Solid jobs data fueled hawkish Fed bets and left Wall Street lower, per Reuters and the WSJ. The S&P 500 fell 0.38%, or 29.11 points, to 7,718.60, still just 1.03% below its 12-month high. The VIX rose 0.21 points, or 1.47%, to 14.53 and stayed in the Very Low regime, a muted response that left the term structure in contango. Risk appetite held, with the risk-on/off score at 0.98, in the 65th percentile over one year. Bitcoin dropped 1.97% to 79,672 and the dollar index rose 0.16% to 99.16, while the MOVE index eased 1.6 to 73.1. Options imply a 0.60% move, or 46 points, through the 8 September expiry, with peak open interest at the 7,800 call and 7,450 put. One-month skew widened 0.19 points to 3.47.
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
A session without a standout move. With the VIX at 14.53, this is where realised volatility sits across horizons.
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Scenarios
The VIX closed at 15.12 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
82.8%
n=1,700
moves to 20-30
9.0%
n=185
moves to <15
8.1%
n=166
S&P 500 from here
Median
Worst 5%
Sample
next session
+0.06%
-2.01%
n=2,052
5 sessions
+0.37%
-4.30%
n=2,050
Risk Window
US high-impact releases and major central-bank events, for the sessions ahead.
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 11%); VIX level 15.12 (z-score -0.91 (252d)); Vol-of-everything composite -0.5054 z (breadth 0% above 1y median) [delayed].
S&P 500 vs VIX — last 30 sessionsS&P 500 vs VIX — last 30 sessions | Latest: 7719 (2026-09-04) | Range: 7316–7799 | Source: Cboe, S&P Dow Jones Indices | Trend(5pt): 7429,7710,7745,7676,7719 | VIX: 14.53 (range 14.25–20.66)VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: Very Low (2026-09-07) | 30 sessions | Distribution: Very Low 63%, Low 27%, Normal 3%, High 3%, Very High 3% | Source: Cboe
Metric
Latest
As of
Regime band252d percentile 11%
Very Low
2026-09-07
VIX levelz-score -0.91 (252d)
15.12
2026-09-07
Vol-of-everything compositedelayedbreadth 0% above 1y median
HY OAS 2.65 pp (HYG/LQD 0.750) [delayed]; MOVE 73.1 (OVX 45.0, GVZ 26.6); Risk-on/off score 1.321 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 | Bitcoin: -0.9161σ, S&P 500: -0.5164σ, US dollar (DXY): 0.4856σ, OVX: -0.3892σ, MOVE: -0.3884σ, GVZ: -0.3037σ, SKEW: 0.2641σ, Nikkei VI: -0.2299σ | Range: -0.9161σ–0.4856σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 1.321z (2026-09-07) | Range: -0.3461z–1.634z | Source: FRED, Cboe | Trend(5pt): -0.03513,0.4635,0.0193,1.097,1.321
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.750
2.65 pp
2026-09-03
MOVEOVX 45.0, GVZ 26.6
73.1
2026-09-04
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) -0.8345 z (percentile 21%; VXX 17.72; VIX put/call 0.36; Fear & Greed 42); Days since last spike 112 days (VIX 15.12 vs 50d MA 16.13 / 200d MA 18.21; 21d realized vol 8.4 vs VIX 15.1).
Days since last spikeVIX 15.12 vs 50d MA 16.13 / 200d MA 18.21; 21d realized vol 8.4 vs VIX 15.1
112 days
2026-09-07
Volatility Regime Score
Composite
40.1
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
6.14
60
40(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.81
69
69
Risk-on / risk-offcross-asset appetite — positive is risk-on
1.32
89
11(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.51
4
4
What to watch
A break from the Very Low VIX regime or a move outside the options-implied 46-point band through 8 September would reframe the tape. PPI on 10 September and core inflation the next day are the next scheduled markers.
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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.