The volatility regime screens Very Low and the futures curve is in contango. The session's largest standardised moves were SKEW 149.2 (+7.3); VVIX 87.7 (+4.5). The composite risk-on/risk-off score reads 0.57 (risk-on), -0.17 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
A session without a standout move. With the VIX at 15.41, this is where realised volatility sits across horizons.
Headlines are linked to their publishers; inclusion is not endorsement and reflects coverage during the session window only.
Scenarios
The VIX closed at 15.26 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=1,718
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=2,069
5 sessions
+0.37%
-4.29%
n=2,065
Risk Window
US high-impact releases and major central-bank events, for the sessions ahead.
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 Statescons. 0.2
Core Inflation Rate Year-over-Year08:30 · United States
Inflation Rate Month-over-Month08:30 · United Statescons. 0.6
+3 more
October 15, 2026
BoE Cleland Speech03:50 · United Kingdom
BoE Breeden Speech04:45 · United Kingdom
Producer Price Index Month-over-Month08:30 · United States
Retail Sales Month-over-Month09:30 · United States
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 8): VIX1D=10.24,VIX9D=12.21,VIX=15.41,VIX3M=18.08,VIX6M=20.04 | 1 week ago (Oct 1): VIX1D=13.85,VIX9D=14,VIX=16.39,VIX3M=18.58,VIX6M=20.52 | 1 month ago (Sep 8): VIX1D=10.43,VIX9D=14.81,VIX=15.72,VIX3M=18.39,VIX6M=20.34 | Source: Cboe
Metric
Latest
As of
VIX / VIX3Mcontango, streak 128d
0.8523
2026-10-08
Short-end stressVIX1D vs VIX 15.41; no short-end stress
HY OAS 3.09 pp (HYG/LQD 0.753) [delayed]; MOVE 100.7 (OVX 48.4, GVZ 22.7); Risk-on/off score 1.738 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 | SKEW: 2.013σ, Bitcoin: -0.9241σ, VVIX: 0.7594σ, S&P 500: -0.6309σ, Nikkei VI: -0.6201σ, VXN: 0.5914σ, 10y breakeven: -0.5266σ, MOVE: -0.4278σ | Range: -0.9241σ–2.013σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 1.738z (2026-10-09) | Range: -0.3339z–1.738z | Source: FRED, Cboe | Trend(5pt): 0.1891,0.9367,0.7059,1.477,1.738
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.753
3.09 pp
2026-10-07
MOVEOVX 48.4, GVZ 22.7
100.7
2026-10-08
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 17.24; VIX put/call 0.33; Fear & Greed 38); Days since last spike 136 days (VIX 15.26 vs 50d MA 15.50 / 200d MA 18.07; 21d realized vol 10.2 vs VIX 15.3).
Days since last spikeVIX 15.26 vs 50d MA 15.50 / 200d MA 18.07; 21d realized vol 10.2 vs VIX 15.3
136 days
2026-10-09
Volatility Regime Score
Composite
32.2
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
42
42
Variance risk premiumimplied minus realized — a wide premium is the calm state
5.23
47
53(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.69
64
64
Risk-on / risk-offcross-asset appetite — positive is risk-on
1.74
100
0(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
-0.47
2
2
What to watch
For context, the S&P 500 sits 0.69% below its 12-month high and the VIX is -0.98 points over five sessions.
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The VIX Daily lands before the US open with the previous session's close, what the options market is pricing, and the week's scheduled risk. Free.