Volatility Regime ReadAlso todaySee the US Macro Daily

VIX Daily

September 25, 2026
Covering the September 25, 2026 session

The S&P 500 rose 0.51% to 7,743.41 and the VIX eased 0.80 points to 14.87 on 2026-09-25.

RegimeVery Low
Term structureContango
Short-end stressNone
S&P 500
7,743.41
+39.28 (+0.51%)
VIX
14.87
-0.80 (-5.1%)
Risk-on / risk-off
0.80
-0.04 on the session
53rd 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 MOVE 96.0 (-8.6); Nikkei VI 20.30 (-7.81); US dollar (DXY) 100.97 (-0.32%). The composite risk-on/risk-off score reads 0.80 (risk-on), -0.04 on the session.

Dashboard

MetricLatestSessionContext
S&P 5007,743.41+39.28+0.51% on the session
VIX14.87-0.80-5.11% on the session
Regime bandVery Low—252d percentile 8%
VIX / VIX3M0.829—above 1 is backwardation
Risk-on / risk-off+0.80-0.0453th percentile, 1y
Expected move±0.70%+0.01to 2026-09-28, options-implied
25-delta skew, 1m3.18-0.71vol points, put over call
Same-day expiry share71.1%+2.0of session option volume
Volatility regime score51.0—Neutral · 0-100, higher is more stress

Levels & Expected Move

Expected move
±54 (0.70%)
to 2026-09-28, 3d · ATM IV 7.8%
Peak OI strikes
7,580 / 7,925
put / call, 2026-09-28 · call +25, put +130
Assumed dealer gamma
+119,116
indicative · sign change near 7,750
Same-day expiries
71.1%
share of session volume · +2.0pp
Maturity25Δ skew (vol pts)ATM IV
1w 2026-10-02, 7d1.5911.29%
1m 2026-10-26, 31d3.1811.82%
3m 2026-12-18, 84d4.5713.93%

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

MOVE moved 2.01σ lower — the largest standardised move across the cross-asset panel.

Scenarios

The VIX closed at 14.87 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…FrequencySample
stays in <1592.1%n=1,939
moves to 15-207.9%n=167
S&P 500 from hereMedianWorst 5%Sample
next session+0.05%-1.37%n=2,106
5 sessions+0.23%-3.42%n=2,103

Risk Window

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

September 28, 2026
  • BoE Ramsden Speech06:00 · United Kingdom
September 29, 2026
  • RBA Interest Rate Decision00:30 · Australiacons. 4.6
  • RBA Press Conference01:30 · Australia
  • JOLTs Job Openings10:00 · United Statescons. 7230000.00
  • BoE Taylor Speech11:30 · United Kingdom
  • +1 more
September 30, 2026
  • Core PCE Price Index Month-over-Month08:30 · United Statescons. 0.3
  • GDP Growth Quarter-over-Quarter Final Estimate08:30 · United Statescons. 1.6
  • Personal Income Month-over-Month08:30 · United Statescons. 0.4
  • Personal Spending Month-over-Month08:30 · United Statescons. 0.8
  • +1 more
October 1, 2026
  • BoE Mann Speech08:00 · United Kingdom
  • BoE Mills Speech09:10 · United Kingdom
  • ISM Manufacturing PMI10:00 · United Statescons. 54.8
October 2, 2026
  • Headline Unemployment Rate08:30 · United Statescons. 4.2
  • Payroll Jobs Growth08:30 · United Statescons. 100000

S&P 500 options: 2026-09-28, 2026-10-02, 2026-10-09 · VIX futures: 2026-10-21, 2026-11-18

Regime

Regime band Very Low (252d percentile 8%); VIX level 14.87 (z-score -0.99 (252d)); Vol-of-everything composite 0.2049 z (breadth 50% above 1y median) [delayed].

MetricLatestAs of
Regime band252d percentile 8%Very Low2026-09-25
VIX levelz-score -0.99 (252d)14.872026-09-25
Vol-of-everything compositedelayedbreadth 50% above 1y median0.2049 z2026-09-25

Term Structure

VIX / VIX3M 0.8293 (contango, streak 119d); Short-end stress 12.51 (VIX1D vs VIX 14.87; no short-end stress); Short-vol carry 0.2058 (positive short-vol carry).

MetricLatestAs of
VIX / VIX3Mcontango, streak 119d0.82932026-09-25
Short-end stressVIX1D vs VIX 14.87; no short-end stress12.512026-09-25
Short-vol carrypositive short-vol carry0.20582026-09-25

Vol-of-Vol & Tail

VVIX / VIX 5.907 (VVIX 87.8); SKEW 144.9 (Cboe SKEW index (tail-hedging demand)); VRP 4.073 (VIX minus 21d realized vol (vol points)).

MetricLatestAs of
VVIX / VIXVVIX 87.85.9072026-09-25
SKEWCboe SKEW index (tail-hedging demand)144.92026-09-25
VRPVIX minus 21d realized vol (vol points)4.0732026-09-25

Cross-Asset

HY OAS 2.8 pp (HYG/LQD 0.754) [delayed]; MOVE 96 (OVX 55.1, GVZ 22.4); Risk-on/off score 0.7955 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).

MetricLatestAs of
HY OASdelayedHYG/LQD 0.7542.8 pp2026-09-24
MOVEOVX 55.1, GVZ 22.4962026-09-25
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-off0.7955 z2026-09-25

Cross-Country

VIX − VSTOXX (US–Europe fear gap) 1.969 (Nikkei-VI/VIX 1.37; India-VIX/VIX 0.82; RVX/VIX 1.32) [proxy].

MetricLatestAs of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.37; India-VIX/VIX 0.82; RVX/VIX 1.321.9692026-09-25

Positioning

VIX futures COT (net non-commercial z) -0.7286 z (percentile 24%; VXX 17.30; VIX put/call 0.31; Fear & Greed 37); Days since last spike 126 days (VIX 14.87 vs 50d MA 15.97 / 200d MA 18.06; 21d realized vol 10.8 vs VIX 14.9).

MetricLatestAs of
VIX futures COT (net non-commercial z)percentile 24%; VXX 17.30; VIX put/call 0.31; Fear & Greed 37-0.7286 z2026-09-22
Days since last spikeVIX 14.87 vs 50d MA 15.97 / 200d MA 18.06; 21d realized vol 10.8 vs VIX 14.9126 days2026-09-25

Volatility Regime Score

Composite
51.0
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.

ComponentValueOwn 1y %ileStress %ile
VIX / VIX3Mabove 1 is backwardation — near-term fear bid over longer-dated0.831919
Variance risk premiumimplied minus realized — a wide premium is the calm state4.073565(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge5.918080
Risk-on / risk-offcross-asset appetite — positive is risk-on0.805347(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes0.204444
What to watch

For context, the S&P 500 sits 0.71% below its 12-month high and the VIX is +0.06 points over five sessions.

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