Volatility Regime Read

VIX Daily

September 3, 2026

Covering the September 2, 2026 session

A 1.14-point slide took the VIX to 15.20, the largest one-day fall in 23 sessions, as the S&P 500 climbed 0.46% to 7,666.60 on a bounce in stocks and bonds.

RegimeVery Low

Term structureContango

Short-end stressN/A

S&P 500

7,666.60

+35.13 (+0.46%)

VIX

15.20

-1.14 (-7.0%)

Risk-on / risk-off

0.97

+0.01 on the session

64th pctile, 1y · risk-on · 0 = neutral, higher = more risk-on

The Session

The S&P 500 advanced 35.13 points to 7,666.60 as stocks and bonds bounced and oil halted a war-fueled rally, Bloomberg Markets reported. The VIX fell 1.14 points, or 6.98%, to 15.20 — its largest one-day decline in 23 sessions — settling back in the Very Low regime with the futures curve in contango. VVIX dropped 5.0 to 86.2 and SKEW fell 5.1 to 144.1; VSTOXX eased 0.64 to 8.97 and VXN declined 0.89 to 21.07. Risk-on held at a score of 0.97, the 64th percentile over one year. One-month skew tightened 0.48 vol points to 4.36, and the options market implied a 0.61% move, or 47 points, into the September 3 expiry.

Dashboard

Metric	Latest	Session	Context
S&P 500	7,666.60	+35.13	+0.46% on the session
VIX	15.20	-1.14	-6.98% on the session
Regime band	Very Low	—	252d percentile 15%
VIX / VIX3M	0.914	—	above 1 is backwardation
Risk-on / risk-off	+0.97	+0.01	64th percentile, 1y
Expected move	±0.61%	-0.04	to 2026-09-03, options-implied
25-delta skew, 1m	4.36	-0.48	vol points, put over call
Same-day expiry share	71.4%	+5.1	of session option volume
Volatility regime score	43.3	—	Neutral · 0-100, higher is more stress

Levels & Expected Move

Expected move

±47 (0.61%)

to 2026-09-03, 1d · ATM IV 11.7%

Peak OI strikes

7,500 / 7,900

put / call, 2026-09-03 · call -100, put -50

Assumed dealer gamma

-37,623

indicative · no sign change within the near-dated book

Same-day expiries

71.4%

share of session volume · +5.1pp

Assumed dealer gamma by strike · thousands · indicative — the dealer side of each contract is assumed, not observed

At-the-money implied volatility by maturity

Maturity	25Δ skew (vol pts)	ATM IV
1w 2026-09-09, 7d	2.62	9.70%
1m 2026-10-02, 30d	4.36	12.42%
3m 2026-11-30, 89d	4.94	13.86%

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

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

S&P 500 vs VIX — last 60 sessions · S&P 500 7,666.60 · VIX 15.20

What Moved the Tape — September 2, 2026 session

Stocks, Bonds Bounce as Oil Halts War-Fueled RallyBloomberg Markets · 2026-09-02
Peter Schiff Says Rising Treasury Yields Reflect Debt Problem - Invesco QQQ Trust, Series 1 (NASDAQ:QQQ) - BenzingaGoogle News US · 2026-09-03
Shares, bonds rally as markets await Fed signals; yen jumps - KELO-AMGoogle News Japan · 2026-09-03
New York Fed’s Williams Says Treasury Yield Surge Reflects Strong Economy, Urges Patience on Rate Decision - bloomingbitGoogle News US · 2026-09-02
Stock Market Today: Treasury Yields Steady, Yen JumpsWSJ Markets · 2026-09-03

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

Scenarios

The VIX closed at 15.39 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=1,701
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	+0.36%	-4.30%	n=2,048

Risk Window

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

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

September 11, 2026

Core Inflation Rate Month-over-Month08:30 · United States
Core Inflation Rate Year-over-Year08:30 · United States
Inflation Rate Month-over-Month08:30 · United States
Inflation Rate Year-over-Year08:30 · United States
+1 more

S&P 500 options: 2026-09-03, 2026-09-10, 2026-09-17 · VIX futures: 2026-09-16, 2026-10-21

Regime

Regime band Very Low (252d percentile 15%); VIX level 15.39 (z-score -0.83 (252d)); Vol-of-everything composite -0.4429 z (breadth 0% above 1y median) [delayed].

S&P 500 vs VIX — last 30 sessions

VIX regime — last 30 sessions

Metric	Latest	As of
Regime band252d percentile 15%	Very Low	2026-09-03
VIX levelz-score -0.83 (252d)	15.39	2026-09-03
Vol-of-everything compositedelayedbreadth 0% above 1y median	-0.4429 z	2026-09-03

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].

Metric	Latest	As of
VIX / VIX3Mdelayedcontango, streak 70d	0.9138	2026-07-17
Short-end stressdelayedVIX1D vs VIX 18.77; short-end reading delayed (as of 2026-07-17)	16.69	2026-07-17
Short-vol carrydelayedpositive short-vol carry	0.0943	2026-07-17

Vol-of-Vol & Tail

VVIX / VIX 5.674 (VVIX 86.2); SKEW 144.1 (Cboe SKEW index (tail-hedging demand)); VRP 5.367 (VIX minus 21d realized vol (vol points)).

Variance risk premium (VIX − 21d realized)

Metric	Latest	As of
VVIX / VIXVVIX 86.2	5.674	2026-09-02
SKEWCboe SKEW index (tail-hedging demand)	144.1	2026-09-02
VRPVIX minus 21d realized vol (vol points)	5.367	2026-09-02

Cross-Asset

HY OAS 2.65 pp (HYG/LQD 0.751) [delayed]; MOVE 79.71 (OVX 47.8, GVZ 26.1); Risk-on/off score 1.232 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 range

Risk-on / risk-off score · σ from neutral · above the zero line is risk-on

Metric	Latest	As of
HY OASdelayedHYG/LQD 0.751	2.65 pp	2026-09-01
MOVEOVX 47.8, GVZ 26.1	79.71	2026-09-02
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	1.232 z	2026-09-03

Cross-Country

VIX − VSTOXX (US–Europe fear gap) 6.229 (Nikkei-VI/VIX 1.84; India-VIX/VIX 0.74; RVX/VIX 1.26) [proxy].

Metric	Latest	As of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.84; India-VIX/VIX 0.74; RVX/VIX 1.26	6.229	2026-09-02

Positioning

VIX futures COT (net non-commercial z) -0.7079 z (percentile 24%; VXX 18.02; VIX put/call 0.37; Fear & Greed 33); Days since last spike 109 days (VIX 15.39 vs 50d MA 16.39 / 200d MA 18.35; 21d realized vol 9.8 vs VIX 15.4).

Metric	Latest	As of
VIX futures COT (net non-commercial z)percentile 24%; VXX 18.02; VIX put/call 0.37; Fear & Greed 33	-0.7079 z	2026-08-25
Days since last spikeVIX 15.39 vs 50d MA 16.39 / 200d MA 18.35; 21d realized vol 9.8 vs VIX 15.4	109 days	2026-09-03

Volatility Regime Score

Composite

43.3

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	5.37	44	56(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge	5.67	58	58
Risk-on / risk-offcross-asset appetite — positive is risk-on	1.23	81	19(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes	-0.44	7	7

What to watch

What changes the picture is a VIX exit from the 15-20 band or a material equity reversal before Services PMI on September 3 and payrolls plus unemployment on September 4. Historically the VIX has remained in this band on 82.9% of 1,701 sessions.

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