The volatility regime screens Normal and the futures curve is in contango. The session's largest standardised moves were VVIX 94.5 (+9.1); US dollar (DXY) 102.55 (+0.36%). The composite risk-on/risk-off score reads 0.27 (risk-on), -0.23 on the session. That was largest one-day VIX rise in 55 sessions. That was largest one-day S&P 500 drop in 54 sessions.
Dashboard
Metric
Latest
Session
Context
S&P 500
7,718.94
-86.51
-1.11% on the session
VIX
16.87
+1.60
+10.48% on the session
Regime band
Normal
—
252d percentile 58%
VIX / VIX3M
0.898
—
above 1 is backwardation
Risk-on / risk-off
+0.27
-0.23
26th percentile, 1y
Expected move
±0.76%
+0.10
to 2026-10-15, options-implied
25-delta skew, 1m
4.87
+1.11
vol points, put over call
Same-day expiry share
62.8%
-1.8
of session option volume
Volatility regime score
37.0
—
Settled · 0-100, higher is more stress
Levels & Expected Move
Expected move
±59 (0.76%)
to 2026-10-15, 1d · ATM IV 14.6%
Peak OI strikes
7,500 / 7,800
put / call, 2026-10-15 · call -70, put +400
Assumed dealer gamma
-119,022
indicative · no sign change within the near-dated book
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 largest one-day VIX rise in 55 sessions.
S&P 500 vs VIX — last 60 sessions · S&P 500 7,718.94 · VIX 16.87S&P 500 vs VIX — last 60 sessions | Latest: 7719 (2026-10-14) | Range: 7316–7819 | Source: Cboe, S&P Dow Jones Indices | Trend(6pt): 7412,7799,7667,7706,7805,7719 | VIX: 16.87 (range 14.21–20.66)
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Scenarios
The VIX closed at 17.59 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=1,720
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=2,069
Risk Window
US high-impact releases and major central-bank events, for the sessions ahead.
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
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 14): VIX1D=14.11,VIX9D=14.59,VIX=16.87,VIX3M=18.79,VIX6M=20.49 | 1 week ago (Oct 7): VIX1D=9.3,VIX9D=11.78,VIX=15.08,VIX3M=17.72,VIX6M=19.86 | 1 month ago (Sep 14): VIX1D=12.02,VIX9D=16.91,VIX=17.1,VIX3M=19.28,VIX6M=20.71 | Source: Cboe
Metric
Latest
As of
VIX / VIX3Mcontango, streak 132d
0.8978
2026-10-14
Short-end stressVIX1D vs VIX 16.87; no short-end stress
HY OAS 3.16 pp (HYG/LQD 0.748) [delayed]; MOVE 99.06 (OVX 48.6, GVZ 22.8); Risk-on/off score 1.526 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 | VVIX: 1.571σ, S&P 500: -1.532σ, US dollar (DXY): 1.155σ, VIX: 1.058σ, 10y breakeven: 1.05σ, VXN: 0.9617σ, VIX3M: 0.915σ, Bitcoin: -0.912σ | Range: -1.532σ–1.571σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 1.526z (2026-10-15) | Range: -0.3339z–1.61z | Source: FRED, Cboe | Trend(5pt): -0.03091,0.9047,0.9847,1.362,1.526
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.748
3.16 pp
2026-10-13
MOVEOVX 48.6, GVZ 22.8
99.06
2026-10-14
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) -0.9812 z (percentile 17%; VXX 17.20; VIX put/call 0.32; Fear & Greed 30); Days since last spike 140 days (VIX 17.59 vs 50d MA 15.52 / 200d MA 18.11; 21d realized vol 10.2 vs VIX 17.6).
Days since last spikeVIX 17.59 vs 50d MA 15.52 / 200d MA 18.11; 21d realized vol 10.2 vs VIX 17.6
140 days
2026-10-15
Volatility Regime Score
Composite
37.0
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
0.90
70
70
Variance risk premiumimplied minus realized — a wide premium is the calm state
6.65
70
30(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.60
54
54
Risk-on / risk-offcross-asset appetite — positive is risk-on
1.53
99
1(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
0.06
29
29
What to watch
For context, the S&P 500 sits 1.28% below its 12-month high and the VIX is +1.79 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.