Volatility Regime Read

VIX Daily

September 2, 2026
Covering the September 1, 2026 session

The VIX jumped 1.42 points to 16.34, its largest one-day rise in 23 sessions, shifting into the Normal regime as the S&P 500 fell 0.71% to 7,631.47.

RegimeNormal
Term structureContango
Short-end stressN/A
S&P 500
7,631.47
-54.67 (-0.71%)
VIX
16.34
+1.42 (+9.5%)
Risk-on / risk-off
0.96
-0.08 on the session
60th pctile, 1y · risk-on · 0 = neutral, higher = more risk-on

The Session

Global bond yields surged and oil prices fueled inflation worries, per WSJ Markets and Bloomberg Markets, sending the S&P 500 down 0.71%, or 54.67 points, to 7,631.47 for a second straight decline. The VIX rose 1.42 points, or 9.52%, to 16.34 — the largest one-day climb in 23 sessions — and left the Low regime for Normal, with the term structure remaining in contango. VXN advanced 1.78 to 21.96, VSTOXX gained 1.09 to 9.61, and OVX jumped 4.2 to 49.1. The risk-on score stayed positive at 0.96 standard deviations above neutral, easing 0.08 on the day. One-month skew widened 0.98 vol points to 4.84, while options implied a 0.65% expected move, or 50 points, into the September 2 expiry.

Dashboard

MetricLatestSessionContext
S&P 5007,631.47-54.67-0.71% on the session
VIX16.34+1.42+9.52% on the session
Regime bandNormal—252d percentile 42%
VIX / VIX3M0.914—above 1 is backwardation
Risk-on / risk-off+0.96-0.0860th percentile, 1y
Expected move±0.65%+0.12to 2026-09-02, options-implied
25-delta skew, 1m4.84+0.98vol points, put over call
Same-day expiry share66.3%+0.3of session option volume
Volatility regime score41.6—Neutral · 0-100, higher is more stress

Levels & Expected Move

Expected move
±50 (0.65%)
to 2026-09-02, 1d · ATM IV 12.4%
Peak OI strikes
7,550 / 8,000
put / call, 2026-09-02 · call +125, put +20
Assumed dealer gamma
-55,240
indicative · no sign change within the near-dated book
Same-day expiries
66.3%
share of session volume · +0.3pp
Maturity25Δ skew (vol pts)ATM IV
1w 2026-09-08, 7d2.8911.04%
1m 2026-10-01, 30d4.8413.20%
3m 2026-11-30, 90d5.1614.31%

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 Low to Normal.

This session produced the largest one-day VIX rise in 23 sessions.

What Moved the Tape — September 1, 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 16.70 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=1,700
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=2,047

Risk Window

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

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
September 10, 2026
  • Producer Price Index Month-over-Month08:30 · United States
  • Existing Home Sales Level10:00 · United States

S&P 500 options: 2026-09-02, 2026-09-09, 2026-09-15 · VIX futures: 2026-09-16, 2026-10-21

Regime

Regime band Normal (252d percentile 42%); VIX level 16.7 (z-score -0.44 (252d)); Vol-of-everything composite -0.1448 z (breadth 0% above 1y median) [delayed].

MetricLatestAs of
Regime band252d percentile 42%Normal2026-09-02
VIX levelz-score -0.44 (252d)16.72026-09-02
Vol-of-everything compositedelayedbreadth 0% above 1y median-0.1448 z2026-09-02

Term Structure

VIX / VIX3M 0.9138 (contango, streak 70d) [delayed]; Short-end stress 16.69 (VIX1D vs VIX 18.77; short-end reading delayed (as of 2026-07-17)) [delayed]; Short-vol carry 0.0943 (positive short-vol carry) [delayed].

MetricLatestAs of
VIX / VIX3Mdelayedcontango, streak 70d0.91382026-07-17
Short-end stressdelayedVIX1D vs VIX 18.77; short-end reading delayed (as of 2026-07-17)16.692026-07-17
Short-vol carrydelayedpositive short-vol carry0.09432026-07-17

Vol-of-Vol & Tail

VVIX / VIX 5.584 (VVIX 91.2); SKEW 149.2 (Cboe SKEW index (tail-hedging demand)); VRP 5.407 (VIX minus 21d realized vol (vol points)).

MetricLatestAs of
VVIX / VIXVVIX 91.25.5842026-09-01
SKEWCboe SKEW index (tail-hedging demand)149.22026-09-01
VRPVIX minus 21d realized vol (vol points)5.4072026-09-01

Cross-Asset

HY OAS 2.63 pp (HYG/LQD 0.752) [delayed]; MOVE 77.88 (OVX 49.1, GVZ 25.4); Risk-on/off score 1.444 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 0.7522.63 pp2026-08-31
MOVEOVX 49.1, GVZ 25.477.882026-09-01
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-off1.444 z2026-09-02

Cross-Country

VIX − VSTOXX (US–Europe fear gap) 6.73 (Nikkei-VI/VIX 1.53; India-VIX/VIX 0.69; RVX/VIX 1.26) [proxy].

MetricLatestAs of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.53; India-VIX/VIX 0.69; RVX/VIX 1.266.732026-09-01

Positioning

VIX futures COT (net non-commercial z) -0.7079 z (percentile 24%; VXX 18.55; VIX put/call 0.37; Fear & Greed 31); Days since last spike 108 days (VIX 16.70 vs 50d MA 16.50 / 200d MA 18.38; 21d realized vol 10.9 vs VIX 16.7).

MetricLatestAs of
VIX futures COT (net non-commercial z)percentile 24%; VXX 18.55; VIX put/call 0.37; Fear & Greed 31-0.7079 z2026-08-25
Days since last spikeVIX 16.70 vs 50d MA 16.50 / 200d MA 18.38; 21d realized vol 10.9 vs VIX 16.7108 days2026-09-02

Volatility Regime Score

Composite
41.6
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.

ComponentValueOwn 1y %ileStress %ile
VIX / VIX3Mabove 1 is backwardation — near-term fear bid over longer-dated0.917676
Variance risk premiumimplied minus realized — a wide premium is the calm state5.414555(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge5.584848
Risk-on / risk-offcross-asset appetite — positive is risk-on1.44955(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes-0.142323
What to watch

The VIX has stayed in the 15–20 band on 82.9% of 1,700 historical sessions. September 2 open-interest peaks sit at the 8,000 call and 7,550 put. Bank of Canada rates and a press conference are tomorrow; US services PMI follows on September 3.

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