Volatility Regime ReadAlso todaySee the FI Daily

VIX Daily

October 8, 2026

Covering the October 7, 2026 session

The S&P 500 fell 0.22% to 7,801.77 and the VIX rose 0.07 points to 15.08 on 2026-10-07.

RegimeVery Low

Term structureContango

Short-end stressNone

S&P 500

7,801.77

-17.16 (-0.22%)

VIX

15.08

+0.07 (+0.5%)

Risk-on / risk-off

0.74

-0.07 on the session

49th 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 US dollar (DXY) 102.24 (+0.40%); HY OAS 3.09pp (+0.06pp); Nikkei VI 32.73 (+3.53). The composite risk-on/risk-off score reads 0.74 (risk-on), -0.07 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	7,801.77	-17.16	-0.22% on the session
VIX	15.08	+0.07	+0.47% on the session
Regime band	Very Low	—	252d percentile 12%
VIX / VIX3M	0.851	—	above 1 is backwardation
Risk-on / risk-off	+0.74	-0.07	49th percentile, 1y
Expected move	±0.53%	+0.02	to 2026-10-08, options-implied
25-delta skew, 1m	3.36	+0.48	vol points, put over call
Same-day expiry share	64.9%	+1.1	of session option volume
Volatility regime score	47.2	—	Neutral · 0-100, higher is more stress

Levels & Expected Move

Expected move

±42 (0.53%)

to 2026-10-08, 1d · ATM IV 10.2%

Peak OI strikes

7,630 / 8,050

put / call, 2026-10-08 · call +200, put +130

Assumed dealer gamma

+122,471

indicative · sign change near 7,800

Same-day expiries

64.9%

share of session volume · +1.1pp

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 2026-10-14, 7d	1.55	9.93%
1m 2026-11-06, 30d	3.36	12.69%
3m 2026-12-31, 85d	4.51	13.77%

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

S&P 500 vs VIX — last 60 sessions · S&P 500 7,801.77 · VIX 15.08

What Moved the Tape — October 7, 2026 session

Dollar Stays Elevated as Treasury Yields, Oil Prices RiseWSJ Markets · 2026-10-08
Wall Street ends lower, off record highs, as Treasury yields climb - ReutersReuters Business · 2026-10-07
U.S. Stocks Fall as Treasury Yields Test Multidecade HighsWSJ Markets · 2026-10-07
Oil prices are jumping again. How the S&P 500 has performed on days crude has seen big gains may be surprising.MarketWatch · 2026-10-08
Euro falls against Canadian Dollar amid French debt fears, oil rally - FXStreetGoogle News Canada · 2026-10-08

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

Scenarios

The VIX closed at 15.08 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=2,068
5 sessions	+0.37%	-4.29%	n=2,064

Risk Window

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

October 8, 2026

BoE Greene Speech05:15 · United Kingdom
BoE Gov Bailey Speech08:15 · United Kingdom

October 9, 2026

Michigan Consumer Sentiment Prel10:00 · United Statescons. 47.6

October 12, 2026

BoE Breeden Speech05:30 · United Kingdom
BoE Mann Speech08:50 · United Kingdom
RBA Meeting Minutes20:30 · Australia
BoE Greene Speech23:00 · United Kingdom

October 13, 2026

Existing Home Sales10:00 · United States

October 14, 2026

BoE Pill Speech02:00 · United Kingdom
Core Inflation Rate Month-over-Month08:30 · United States
Core Inflation Rate Year-over-Year08:30 · United States
Inflation Rate Month-over-Month08:30 · United States
+3 more

S&P 500 options: 2026-10-08, 2026-10-14, 2026-10-21 · VIX futures: 2026-10-21, 2026-11-18

Regime

Regime band Very Low (252d percentile 12%); VIX level 15.08 (z-score -0.91 (252d)); Vol-of-everything composite 0.2314 z (breadth 25% above 1y median).

S&P 500 vs VIX — last 30 sessions

VIX regime — last 30 sessions

Metric	Latest	As of
Regime band252d percentile 12%	Very Low	2026-10-07
VIX levelz-score -0.91 (252d)	15.08	2026-10-07
Vol-of-everything compositebreadth 25% above 1y median	0.2314 z	2026-10-07

Term Structure

VIX / VIX3M 0.851 (contango, streak 127d); Short-end stress 9.3 (VIX1D vs VIX 15.08; no short-end stress); Short-vol carry 0.1751 (positive short-vol carry).

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

Metric	Latest	As of
VIX / VIX3Mcontango, streak 127d	0.851	2026-10-07
Short-end stressVIX1D vs VIX 15.08; no short-end stress	9.3	2026-10-07
Short-vol carrypositive short-vol carry	0.1751	2026-10-07

Vol-of-Vol & Tail

VVIX / VIX 5.516 (VVIX 83.2); SKEW 141.8 (Cboe SKEW index (tail-hedging demand)); VRP 4.891 (VIX minus 21d realized vol (vol points)).

Variance risk premium (VIX − 21d realized)

Metric	Latest	As of
VVIX / VIXVVIX 83.2	5.516	2026-10-07
SKEWCboe SKEW index (tail-hedging demand)	141.8	2026-10-07
VRPVIX minus 21d realized vol (vol points)	4.891	2026-10-07

Cross-Asset

HY OAS 3.09 pp (HYG/LQD 0.756); MOVE 102.6 (OVX 48.6, GVZ 23.4); Risk-on/off score 0.7417 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 OASHYG/LQD 0.756	3.09 pp	2026-10-07
MOVEOVX 48.6, GVZ 23.4	102.6	2026-10-07
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	0.7417 z	2026-10-07

Cross-Country

VIX − VSTOXX (US–Europe fear gap) -0.3247 (Nikkei-VI/VIX 2.17; India-VIX/VIX 0.92; RVX/VIX 1.39) [proxy].

Metric	Latest	As of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 2.17; India-VIX/VIX 0.92; RVX/VIX 1.39	-0.3247	2026-10-07

Positioning

VIX futures COT (net non-commercial z) -0.735 z (percentile 24%; VXX 16.90; VIX put/call 0.33; Fear & Greed 40); Days since last spike 134 days (VIX 15.08 vs 50d MA 15.55 / 200d MA 18.05; 21d realized vol 10.2 vs VIX 15.1).

Metric	Latest	As of
VIX futures COT (net non-commercial z)percentile 24%; VXX 16.90; VIX put/call 0.33; Fear & Greed 40	-0.735 z	2026-09-29
Days since last spikeVIX 15.08 vs 50d MA 15.55 / 200d MA 18.05; 21d realized vol 10.2 vs VIX 15.1	134 days	2026-10-07

Volatility Regime Score

Composite

47.2

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.

Component	Value	Own 1y %ile	Stress %ile
VIX / VIX3Mabove 1 is backwardation — near-term fear bid over longer-dated	0.85	40	40
Variance risk premiumimplied minus realized — a wide premium is the calm state	4.89	42	58(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge	5.52	44	44
Risk-on / risk-offcross-asset appetite — positive is risk-on	0.74	49	51(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes	0.23	43	43

What to watch

For context, the S&P 500 sits 0.22% below its 12-month high and the VIX is -1.26 points over five sessions.

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