Volatility Regime ReadAlso todaySee the US Macro Daily

VIX Daily

October 16, 2026

Covering the October 15, 2026 session

Volatility screens Low as of 2026-10-15.

RegimeLow

Term structureContango

Short-end stressNone

S&P 500

7,744.06

+25.12 (+0.33%)

VIX

16.46

-0.41 (-2.4%)

Risk-on / risk-off

0.22

-0.05 on the session

24th 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	7,744.06	+25.12	+0.33% on the session
VIX	16.46	-0.41	-2.43% on the session
Regime band	Low	—	252d percentile 33%
VIX / VIX3M	0.890	—	above 1 is backwardation
Risk-on / risk-off	+0.22	-0.05	24th percentile, 1y
Expected move	±0.66%	-0.10	to 2026-10-16, options-implied
25-delta skew, 1m	4.38	-0.49	vol points, put over call
Same-day expiry share	61.4%	-1.4	of session option volume
Volatility regime score	39.3	—	Settled · 0-100, higher is more stress

Levels & Expected Move

Expected move

±51 (0.66%)

to 2026-10-16, 1d · ATM IV 12.5%

Peak OI strikes

7,000 / 8,000

put / call, 2026-10-16 · call +200, put -500

Assumed dealer gamma

-25,445

indicative · no sign change within the near-dated book

Same-day expiries

61.4%

share of session volume · -1.4pp

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 2026-10-22, 7d	2.65	10.62%
1m 2026-11-13, 29d	4.38	12.86%
3m 2027-01-15, 92d	5.18	14.02%

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 16.46, this is where realised volatility sits across horizons.

Realised volatility by window

What Moved the Tape — October 15, 2026 session

Stocks Gain as Treasury Yields Give Back Some Recent GainsWSJ Markets · 2026-10-15
U.S. Treasury Yields StabilizeWSJ Markets · 2026-10-16
Warsh Remarks Lift U.S. Nasdaq Futures 0.18%; Asian Stocks Also Rally on Relief (Update) - 아시아경제Google News US · 2026-10-16
Analysis: Why a $2 trillion deficit and 5% Treasury yields are becoming America's biggest economic challengeCNBC Economy · 2026-10-15
Rupee extends winning streak as dollar, oil ease and stocks rally - The Economic TimesGoogle News IN · 2026-10-15

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

Scenarios

The VIX closed at 16.14 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=1,721
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=2,073
5 sessions	+0.37%	-4.29%	n=2,070

Risk Window

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

October 16, 2026

BoC Gov Macklem Speech00:15 · Canada

S&P 500 options: 2026-10-16, 2026-10-22, 2026-10-29 · VIX futures: 2026-10-21, 2026-11-18

Regime

Regime band Low (252d percentile 33%); VIX level 16.14 (z-score -0.56 (252d)); Vol-of-everything composite -0.2702 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 33%	Low	2026-10-16
VIX levelz-score -0.56 (252d)	16.14	2026-10-16
Vol-of-everything compositedelayedbreadth 0% above 1y median	-0.2702 z	2026-10-16

Term Structure

VIX / VIX3M 0.8902 (contango, streak 133d); Short-end stress 13.9 (VIX1D vs VIX 16.46; no short-end stress); Short-vol carry 0.1233 (positive short-vol carry).

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

Metric	Latest	As of
VIX / VIX3Mcontango, streak 133d	0.8902	2026-10-15
Short-end stressVIX1D vs VIX 16.46; no short-end stress	13.9	2026-10-15
Short-vol carrypositive short-vol carry	0.1233	2026-10-15

Vol-of-Vol & Tail

VVIX / VIX 5.624 (VVIX 92.6); SKEW 160.4 (Cboe SKEW index (tail-hedging demand)); VRP 6.395 (VIX minus 21d realized vol (vol points)).

Variance risk premium (VIX − 21d realized)

Metric	Latest	As of
VVIX / VIXVVIX 92.6	5.624	2026-10-15
SKEWCboe SKEW index (tail-hedging demand)	160.4	2026-10-15
VRPVIX minus 21d realized vol (vol points)	6.395	2026-10-15

Cross-Asset

HY OAS 3.25 pp (HYG/LQD 0.745) [delayed]; MOVE 102.5 (OVX 49.1, GVZ 22.3); Risk-on/off score 1.598 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 0.745	3.25 pp	2026-10-14
MOVEOVX 49.1, GVZ 22.3	102.5	2026-10-15
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	1.598 z	2026-10-16

Cross-Country

VIX − VSTOXX (US–Europe fear gap) 1.448 (Nikkei-VI/VIX 1.99; India-VIX/VIX 0.87; RVX/VIX 1.29) [proxy].

Metric	Latest	As of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.99; India-VIX/VIX 0.87; RVX/VIX 1.29	1.448	2026-10-15

Positioning

VIX futures COT (net non-commercial z) -0.9812 z (percentile 17%; VXX 17.08; VIX put/call 0.32; Fear & Greed 32); Days since last spike 141 days (VIX 16.14 vs 50d MA 15.52 / 200d MA 18.11; 21d realized vol 10.1 vs VIX 16.1).

Metric	Latest	As of
VIX futures COT (net non-commercial z)percentile 17%; VXX 17.08; VIX put/call 0.32; Fear & Greed 32	-0.9812 z	2026-10-06
Days since last spikeVIX 16.14 vs 50d MA 15.52 / 200d MA 18.11; 21d realized vol 10.1 vs VIX 16.1	141 days	2026-10-16

Volatility Regime Score

Composite

39.3

Settled · 6 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	0.89	66	66
Variance risk premiumimplied minus realized — a wide premium is the calm state	6.40	68	32(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge	5.62	58	58
Risk-on / risk-offcross-asset appetite — positive is risk-on	1.60	100	0(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes	-0.27	8	8
25-delta skew (1m)what downside protection costs over upside, in vol points	4.38	72	72

What to watch

Further readings follow in the table below.

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