Volatility Regime ReadAlso todaySee the FI Daily

VIX Daily

October 12, 2026
Covering the October 9, 2026 session

Volatility screens Low as of 2026-10-09.

RegimeLow
Term structureContango
Short-end stressNone
S&P 500
7,811.54
+46.18 (+0.59%)
VIX
14.84
-0.57 (-3.7%)
Risk-on / risk-off
0.63
+0.06 on the session
42nd pctile, 1y · risk-on · 0 = neutral, higher = more risk-on

The Session

Session figures are in the table below.

Dashboard

MetricLatestSessionContext
S&P 5007,811.54+46.18+0.59% on the session
VIX14.84-0.57-3.70% on the session
Regime bandLow—252d percentile 21%
VIX / VIX3M0.848—above 1 is backwardation
Risk-on / risk-off+0.63+0.0642th percentile, 1y
Expected move±0.45%-0.05to 2026-10-13, options-implied
25-delta skew, 1m3.67+0.31vol points, put over call
Same-day expiry share66.4%+0.7of session option volume
Volatility regime score29.6—Settled · 0-100, higher is more stress

Levels & Expected Move

Expected move
±35 (0.45%)
to 2026-10-13, 1d · ATM IV 8.6%
Peak OI strikes
7,590 / 7,825
put / call, 2026-10-13 · call +5, put -60
Assumed dealer gamma
+85,632
indicative · sign change near 7,850
Same-day expiries
66.4%
share of session volume · +0.7pp
Maturity25Δ skew (vol pts)ATM IV
1w 2026-10-19, 7d1.599.30%
1m 2026-11-11, 30d3.6712.22%
3m 2027-01-15, 95d4.8313.90%

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.

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

Scenarios

The VIX closed at 14.84 in the <15 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…FrequencySample
stays in <1592.0%n=1,939
moves to 15-208.0%n=169
S&P 500 from hereMedianWorst 5%Sample
next session+0.05%-1.37%n=2,107
5 sessions+0.23%-3.42%n=2,107

Risk Window

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

October 12, 2026
  • BoE Breeden Speech05:30 · United Kingdom
  • BoE Mann Speech08:50 · United Kingdom
  • Fed Hammack Speech12:50 · United States
  • RBA Meeting Minutes20:30 · Australia
  • +1 more
October 13, 2026
  • Existing Home Sales10:00 · United Statescons. 3950000.00
  • BoE Dhingra Speech12:00 · United Kingdom
  • BoE Breeden Speech23:30 · United Kingdom
October 14, 2026
  • BoE Gov Bailey Speech01:30 · United Kingdom
  • BoE Pill Speech02:00 · United Kingdom
  • BoC Gov Macklem Speech02:05 · Canada
  • Core Inflation Rate Month-over-Month08:30 · United Statescons. 0.2
  • +6 more
October 15, 2026
  • BoE Cleland Speech03:50 · United Kingdom
  • BoE Breeden Speech04:45 · United Kingdom
  • BoC Rogers Speech05:00 · Canada
  • Producer Price Index Month-over-Month08:30 · United Statescons. 0.5
  • +4 more
October 16, 2026
  • BoC Gov Macklem Speech00:15 · Canada

S&P 500 options: 2026-10-13, 2026-10-19, 2026-10-26 · VIX futures: 2026-10-21, 2026-11-18

Regime

Regime band Low (252d percentile 21%); VIX level 14.84 (z-score -0.76 (252d)); Vol-of-everything composite -0.4104 z (breadth 0% above 1y median) [delayed].

MetricLatestAs of
Regime band252d percentile 21%Low2026-10-13
VIX levelz-score -0.76 (252d)14.842026-10-09
Vol-of-everything compositedelayedbreadth 0% above 1y median-0.4104 z2026-10-13

Term Structure

VIX / VIX3M 0.8483 (contango, streak 130d); Short-end stress 7.72 (VIX1D vs VIX 15.21; no short-end stress); Short-vol carry 0.1788 (positive short-vol carry).

MetricLatestAs of
VIX / VIX3Mcontango, streak 130d0.84832026-10-12
Short-end stressVIX1D vs VIX 15.21; no short-end stress7.722026-10-12
Short-vol carrypositive short-vol carry0.17882026-10-12

Vol-of-Vol & Tail

VVIX / VIX 5.65 (VVIX 84.9); SKEW 154.3 (Cboe SKEW index (tail-hedging demand)); VRP 5.521 (VIX minus 21d realized vol (vol points)).

MetricLatestAs of
VVIX / VIXVVIX 84.95.652026-10-12
SKEWCboe SKEW index (tail-hedging demand)154.32026-10-09
VRPVIX minus 21d realized vol (vol points)5.5212026-10-12

Cross-Asset

HY OAS 3.15 pp (HYG/LQD 0.753) [delayed]; MOVE 98.47 (OVX 48.9, GVZ 22.8) [delayed]; Risk-on/off score 1.813 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).

MetricLatestAs of
HY OASdelayedHYG/LQD 0.7533.15 pp2026-10-08
MOVEdelayedOVX 48.9, GVZ 22.898.472026-10-09
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-off1.813 z2026-10-13

Cross-Country

VIX − VSTOXX (US–Europe fear gap) 0.5886 (Nikkei-VI/VIX 1.96; India-VIX/VIX 1.00; RVX/VIX 1.34) [proxy].

MetricLatestAs of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.96; India-VIX/VIX 1.00; RVX/VIX 1.340.58862026-10-12

Positioning

VIX futures COT (net non-commercial z) -0.9812 z (percentile 17%; VXX 16.99; VIX put/call 0.33; Fear & Greed 46); Days since last spike 138 days (VIX 14.84 vs 50d MA 15.49 / 200d MA 18.07; 21d realized vol 9.7 vs VIX 14.8).

MetricLatestAs of
VIX futures COT (net non-commercial z)percentile 17%; VXX 16.99; VIX put/call 0.33; Fear & Greed 46-0.9812 z2026-10-06
Days since last spikeVIX 14.84 vs 50d MA 15.49 / 200d MA 18.07; 21d realized vol 9.7 vs VIX 14.8138 days2026-10-09

Volatility Regime Score

Composite
29.6
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.

ComponentValueOwn 1y %ileStress %ile
VIX / VIX3Mabove 1 is backwardation — near-term fear bid over longer-dated0.853737
Variance risk premiumimplied minus realized — a wide premium is the calm state5.525347(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge5.656060
Risk-on / risk-offcross-asset appetite — positive is risk-on1.811000(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes-0.4144
What to watch

Further readings follow in the table below.

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