The volatility regime screens 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 0.77 (risk-on), -0.06 on the session.
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 sessionsVIX regime — last 30 sessions | Current regime: Low (2026-09-28) | 30 sessions | Distribution: Very Low 63%, Low 23%, Normal 13% | Source: Cboe
MOVE moved 2.01σ lower — the largest standardised move across the cross-asset panel.
VIX vs MOVE — equity against rates volatilityVIX vs MOVE — equity against rates volatility | Latest: 0.1549 (2026-09-25) | Range: 0.1498–0.3629 | Source: Cboe, ICE | Trend(5pt): 0.2199,0.2265,0.2774,0.259,0.1549
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Scenarios
The VIX closed at 16.27 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=1,709
moves to 20-30
9.0%
n=185
moves to <15
8.1%
n=168
S&P 500 from here
Median
Worst 5%
Sample
next session
+0.06%
-2.00%
n=2,061
5 sessions
+0.37%
-4.30%
n=2,060
Risk Window
US high-impact releases and major central-bank events, for the sessions ahead.
Constant-maturity VIX curve — now vs a week and a month agoConstant-maturity VIX curve — now vs a week and a month ago | Today (Sep 25): VIX1D=12.51,VIX9D=12.76,VIX=14.87,VIX3M=17.93,VIX6M=20.01 | 1 week ago (Sep 18): VIX1D=11.42,VIX9D=12.27,VIX=14.81,VIX3M=18.24,VIX6M=20.21 | 1 month ago (Aug 26): VIX1D=12.91,VIX9D=13.33,VIX=15.21,VIX3M=17.99,VIX6M=20.64 | Source: Cboe
Metric
Latest
As of
VIX / VIX3Mcontango, streak 119d
0.8293
2026-09-25
Short-end stressVIX1D vs VIX 14.87; no short-end stress
HY OAS 2.8 pp (HYG/LQD 0.754) [delayed]; MOVE 96 (OVX 55.1, GVZ 22.4); Risk-on/off score 1.858 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 | MOVE: -2.007σ, Nikkei VI: -1.561σ, US dollar (DXY): -0.9847σ, S&P 500: 0.6842σ, VIX3M: -0.5315σ, 10y breakeven: 0.5232σ, VIX: -0.5139σ, VVIX: -0.4626σ | Range: -2.007σ–0.6842σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 1.858z (2026-09-28) | Range: -0.3339z–1.858z | Source: FRED, Cboe | Trend(5pt): 0.2831,0.5206,-0.06816,1.304,1.858
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.754
2.8 pp
2026-09-24
MOVEOVX 55.1, GVZ 22.4
96
2026-09-25
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-off
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 127 days (VIX 16.27 vs 50d MA 15.93 / 200d MA 18.07; 21d realized vol 10.8 vs VIX 16.3).
Days since last spikeVIX 16.27 vs 50d MA 15.93 / 200d MA 18.07; 21d realized vol 10.8 vs VIX 16.3
127 days
2026-09-28
Volatility Regime Score
Composite
34.9
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
0.83
19
19
Variance risk premiumimplied minus realized — a wide premium is the calm state
4.07
35
65(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.91
80
80
Risk-on / risk-offcross-asset appetite — positive is risk-on
1.86
100
0(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.25
11
11
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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