Equities and bonds advanced after comments from Fed official Waller eased rate-hike bets, according to Bloomberg Markets. The S&P 500 rose 1.06%, or 81.11 points, to 7,747.71 — the largest one-day gain in 22 sessions and a second straight advance — leaving the index 0.66% below its 12-month high. The VIX dropped 0.88 points, or 5.79%, to 14.32 and held the Very Low regime in contango with no short-end stress. Risk appetite registered a 0.95 risk-on reading. The dollar slipped 0.56% to 99.00 on the DXY, while the MOVE index fell 5.0 to 74.7. SKEW climbed 6.5 to 150.6. One-month skew eased 1.08 vol points to 3.28.
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 S&P 500 gain in 22 sessions.
S&P 500 vs VIX — last 60 sessions · S&P 500 7,747.71 · VIX 14.32S&P 500 vs VIX — last 60 sessions | Latest: 7748 (2026-09-03) | Range: 7316–7799 | Source: Cboe, S&P Dow Jones Indices | Trend(6pt): 7394,7483,7408,7748,7631,7748 | VIX: 14.32 (range 14.25–20.66)
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Scenarios
The VIX closed at 14.16 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=1,937
moves to 15-20
7.8%
n=165
S&P 500 from here
Median
Worst 5%
Sample
next session
+0.05%
-1.37%
n=2,101
5 sessions
+0.24%
-3.43%
n=2,098
Risk Window
US high-impact releases and major central-bank events, for the sessions ahead.
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
Regime band Very Low (252d percentile 2%); VIX level 14.16 (z-score -1.20 (252d)); Vol-of-everything composite -0.723 z (breadth 0% above 1y median) [delayed].
S&P 500 vs VIX — last 30 sessionsS&P 500 vs VIX — last 30 sessions | Latest: 7748 (2026-09-03) | Range: 7316–7799 | Source: Cboe, S&P Dow Jones Indices | Trend(5pt): 7413,7724,7786,7677,7748 | VIX: 14.32 (range 14.25–20.66)VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: Very Low (2026-09-04) | 30 sessions | Distribution: Very Low 60%, Low 27%, Normal 3%, High 7%, Very High 3% | Source: Cboe
Metric
Latest
As of
Regime band252d percentile 2%
Very Low
2026-09-04
VIX levelz-score -1.20 (252d)
14.16
2026-09-04
Vol-of-everything compositedelayedbreadth 0% above 1y median
HY OAS 2.66 pp (HYG/LQD 0.751) [delayed]; MOVE 74.68 (OVX 46.4, GVZ 27.2); Risk-on/off score 1.178 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 | SKEW: 1.806σ, US dollar (DXY): -1.699σ, S&P 500: 1.438σ, MOVE: -1.232σ, GVZ: 0.5738σ, VIX: -0.5706σ, Nikkei VI: 0.5637σ, VXN: -0.5565σ | Range: -1.699σ–1.806σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 1.178z (2026-09-04) | Range: -0.3461z–1.634z | Source: FRED, Cboe | Trend(5pt): 0.02427,0.4181,-0.1238,1.157,1.178
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.751
2.66 pp
2026-09-02
MOVEOVX 46.4, GVZ 27.2
74.68
2026-09-03
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 17.62; VIX put/call 0.37; Fear & Greed 45); Days since last spike 111 days (VIX 14.16 vs 50d MA 16.19 / 200d MA 18.25; 21d realized vol 8.3 vs VIX 14.2).
Days since last spikeVIX 14.16 vs 50d MA 16.19 / 200d MA 18.25; 21d realized vol 8.3 vs VIX 14.2
111 days
2026-09-04
Volatility Regime Score
Composite
34.0
Settled · 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
6.02
58
42(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.85
72
72
Risk-on / risk-offcross-asset appetite — positive is risk-on
1.18
79
21(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.72
2
2
What to watch
August jobs data due at 08:30 would reprice the session if the S&P 500 moves beyond the 0.61% options-implied range of 47 points. A VIX push above 15 would leave the Very Low band that has held on 92.2% of 1,937 historical sessions.
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