Volatility Regime ReadAlso todaySee the Equities Daily

VIX Daily

October 6, 2026

Covering the October 5, 2026 session

The S&P 500 rose 0.66% to 7,773.95 and the VIX rose 0.21 points to 15.52 on 2026-10-05.

RegimeVery Low

Term structureContango

Short-end stressNone

S&P 500

7,773.95

+51.23 (+0.66%)

VIX

15.52

+0.21 (+1.4%)

Risk-on / risk-off

0.89

+0.06 on the session

56th 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 113.6 (+6.3); US dollar (DXY) 102.17 (+0.24%). The composite risk-on/risk-off score reads 0.89 (risk-on), +0.06 on the session. That was the S&P 500 within 0.35% of its 12-month high.

Dashboard

Metric	Latest	Session	Context
S&P 500	7,773.95	+51.23	+0.66% on the session
VIX	15.52	+0.21	+1.37% on the session
Regime band	Very Low	—	252d percentile 16%
VIX / VIX3M	0.862	—	above 1 is backwardation
Risk-on / risk-off	+0.89	+0.06	56th percentile, 1y
Expected move	±0.51%	-0.13	to 2026-10-06, options-implied
25-delta skew, 1m	3.18	-0.19	vol points, put over call
Same-day expiry share	66.3%	-3.3	of session option volume
Volatility regime score	29.9	—	Settled · 0-100, higher is more stress

Levels & Expected Move

Expected move

±39 (0.51%)

to 2026-10-06, 1d · ATM IV 9.7%

Peak OI strikes

7,600 / 7,825

put / call, 2026-10-06 · call -175, put +200

Assumed dealer gamma

+84,841

indicative · sign change near 7,815

Same-day expiries

66.3%

share of session volume · -3.3pp

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 2026-10-12, 7d	1.65	9.47%
1m 2026-11-04, 30d	3.18	12.65%
3m 2026-12-31, 87d	4.41	13.92%

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 the S&P 500 within 0.35% of its 12-month high.

S&P 500 vs VIX — last 60 sessions · S&P 500 7,773.95 · VIX 15.52

What Moved the Tape — October 5, 2026 session

US Yields Fall From 2002 High as Oil Dips, Bessent Vows On DebtBloomberg Markets · 2026-10-06
S&P 500 Closes In on Record High as Tech Rallies: Markets WrapBloomberg Markets · 2026-10-05
Monday Markets: SA rand tanking, but oil prices softer and stocks rally on 'Goldilocks' data - IOLGoogle News SA · 2026-10-05
U.S. stocks are rising near their records, with the Nasdaq composite on track for an all-time high - bnnbloomberg.caBNN Bloomberg · 2026-10-05
GLOBAL MARKETS-Stocks upbeat, dollar wobbles as Fed hike bets recede - DevdiscourseGoogle News US · 2026-10-05

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

Scenarios

The VIX closed at 15.35 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=1,715
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=2,066
5 sessions	+0.37%	-4.29%	n=2,063

Risk Window

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

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

October 12, 2026

RBA Meeting Minutes20:30 · Australia

October 13, 2026

Existing Home Sales10:00 · United States

S&P 500 options: 2026-10-06, 2026-10-12, 2026-10-19 · VIX futures: 2026-10-21, 2026-11-18

Regime

Regime band Very Low (252d percentile 16%); VIX level 15.35 (z-score -0.83 (252d)); Vol-of-everything composite -0.4559 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 16%	Very Low	2026-10-06
VIX levelz-score -0.83 (252d)	15.35	2026-10-06
Vol-of-everything compositedelayedbreadth 0% above 1y median	-0.4559 z	2026-10-06

Term Structure

VIX / VIX3M 0.8622 (contango, streak 125d); Short-end stress 8.98 (VIX1D vs VIX 15.52; no short-end stress); Short-vol carry 0.1598 (positive short-vol carry).

Constant-maturity VIX curve — now vs a week and a month ago

Metric	Latest	As of
VIX / VIX3Mcontango, streak 125d	0.8622	2026-10-05
Short-end stressVIX1D vs VIX 15.52; no short-end stress	8.98	2026-10-05
Short-vol carrypositive short-vol carry	0.1598	2026-10-05

Vol-of-Vol & Tail

VVIX / VIX 5.506 (VVIX 85.5); SKEW 143 (Cboe SKEW index (tail-hedging demand)); VRP 5.19 (VIX minus 21d realized vol (vol points)).

Variance risk premium (VIX − 21d realized)

Metric	Latest	As of
VVIX / VIXVVIX 85.5	5.506	2026-10-05
SKEWCboe SKEW index (tail-hedging demand)	143	2026-10-05
VRPVIX minus 21d realized vol (vol points)	5.19	2026-10-05

Cross-Asset

HY OAS 3.1 pp (HYG/LQD 0.756) [delayed]; MOVE 113.6 (OVX 48.6, GVZ 23.2); Risk-on/off score 1.766 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 0.756	3.1 pp	2026-10-02
MOVEOVX 48.6, GVZ 23.2	113.6	2026-10-05
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	1.766 z	2026-10-06

Cross-Country

VIX − VSTOXX (US–Europe fear gap) 0.7174 (Nikkei-VI/VIX 1.90; India-VIX/VIX 0.89; RVX/VIX 1.32) [proxy].

Metric	Latest	As of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.90; India-VIX/VIX 0.89; RVX/VIX 1.32	0.7174	2026-10-05

Positioning

VIX futures COT (net non-commercial z) -0.735 z (percentile 24%; VXX 17.20; VIX put/call 0.34; Fear & Greed 43); Days since last spike 133 days (VIX 15.35 vs 50d MA 15.66 / 200d MA 18.05; 21d realized vol 10.3 vs VIX 15.3).

Metric	Latest	As of
VIX futures COT (net non-commercial z)percentile 24%; VXX 17.20; VIX put/call 0.34; Fear & Greed 43	-0.735 z	2026-09-29
Days since last spikeVIX 15.35 vs 50d MA 15.66 / 200d MA 18.05; 21d realized vol 10.3 vs VIX 15.3	133 days	2026-10-06

Volatility Regime Score

Composite

29.9

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	0.86	49	49
Variance risk premiumimplied minus realized — a wide premium is the calm state	5.19	45	55(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge	5.51	43	43
Risk-on / risk-offcross-asset appetite — positive is risk-on	1.77	100	0(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes	-0.46	2	2

What to watch

For context, the S&P 500 sits 0.32% below its 12-month high and the VIX is -0.55 points over five sessions.

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