Volatility Regime ReadAlso todaySee the FI Daily

VIX Daily

October 13, 2026

Covering the October 12, 2026 session

Volatility screens Low as of 2026-10-12.

RegimeLow

Term structureContango

Short-end stressNone

S&P 500

7,807.24

-4.30 (-0.06%)

VIX

15.21

+0.37 (+2.5%)

Risk-on / risk-off

0.57

-0.06 on the session

38th pctile, 1y · risk-on · 0 = neutral, higher = more risk-on

The Session

Session figures are in the table below.

Dashboard

Metric	Latest	Session	Context
S&P 500	7,807.24	-4.30	-0.06% on the session
VIX	15.21	+0.37	+2.49% on the session
Regime band	Low	—	252d percentile 21%
VIX / VIX3M	0.848	—	above 1 is backwardation
Risk-on / risk-off	+0.57	-0.06	38th percentile, 1y
Expected move	±0.45%	-0.05	to 2026-10-13, options-implied
25-delta skew, 1m	3.67	+0.31	vol points, put over call
Same-day expiry share	66.4%	+0.7	of session option volume
Volatility regime score	29.6	—	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

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 2026-10-19, 7d	1.59	9.30%
1m 2026-11-11, 30d	3.67	12.22%
3m 2027-01-15, 95d	4.83	13.90%

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.

VIX regime — last 30 sessions

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 7,807.24 · VIX 15.21

What Moved the Tape — October 12, 2026 session

Chip Selloff Deepens Before Wall Street EarningsBloomberg Markets · 2026-10-13
S&P 500, Nasdaq Slip as Oil Rises on Russia Strikes in UkraineWSJ Markets · 2026-10-12
Nasdaq Futures Fall as Global AI Selloff IntensifiesWSJ Markets · 2026-10-13
Wall Street Strategists See Value in Duration After Bond RoutBloomberg Markets · 2026-10-12
Fed official Hammack says Treasury yields remain moderate as 3% mortgage rates raise economic concerns - Business UpturnGoogle News US · 2026-10-12

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

Scenarios

The VIX closed at 15.53 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	8.2%	n=169

S&P 500 from here	Median	Worst 5%	Sample
next session	+0.06%	-2.00%	n=2,071
5 sessions	+0.37%	-4.29%	n=2,067

Risk Window

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

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 15.53 (z-score -0.76 (252d)); Vol-of-everything composite -0.4104 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 21%	Low	2026-10-13
VIX levelz-score -0.76 (252d)	15.53	2026-10-13
Vol-of-everything compositedelayedbreadth 0% above 1y median	-0.4104 z	2026-10-13

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).

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

Metric	Latest	As of
VIX / VIX3Mcontango, streak 130d	0.8483	2026-10-12
Short-end stressVIX1D vs VIX 15.21; no short-end stress	7.72	2026-10-12
Short-vol carrypositive short-vol carry	0.1788	2026-10-12

Vol-of-Vol & Tail

VVIX / VIX 5.65 (VVIX 85.9); SKEW 155.1 (Cboe SKEW index (tail-hedging demand)); VRP 5.521 (VIX minus 21d realized vol (vol points)).

Variance risk premium (VIX − 21d realized)

Metric	Latest	As of
VVIX / VIXVVIX 85.9	5.65	2026-10-12
SKEWCboe SKEW index (tail-hedging demand)	155.1	2026-10-12
VRPVIX minus 21d realized vol (vol points)	5.521	2026-10-12

Cross-Asset

HY OAS 3.15 pp (HYG/LQD 0.753) [delayed]; MOVE 98.47 (OVX 48.5, GVZ 22.5) [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).

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 0.753	3.15 pp	2026-10-08
MOVEdelayedOVX 48.5, GVZ 22.5	98.47	2026-10-09
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-off	1.813 z	2026-10-13

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].

Metric	Latest	As of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.96; India-VIX/VIX 1.00; RVX/VIX 1.34	0.5886	2026-10-12

Positioning

VIX futures COT (net non-commercial z) -0.9812 z (percentile 17%; VXX 16.69; VIX put/call 0.33; Fear & Greed 46); Days since last spike 138 days (VIX 15.53 vs 50d MA 15.46 / 200d MA 18.08; 21d realized vol 9.7 vs VIX 15.5).

Metric	Latest	As of
VIX futures COT (net non-commercial z)percentile 17%; VXX 16.69; VIX put/call 0.33; Fear & Greed 46	-0.9812 z	2026-10-06
Days since last spikeVIX 15.53 vs 50d MA 15.46 / 200d MA 18.08; 21d realized vol 9.7 vs VIX 15.5	138 days	2026-10-13

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.

Component	Value	Own 1y %ile	Stress %ile
VIX / VIX3Mabove 1 is backwardation — near-term fear bid over longer-dated	0.85	37	37
Variance risk premiumimplied minus realized — a wide premium is the calm state	5.52	53	47(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge	5.65	60	60
Risk-on / risk-offcross-asset appetite — positive is risk-on	1.81	100	0(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes	-0.41	4	4

What to watch

Further readings follow in the table below.

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