Volatility Regime Read

VIX Daily

September 10, 2026

Covering the September 9, 2026 session

The S&P 500 fell 0.48% to 7,636.36 and the VIX rose 0.74 points to 16.46 on 2026-09-09.

RegimeLow

Term structureContango

Short-end stressN/A

S&P 500

7,636.36

-37.16 (-0.48%)

VIX

16.46

+0.74 (+4.7%)

Risk-on / risk-off

0.95

-0.06 on the session

58th 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 VVIX 94.5 (+5.8); VSTOXX 8.13 (+0.73). The composite risk-on/risk-off score reads 0.95 (risk-on), -0.06 on the session.

Dashboard

Metric	Latest	Session	Context
S&P 500	7,636.36	-37.16	-0.48% on the session
VIX	16.46	+0.74	+4.71% on the session
Regime band	Low	—	252d percentile 39%
VIX / VIX3M	0.914	—	above 1 is backwardation
Risk-on / risk-off	+0.95	-0.06	58th percentile, 1y
Expected move	±0.68%	+0.10	to 2026-09-10, options-implied
25-delta skew, 1m	4.53	+0.32	vol points, put over call
Same-day expiry share	64.4%	+2.2	of session option volume
Volatility regime score	40.0	—	Neutral · 0-100, higher is more stress

Levels & Expected Move

Expected move

±52 (0.68%)

to 2026-09-10, 1d · ATM IV 13.0%

Peak OI strikes

7,600 / 7,875

put / call, 2026-09-10 · call +50, put +50

Assumed dealer gamma

-96,261

indicative · no sign change within the near-dated book

Same-day expiries

64.4%

share of session volume · +2.2pp

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 2026-09-16, 7d	3.47	13.10%
1m 2026-10-09, 30d	4.53	13.40%
3m 2026-11-30, 82d	5.10	14.46%

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 16.46, this is where realised volatility sits across horizons.

Realised volatility by window

What Moved the Tape — September 9, 2026 session

Stock Market Today: Bond Yields Jump as Oil ClimbsWSJ Markets · 2026-09-10
S&P 500 ends down as oil tops $100 per barrel - ReutersReuters Business · 2026-09-09
Treasury Yields, Fed Rate-Hike Bets Rise After Strong U.S. Jobs Data - WSJGoogle News US · 2026-09-09
U.S. Stock Futures Slip, Treasurys Weaken After Oil Tops $100WSJ Markets · 2026-09-09
Treasury to buy $6B in debt, but bond yields riseThe Hill Economy · 2026-09-09

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

Scenarios

The VIX closed at 16.58 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=1,703
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: 2026-09-10, 2026-09-16, 2026-09-22 · VIX futures: 2026-09-16, 2026-10-21

Regime

Regime band Low (252d percentile 39%); VIX level 16.58 (z-score -0.47 (252d)); Vol-of-everything composite -0.1748 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 39%	Low	2026-09-10
VIX levelz-score -0.47 (252d)	16.58	2026-09-10
Vol-of-everything compositedelayedbreadth 0% above 1y median	-0.1748 z	2026-09-10

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 5.741 (VVIX 94.5); SKEW 149.2 (Cboe SKEW index (tail-hedging demand)); VRP 8.006 (VIX minus 21d realized vol (vol points)).

Variance risk premium (VIX − 21d realized)

Metric	Latest	As of
VVIX / VIXVVIX 94.5	5.741	2026-09-09
SKEWCboe SKEW index (tail-hedging demand)	149.2	2026-09-09
VRPVIX minus 21d realized vol (vol points)	8.006	2026-09-09

Cross-Asset

HY OAS 2.67 pp (HYG/LQD 0.750) [delayed]; MOVE 76.74 (OVX 49.9, GVZ 27.8); Risk-on/off score 1.238 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	2.67 pp	2026-09-08
MOVEOVX 49.9, GVZ 27.8	76.74	2026-09-09
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	1.238 z	2026-09-10

Cross-Country

VIX − VSTOXX (US–Europe fear gap) 8.335 (Nikkei-VI/VIX 1.84; India-VIX/VIX 0.72; RVX/VIX 1.24) [proxy].

Metric	Latest	As of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.84; India-VIX/VIX 0.72; RVX/VIX 1.24	8.335	2026-09-09

Positioning

VIX futures COT (net non-commercial z) -0.8345 z (percentile 21%; VXX 18.30; VIX put/call 0.35; Fear & Greed 36); Days since last spike 115 days (VIX 16.58 vs 50d MA 16.10 / 200d MA 18.10; 21d realized vol 8.5 vs VIX 16.6).

Metric	Latest	As of
VIX futures COT (net non-commercial z)percentile 21%; VXX 18.30; VIX put/call 0.35; Fear & Greed 36	-0.8345 z	2026-09-01
Days since last spikeVIX 16.58 vs 50d MA 16.10 / 200d MA 18.10; 21d realized vol 8.5 vs VIX 16.6	115 days	2026-09-10

Volatility Regime Score

Composite

40.0

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	8.01	80	20(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge	5.74	65	65
Risk-on / risk-offcross-asset appetite — positive is risk-on	1.24	81	19(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes	-0.17	20	20

What to watch

For context, the S&P 500 sits 2.09% below its 12-month high and the VIX is +1.26 points over five sessions.

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