Volatility Regime ReadAlso todaySee the Equities Daily

VIX Daily

October 14, 2026

Covering the October 13, 2026 session

The S&P 500 finished essentially flat at 7,805.45, 0.02% lower and the VIX rose 0.06 points to 15.27 on 2026-10-13.

RegimeVery Low

Term structureContango

Short-end stressNone

S&P 500

7,805.45

-1.79 (-0.02%)

VIX

15.27

+0.06 (+0.4%)

Risk-on / risk-off

0.51

-0.06 on the session

35th 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) 102.18 (-0.39%); Bitcoin 83,095 (+1.63%); MOVE 101.1 (+2.6). The composite risk-on/risk-off score reads 0.51 (risk-on), -0.06 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	7,805.45	-1.79	-0.02% on the session
VIX	15.27	+0.06	+0.39% on the session
Regime band	Very Low	—	252d percentile 18%
VIX / VIX3M	0.850	—	above 1 is backwardation
Risk-on / risk-off	+0.51	-0.06	35th percentile, 1y
Expected move	±0.66%	+0.21	to 2026-10-14, options-implied
25-delta skew, 1m	3.76	+0.09	vol points, put over call
Same-day expiry share	64.6%	-1.8	of session option volume
Volatility regime score	27.1	—	Settled · 0-100, higher is more stress

Levels & Expected Move

Expected move

±52 (0.66%)

to 2026-10-14, 1d · ATM IV 12.7%

Peak OI strikes

7,100 / 7,870

put / call, 2026-10-14 · call +45, put -490

Assumed dealer gamma

+202,946

indicative · sign change near 7,805

Same-day expiries

64.6%

share of session volume · -1.8pp

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 2026-10-20, 7d	1.86	9.58%
1m 2026-11-12, 30d	3.76	12.28%
3m 2027-01-15, 94d	4.91	13.89%

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 7,805.45 · VIX 15.27

What Moved the Tape — October 13, 2026 session

Chip Selloff Deepens Before Wall Street EarningsBloomberg Markets · 2026-10-13
Nasdaq Futures Fall as Global AI Selloff IntensifiesWSJ Markets · 2026-10-13
Wall Street plays down investor fears of faltering trading boomFinancial Times · 2026-10-13
Breaking Down Big Bank EarningsBloomberg Markets · 2026-10-13
Fed’s Bowman Says Inflation Above Goal, But No Urgency to ActWSJ Markets · 2026-10-14

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

Scenarios

The VIX closed at 15.34 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=1,719
moves to 20-30	8.9%	n=185
moves to <15	8.1%	n=169

S&P 500 from here	Median	Worst 5%	Sample
next session	+0.06%	-2.00%	n=2,072
5 sessions	+0.37%	-4.29%	n=2,068

Risk Window

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

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: 2026-10-14, 2026-10-20, 2026-10-27 · VIX futures: 2026-10-21, 2026-11-18

Regime

Regime band Very Low (252d percentile 18%); VIX level 15.34 (z-score -0.81 (252d)); Vol-of-everything composite -0.4534 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 18%	Very Low	2026-10-14
VIX levelz-score -0.81 (252d)	15.34	2026-10-14
Vol-of-everything compositedelayedbreadth 0% above 1y median	-0.4534 z	2026-10-14

Term Structure

VIX / VIX3M 0.8502 (contango, streak 131d); Short-end stress 10.72 (VIX1D vs VIX 15.27; no short-end stress); Short-vol carry 0.1762 (positive short-vol carry).

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

Metric	Latest	As of
VIX / VIX3Mcontango, streak 131d	0.8502	2026-10-13
Short-end stressVIX1D vs VIX 15.27; no short-end stress	10.72	2026-10-13
Short-vol carrypositive short-vol carry	0.1762	2026-10-13

Vol-of-Vol & Tail

VVIX / VIX 5.591 (VVIX 85.4); SKEW 154.7 (Cboe SKEW index (tail-hedging demand)); VRP 5.797 (VIX minus 21d realized vol (vol points)).

Variance risk premium (VIX − 21d realized)

Metric	Latest	As of
VVIX / VIXVVIX 85.4	5.591	2026-10-13
SKEWCboe SKEW index (tail-hedging demand)	154.7	2026-10-13
VRPVIX minus 21d realized vol (vol points)	5.797	2026-10-13

Cross-Asset

HY OAS 3.11 pp (HYG/LQD 0.752) [delayed]; MOVE 101.1 (OVX 48.8, GVZ 22.1); Risk-on/off score 1.882 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 0.752	3.11 pp	2026-10-12
MOVEOVX 48.8, GVZ 22.1	101.1	2026-10-13
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	1.882 z	2026-10-14

Cross-Country

VIX − VSTOXX (US–Europe fear gap) 0.9118 (Nikkei-VI/VIX 1.83; India-VIX/VIX 0.95; RVX/VIX 1.32) [proxy].

Metric	Latest	As of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.83; India-VIX/VIX 0.95; RVX/VIX 1.32	0.9118	2026-10-13

Positioning

VIX futures COT (net non-commercial z) -0.9812 z (percentile 17%; VXX 16.68; VIX put/call 0.33; Fear & Greed 45); Days since last spike 139 days (VIX 15.34 vs 50d MA 15.44 / 200d MA 18.09; 21d realized vol 9.5 vs VIX 15.3).

Metric	Latest	As of
VIX futures COT (net non-commercial z)percentile 17%; VXX 16.68; VIX put/call 0.33; Fear & Greed 45	-0.9812 z	2026-10-06
Days since last spikeVIX 15.34 vs 50d MA 15.44 / 200d MA 18.09; 21d realized vol 9.5 vs VIX 15.3	139 days	2026-10-14

Volatility Regime Score

Composite

27.1

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	38	38
Variance risk premiumimplied minus realized — a wide premium is the calm state	5.80	58	42(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge	5.59	52	52
Risk-on / risk-offcross-asset appetite — positive is risk-on	1.88	100	0(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes	-0.45	2	2

What to watch

For context, the S&P 500 sits 0.17% below its 12-month high and the VIX is +0.26 points over five sessions.

Get this every weekday morning

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.

One-click unsubscribe in every email, and you can manage every RoboMacro newsletter from the same page.