-off1.298 z2026-08-31

Cross-Country

VIX − VSTOXX (US–Europe fear gap) 6.391 (Nikkei-VI/VIX 1.83; India-VIX/VIX 0.74; RVX/VIX 1.27) [proxy].

MetricLatestAs of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.83; India-VIX/VIX 0.74; RVX/VIX 1.276.3912026-08-28

Positioning

VIX futures COT (net non-commercial z) -0.7079 z (percentile 24%; VXX 18.36; VIX put/call 0.37; Fear & Greed 54); Days since last spike 107 days (VIX 15.21 vs 50d MA 16.48 / 200d MA 18.39; 21d realized vol 10.5 vs VIX 15.2).

MetricLatestAs of
VIX futures COT (net non-commercial z)percentile 24%; VXX 18.36; VIX put/call 0.37; Fear & Greed 54-0.7079 z2026-08-25
Days since last spikeVIX 15.21 vs 50d MA 16.48 / 200d MA 18.39; 21d realized vol 10.5 vs VIX 15.2107 days2026-08-31

Volatility Regime Score

Composite
40.3
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.

ComponentValueOwn 1y %ileStress %ile
Variance risk premiumimplied minus realized — a wide premium is the calm state3.943367(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge6.007777
Risk-on / risk-offcross-asset appetite — positive is risk-on1.308812(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes-0.4855
What to watch

A move beyond the 0.56%, or 43-point, range the options market implies through 31 August would alter the picture. ISM Manufacturing and JOLTs land on 1 September. That expiry's peak open interest sits at the 8,000 call and 7,300 put strikes.

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