The S&P 500 fell 0.58% to 7,686.14 amid a bond selloff and rising Treasury yields, while the VIX rose 0.41 points to 14.92 and shifted into the Low regime from Very Low. Term structure stayed in contango. The equity drop drew only a +0.3 daily-sigma response in the VIX. VSTOXX led the cross-asset panel, falling 3.83 points to 8.52, as the MOVE index climbed 5.5 to 75.3 with the rates move. SKEW rose 4.5 to 148.5. Risk appetite held, with the risk-on/off score at 1.03 standard deviations above neutral, still risk-on though down 0.14 on the day. The dollar gained 0.27%.
Dashboard
Metric
Latest
Session
Context
S&P 500
7,686.14
-44.85
-0.58% on the session
VIX
14.92
+0.41
+2.83% on the session
Regime band
Low
—
252d percentile 22%
VIX / VIX3M
0.914
—
above 1 is backwardation
Risk-on / risk-off
+1.03
-0.14
70th percentile, 1y
Expected move
±0.53%
-0.03
to 2026-09-01, options-implied
25-delta skew, 1m
3.86
+0.43
vol points, put over call
Same-day expiry share
66.0%
-3.7
of session option volume
Volatility regime score
45.2
—
Neutral · 0-100, higher is more stress
Levels & Expected Move
Expected move
±41 (0.53%)
to 2026-09-01, 1d · ATM IV 10.2%
Peak OI strikes
7,530 / 7,875
put / call, 2026-09-01 · call -125, put +230
Assumed dealer gamma
-3,483
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
The volatility regime shifted from Very Low to Low.
VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: Low (2026-09-01) | 30 sessions | Distribution: Very Low 47%, Low 27%, Normal 10%, High 13%, Very High 3% | Source: Cboe
VSTOXX moved 4.28σ lower — the largest standardised move across the cross-asset panel.
VIX minus VSTOXX — the US/Europe fear gapVIX minus VSTOXX — the US/Europe fear gap | Latest: 6.4 (2026-08-31) | Range: -12.3–12.55 | Source: Cboe, STOXX | Trend(5pt): -1.247,1.505,3.963,-8.676,6.4
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Scenarios
The VIX closed at 15.82 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=165
S&P 500 from here
Median
Worst 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.
HY OAS 2.6 pp (HYG/LQD 0.751) [delayed]; MOVE 75.32 (OVX 44.9, GVZ 24.4); Risk-on/off score 1.329 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 | VSTOXX: -4.282σ, MOVE: 1.34σ, GVZ: -1.319σ, SKEW: 1.258σ, US dollar (DXY): 0.8198σ, S&P 500: -0.7969σ, VVIX: 0.5787σ, Bitcoin: 0.5107σ | Range: -4.282σ–1.34σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 1.329z (2026-09-01) | Range: -0.3461z–1.634z | Source: FRED, Cboe | Trend(5pt): 0.2394,0.1368,0.1102,1.19,1.329
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.751
2.6 pp
2026-08-28
MOVEOVX 44.9, GVZ 24.4
75.32
2026-08-31
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) -0.7079 z (percentile 24%; VXX 18.00; VIX put/call 0.38; Fear & Greed 47); Days since last spike 107 days (VIX 15.82 vs 50d MA 16.51 / 200d MA 18.39; 21d realized vol 10.7 vs VIX 15.8).
Days since last spikeVIX 15.82 vs 50d MA 16.51 / 200d MA 18.39; 21d realized vol 10.7 vs VIX 15.8
107 days
2026-09-01
Volatility Regime Score
Composite
45.2
Neutral · 5 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
VIX / VIX3Mabove 1 is backwardation — near-term fear bid over longer-dated
0.91
76
76
Variance risk premiumimplied minus realized — a wide premium is the calm state
4.20
36
64(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.78
66
66
Risk-on / risk-offcross-asset appetite — positive is risk-on
1.33
90
10(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.34
11
11
What to watch
ISM Manufacturing PMI and JOLTs Job Openings print at 10:00 on 1 September. Watch whether the VIX holds the Low regime near 14.92 and whether the S&P 500 stays inside the 41-point, 0.53% options-implied expected move into the 1 September expiry.
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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.