The volatility regime screens Low and the futures curve is in contango. The session's largest standardised moves were VSTOXX 15.09 (+1.04); VVIX 87.0 (-5.0). The composite risk-on/risk-off score reads 0.83 (risk-on), +0.10 on the session. That was largest one-day VIX fall in 11 sessions.
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 (2026-10-05) | 30 sessions | Distribution: Very Low 60%, Low 27%, Normal 13% | Source: Cboe
This session produced the largest one-day VIX fall in 11 sessions.
S&P 500 vs VIX — last 60 sessions · S&P 500 7,722.72 · VIX 15.31S&P 500 vs VIX — last 60 sessions | Latest: 7723 (2026-10-02) | Range: 7316–7799 | Source: Cboe, S&P Dow Jones Indices | Trend(6pt): 7544,7600,7674,7657,7666,7723 | VIX: 15.31 (range 14.21–20.66)
Headlines are linked to their publishers; inclusion is not endorsement and reflects coverage during the session window only.
Scenarios
The VIX closed at 16.21 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=1,714
moves to 20-30
8.9%
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=2,065
5 sessions
+0.37%
-4.29%
n=2,062
Risk Window
US high-impact releases and major central-bank events, for the sessions ahead.
October 5, 2026
Services Sector PMI10:00 · United Statescons. 55
October 6, 2026
BoJ Gov Ueda Speech02:35 · Japan
October 7, 2026
FOMC Meeting Minutes14:00 · United States
October 9, 2026
Michigan Consumer Sentiment Prel10:00 · United Statescons. 47.6
Constant-maturity VIX curve — now vs a week and a month agoConstant-maturity VIX curve — now vs a week and a month ago | Today (Oct 2): VIX1D=10.76,VIX9D=12.06,VIX=15.31,VIX3M=18.01,VIX6M=20.15 | 1 week ago (Sep 25): VIX1D=12.51,VIX9D=12.76,VIX=14.87,VIX3M=17.93,VIX6M=20.01 | 1 month ago (Sep 2): VIX1D=10.43,VIX9D=12.57,VIX=15.2,VIX3M=17.73,VIX6M=20.36 | Source: Cboe
Metric
Latest
As of
VIX / VIX3Mcontango, streak 124d
0.8501
2026-10-02
Short-end stressVIX1D vs VIX 15.31; no short-end stress
HY OAS 3.24 pp (HYG/LQD 0.755) [delayed]; MOVE 107.3 (OVX 51.0, GVZ 23.2); Risk-on/off score 1.728 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 | VSTOXX: 1.149σ, S&P 500: 0.9777σ, VVIX: -0.8467σ, VXN: -0.7912σ, VIX: -0.6927σ, VIX3M: -0.6069σ, SKEW: 0.5817σ, US dollar (DXY): -0.5251σ | Range: -0.8467σ–1.149σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 1.728z (2026-10-05) | Range: -0.3339z–1.728z | Source: FRED, Cboe | Trend(5pt): 0.2866,0.7721,0.2591,1.245,1.728
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.755
3.24 pp
2026-10-01
MOVEOVX 51.0, GVZ 23.2
107.3
2026-10-02
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) -0.735 z (percentile 24%; VXX 17.40; VIX put/call 0.33; Fear & Greed 38); Days since last spike 132 days (VIX 16.21 vs 50d MA 15.73 / 200d MA 18.05; 21d realized vol 10.7 vs VIX 16.2).
Days since last spikeVIX 16.21 vs 50d MA 15.73 / 200d MA 18.05; 21d realized vol 10.7 vs VIX 16.2
132 days
2026-10-05
Volatility Regime Score
Composite
34.1
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
0.85
38
38
Variance risk premiumimplied minus realized — a wide premium is the calm state
4.59
39
61(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.68
63
63
Risk-on / risk-offcross-asset appetite — positive is risk-on
1.73
100
0(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.26
8
8
What to watch
For context, the S&P 500 sits 0.98% below its 12-month high and the VIX is +0.44 points over five sessions.
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