Volatility Regime Read

VIX Daily

September 9, 2026

Covering the September 8, 2026 session

The S&P 500 fell 0.58% to 7,673.52 and the VIX rose 0.42 points to 15.72 on 2026-09-08.

RegimeLow

Term structureContango

Short-end stressN/A

S&P 500

7,673.52

-45.08 (-0.58%)

VIX

15.72

+0.42 (+2.7%)

Risk-on / risk-off

1.01

+0.03 on the session

68th pctile, 1y · risk-on · 0 = neutral, higher = more risk-on

The Session

The volatility regime screens Low and the futures curve is in contango. The session's largest standardised moves were Nikkei VI 32.05 (+10.19); 10y breakeven 2.37% (+0.02%); VXN 21.71 (+1.67). The composite risk-on/risk-off score reads 1.01 (risk-on), +0.03 on the session.

Dashboard

Metric	Latest	Session	Context
S&P 500	7,673.52	-45.08	-0.58% on the session
VIX	15.72	+0.42	+2.75% on the session
Regime band	Low	—	252d percentile 38%
VIX / VIX3M	0.914	—	above 1 is backwardation
Risk-on / risk-off	+1.01	+0.03	68th percentile, 1y
Expected move	±0.58%	+0.00	to 2026-09-09, options-implied
25-delta skew, 1m	4.21	+0.37	vol points, put over call
Same-day expiry share	62.2%	+62.2	of session option volume
Volatility regime score	35.7	—	Settled · 0-100, higher is more stress

Levels & Expected Move

Expected move

±45 (0.58%)

to 2026-09-09, 1d · ATM IV 11.1%

Peak OI strikes

7,550 / 7,825

put / call, 2026-09-09 · call +25, put +100

Assumed dealer gamma

-28,643

indicative · sign change near 6,920

Same-day expiries

62.2%

share of session volume · +62.2pp

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 2026-09-15, 7d	2.99	10.92%
1m 2026-10-08, 30d	4.21	12.66%
3m 2026-11-30, 83d	4.94	14.05%

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 sessions

What Moved the Tape — September 8, 2026 session

U.S. Treasury Yields Rise, Dollar Falls in European TradeWSJ Markets · 2026-09-08
U.S. Stock Futures Steady, Treasury Yields Rise Weaken After Oil Tops $100WSJ Markets · 2026-09-09
Treasury Yields, Fed Rate-Hike Bets Rise After Strong U.S. Jobs Data - WSJGoogle News US · 2026-09-09
Fed Chairman Kevin Warsh Called Inflation 'More Concerning' at His First Jackson Hole Speech. Does That Signal a Rate Hike Is Coming? - The Globe and MailGoogle News US · 2026-09-09
Global Markets’ Summer Lull to End as Volatility, Risks MountBloomberg Markets · 2026-09-08

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

Scenarios

The VIX closed at 16.49 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=1,702
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
+1 more

S&P 500 options: 2026-09-09, 2026-09-15, 2026-09-22 · VIX futures: 2026-09-16, 2026-10-21

Regime

Regime band Low (252d percentile 38%); VIX level 16.49 (z-score -0.50 (252d)); Vol-of-everything composite -0.1946 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 38%	Low	2026-09-09
VIX levelz-score -0.50 (252d)	16.49	2026-09-09
Vol-of-everything compositedelayedbreadth 0% above 1y median	-0.1946 z	2026-09-09

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 5.642 (VVIX 88.7); SKEW 148.9 (Cboe SKEW index (tail-hedging demand)); VRP 7.4 (VIX minus 21d realized vol (vol points)).

Variance risk premium (VIX − 21d realized)

Metric	Latest	As of
VVIX / VIXVVIX 88.7	5.642	2026-09-08
SKEWCboe SKEW index (tail-hedging demand)	148.9	2026-09-08
VRPVIX minus 21d realized vol (vol points)	7.4	2026-09-08

Cross-Asset

HY OAS 2.68 pp (HYG/LQD 0.750) [delayed]; MOVE 76.14 (OVX 48.6, GVZ 27.3); Risk-on/off score 1.52 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 0.750	2.68 pp	2026-09-07
MOVEOVX 48.6, GVZ 27.3	76.14	2026-09-08
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	1.52 z	2026-09-09

Cross-Country

VIX − VSTOXX (US–Europe fear gap) 8.328 (Nikkei-VI/VIX 1.91; India-VIX/VIX 0.72; RVX/VIX 1.26) [proxy].

Metric	Latest	As of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.91; India-VIX/VIX 0.72; RVX/VIX 1.26	8.328	2026-09-08

Positioning

VIX futures COT (net non-commercial z) -0.8345 z (percentile 21%; VXX 17.99; VIX put/call 0.36; Fear & Greed 39); Days since last spike 114 days (VIX 16.49 vs 50d MA 16.10 / 200d MA 18.12; 21d realized vol 8.3 vs VIX 16.5).

Metric	Latest	As of
VIX futures COT (net non-commercial z)percentile 21%; VXX 17.99; VIX put/call 0.36; Fear & Greed 39	-0.8345 z	2026-09-01
Days since last spikeVIX 16.49 vs 50d MA 16.10 / 200d MA 18.12; 21d realized vol 8.3 vs VIX 16.5	114 days	2026-09-09

Volatility Regime Score

Composite

35.7

Settled · 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	7.40	74	26(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge	5.64	56	56
Risk-on / risk-offcross-asset appetite — positive is risk-on	1.52	99	1(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes	-0.19	19	19

What to watch

For context, the S&P 500 sits 1.61% below its 12-month high and the VIX is -0.62 points over five sessions.

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