Volatility Regime Read

VIX Daily

September 18, 2026

Covering the September 17, 2026 session

The S&P 500 rose 1.14% to 7,637.76 and the VIX eased 2.27 points to 15.44 on 2026-09-17.

RegimeVery Low

Term structureContango

Short-end stressNone

S&P 500

7,637.76

+85.95 (+1.14%)

VIX

15.44

-2.27 (-12.8%)

Risk-on / risk-off

0.67

-0.01 on the session

49th pctile, 1y · risk-on · 0 = neutral, higher = more risk-on

The Session

The volatility regime screens Very Low and the futures curve is in contango. The session's largest standardised moves were VXN 19.96 (-2.48). The composite risk-on/risk-off score reads 0.67 (risk-on), -0.01 on the session. That was largest one-day VIX fall in 35 sessions. That was largest one-day S&P 500 gain in 31 sessions.

Dashboard

Metric	Latest	Session	Context
S&P 500	7,637.76	+85.95	+1.14% on the session
VIX	15.44	-2.27	-12.82% on the session
Regime band	Very Low	—	252d percentile 14%
VIX / VIX3M	0.832	—	above 1 is backwardation
Risk-on / risk-off	+0.67	-0.01	49th percentile, 1y
Expected move	±0.67%	-0.31	to 2026-09-18, options-implied
25-delta skew, 1m	4.07	-1.34	vol points, put over call
Same-day expiry share	58.6%	+2.8	of session option volume
Volatility regime score	30.0	—	Settled · 0-100, higher is more stress

Levels & Expected Move

Expected move

±51 (0.67%)

to 2026-09-18, 1d · ATM IV 12.8%

Peak OI strikes

7,000 / 7,000

put / call, 2026-09-18 · call -700, put -675

Assumed dealer gamma

-34,189

indicative · no sign change within the near-dated book

Same-day expiries

58.6%

share of session volume · +2.8pp

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 2026-09-24, 7d	3.25	11.04%
1m 2026-10-16, 29d	4.07	12.43%
3m 2026-12-18, 92d	5.27	14.40%

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 35 sessions.

S&P 500 vs VIX — last 60 sessions · S&P 500 7,637.76 · VIX 15.44

What Moved the Tape — September 17, 2026 session

Tech leads Wall St to higher close as oil eases, Treasury yields dip - ReutersReuters Business · 2026-09-17
Stocks, Treasuries Rally on Optimism Around Fed Inflation FightBloomberg Markets · 2026-09-17
U.S. Treasury Yields Fall as Market Regains Trust in Fed’s Inflation ResolveWSJ Markets · 2026-09-17
Swiss Franc Gains as Lower Yields and Oil Weigh on Dollar - TradingPediaGoogle News Switzerland · 2026-09-18
KOSPI surges 2.66% on Wall Street rally, foreign buying - The Korea TimesGoogle News Korea · 2026-09-18

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

Scenarios

The VIX closed at 15.33 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=1,709
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=2,058
5 sessions	+0.36%	-4.30%	n=2,054

Risk Window

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

September 24, 2026

SNB Interest Rate Decision03:30 · Switzerland

September 25, 2026

Durable Goods Orders Month-over-Month08:30 · United States

S&P 500 options: 2026-09-18, 2026-09-24, 2026-10-01 · VIX futures: 2026-10-21, 2026-11-18

Regime

Regime band Very Low (252d percentile 14%); VIX level 15.33 (z-score -0.86 (252d)); Vol-of-everything composite -0.4664 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 14%	Very Low	2026-09-18
VIX levelz-score -0.86 (252d)	15.33	2026-09-18
Vol-of-everything compositedelayedbreadth 0% above 1y median	-0.4664 z	2026-09-18

Term Structure

VIX / VIX3M 0.8323 (contango, streak 1d); Short-end stress 13.12 (VIX1D vs VIX 15.44; no short-end stress); Short-vol carry 0.2014 (positive short-vol carry).

Metric	Latest	As of
VIX / VIX3Mcontango, streak 1d	0.8323	2026-09-17
Short-end stressVIX1D vs VIX 15.44; no short-end stress	13.12	2026-09-17
Short-vol carrypositive short-vol carry	0.2014	2026-09-17

Vol-of-Vol & Tail

VVIX / VIX 5.681 (VVIX 87.7); SKEW 145.7 (Cboe SKEW index (tail-hedging demand)); VRP 5.797 (VIX minus 21d realized vol (vol points)).

Variance risk premium (VIX − 21d realized)

Metric	Latest	As of
VVIX / VIXVVIX 87.7	5.681	2026-09-17
SKEWCboe SKEW index (tail-hedging demand)	145.7	2026-09-17
VRPVIX minus 21d realized vol (vol points)	5.797	2026-09-17

Cross-Asset

HY OAS 2.7 pp (HYG/LQD 0.749) [delayed]; MOVE 76.22 (OVX 52.1, GVZ 25.0); Risk-on/off score 1.386 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 0.749	2.7 pp	2026-09-16
MOVEOVX 52.1, GVZ 25.0	76.22	2026-09-17
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	1.386 z	2026-09-18

Cross-Country

VIX − VSTOXX (US–Europe fear gap) 5.014 (Nikkei-VI/VIX 1.58; India-VIX/VIX 0.80; RVX/VIX 1.21) [proxy].

Metric	Latest	As of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.58; India-VIX/VIX 0.80; RVX/VIX 1.21	5.014	2026-09-17

Positioning

VIX futures COT (net non-commercial z) -1.058 z (percentile 15%; VXX 17.73; VIX put/call 0.30; Fear & Greed 29); Days since last spike 121 days (VIX 15.33 vs 50d MA 16.18 / 200d MA 18.09; 21d realized vol 9.6 vs VIX 15.3).

Metric	Latest	As of
VIX futures COT (net non-commercial z)percentile 15%; VXX 17.73; VIX put/call 0.30; Fear & Greed 29	-1.058 z	2026-09-08
Days since last spikeVIX 15.33 vs 50d MA 16.18 / 200d MA 18.09; 21d realized vol 9.6 vs VIX 15.3	121 days	2026-09-18

Volatility Regime Score

Composite

30.0

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	5.80	51	49(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge	5.68	61	61
Risk-on / risk-offcross-asset appetite — positive is risk-on	1.39	92	8(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes	-0.47	2	2

What to watch

For context, the S&P 500 sits 2.07% below its 12-month high and the VIX is -2.40 points over five sessions.

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