The volatility regime screens Low and the futures curve is in contango. The session's largest standardised moves were MOVE 105.2 (-8.4); Nikkei VI 29.20 (+6.33); US dollar (DXY) 101.83 (-0.33%). The composite risk-on/risk-off score reads 0.81 (risk-on), -0.08 on the session. That was a 4-session up streak for the S&P 500.
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 (2026-10-07) | 30 sessions | Distribution: Very Low 60%, Low 27%, Normal 13% | Source: Cboe
This session produced a 4-session up streak for the S&P 500.
S&P 500 vs VIX — last 60 sessions · S&P 500 7,818.93 · VIX 15.01S&P 500 vs VIX — last 60 sessions | Latest: 7819 (2026-10-06) | Range: 7316–7819 | Source: Cboe, S&P Dow Jones Indices | Trend(6pt): 7534,7724,7677,7586,7774,7819 | VIX: 15.01 (range 14.21–20.66)
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Scenarios
The VIX closed at 15.71 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=1,716
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=2,067
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 7, 2026
FOMC Meeting Minutes14:00 · United States
October 8, 2026
BoE Greene Speech05:15 · United Kingdom
BoE Lombardelli Speech09:00 · United Kingdom
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 6): VIX1D=8.69,VIX9D=12.03,VIX=15.01,VIX3M=17.64,VIX6M=19.84 | 1 week ago (Sep 29): VIX1D=11.69,VIX9D=14.21,VIX=16.04,VIX3M=18.09,VIX6M=20.2 | 1 month ago (Sep 6): VIX1D=12.03,VIX9D=11.97,VIX=14.53,VIX3M=17.61,VIX6M=19.89 | Source: Cboe
Metric
Latest
As of
VIX / VIX3Mcontango, streak 126d
0.8509
2026-10-06
Short-end stressVIX1D vs VIX 15.01; no short-end stress
HY OAS 3.12 pp (HYG/LQD 0.757) [delayed]; MOVE 105.2 (OVX 48.8, GVZ 23.0); 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: -1.932σ, Nikkei VI: 1.252σ, US dollar (DXY): -1.047σ, S&P 500: 0.7797σ, SKEW: -0.5045σ, VVIX: -0.4867σ, VXX: -0.4116σ, VIX3M: -0.3833σ | Range: -1.932σ–1.252σ | 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 (2026-10-07) | Range: -0.3339z–1.858z | Source: FRED, Cboe | Trend(5pt): 0.1764,0.8201,0.5314,1.416,1.858
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.757
3.12 pp
2026-10-05
MOVEOVX 48.8, GVZ 23.0
105.2
2026-10-06
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 16.75; VIX put/call 0.33; Fear & Greed 47); Days since last spike 134 days (VIX 15.71 vs 50d MA 15.56 / 200d MA 18.06; 21d realized vol 10.4 vs VIX 15.7).
Days since last spikeVIX 15.71 vs 50d MA 15.56 / 200d MA 18.06; 21d realized vol 10.4 vs VIX 15.7
134 days
2026-10-07
Volatility Regime Score
Composite
29.1
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
39
39
Variance risk premiumimplied minus realized — a wide premium is the calm state
4.61
40
60(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.50
42
42
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
-0.37
4
4
What to watch
For context, the S&P 500 is at its 12-month high and the VIX is -1.03 points over five sessions.
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