Volatility Regime ReadAlso todaySee the FI Daily

VIX Daily

October 20, 2026

Covering the October 19, 2026 session

Volatility screens High as of 2026-10-19.

RegimeHigh

Term structureContango

Short-end stressNone

S&P 500

7,690.73

+31.29 (+0.41%)

VIX

18.44

-1.55 (-7.8%)

Risk-on / risk-off

0.23

+0.16 on the session

25th 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	7,690.73	+31.29	+0.41% on the session
VIX	18.44	-1.55	-7.75% on the session
Regime band	High	—	252d percentile 73%
VIX / VIX3M	0.941	—	above 1 is backwardation
Risk-on / risk-off	+0.23	+0.16	25th percentile, 1y
Expected move	±0.69%	-0.31	to 2026-10-20, options-implied
25-delta skew, 1m	5.33	-0.81	vol points, put over call
Same-day expiry share	66.1%	+4.3	of session option volume
Volatility regime score	52.0	—	Neutral · 0-100, higher is more stress

Levels & Expected Move

Expected move

±53 (0.69%)

to 2026-10-20, 1d · ATM IV 13.3%

Peak OI strikes

7,550 / 7,825

put / call, 2026-10-20 · call -200, put +450

Assumed dealer gamma

-68,107

indicative · no sign change within the near-dated book

Same-day expiries

66.1%

share of session volume · +4.3pp

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 2026-10-26, 7d	3.98	12.40%
1m 2026-11-18, 30d	5.33	13.96%
3m 2027-01-15, 88d	5.81	14.68%

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 fall in 22 sessions.

S&P 500 vs VIX — last 60 sessions · S&P 500 7,690.73 · VIX 18.44

What Moved the Tape — October 19, 2026 session

U.S. Treasury Yields Turn Higher With Oil; French Bond Yields Rise on ProtestsWSJ Markets · 2026-10-19
Cameroon Eurobond Yields Soar as Fitch Downgrade Flags RisksBloomberg Markets · 2026-10-19
Can Wall Street’s Selloff Convince the Fed to Hold Interest Rates? - Modern DiplomacyGoogle News US · 2026-10-20
White House officials interpret September CPI: Inflation rebound coexists with economic prosperity, while respecting the Federal Reserve's independence! - 富途牛牛Google News US · 2026-10-20
Asian Stocks Fall, Bucking U.S. Tech ReboundWSJ Markets · 2026-10-20

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

Scenarios

The VIX closed at 18.78 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=1,723
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=2,075
5 sessions	+0.37%	-4.29%	n=2,072

Risk Window

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

October 27, 2026

Durable Goods Orders Month-over-Month08:30 · United States

October 28, 2026

BoC Interest Rate Decision09:45 · Canada
BoC Press Conference10:30 · Canada
Fed Interest Rate Decision14:00 · United States
Fed Press Conference14:30 · United States

S&P 500 options: 2026-10-20, 2026-10-26, 2026-11-02 · VIX futures: 2026-10-21, 2026-11-18

Regime

Regime band High (252d percentile 73%); VIX level 18.78 (z-score +0.24 (252d)); Vol-of-everything composite 0.3306 z (breadth 100% above 1y median) [delayed].

S&P 500 vs VIX — last 30 sessions

VIX regime — last 30 sessions

Metric	Latest	As of
Regime band252d percentile 73%	High	2026-10-20
VIX levelz-score +0.24 (252d)	18.78	2026-10-20
Vol-of-everything compositedelayedbreadth 100% above 1y median	0.3306 z	2026-10-20

Term Structure

VIX / VIX3M 0.9408 (contango, streak 135d); Short-end stress 11.93 (VIX1D vs VIX 18.44; no short-end stress); Short-vol carry 0.06291 (positive short-vol carry).

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

Metric	Latest	As of
VIX / VIX3Mcontango, streak 135d	0.9408	2026-10-19
Short-end stressVIX1D vs VIX 18.44; no short-end stress	11.93	2026-10-19
Short-vol carrypositive short-vol carry	0.06291	2026-10-19

Vol-of-Vol & Tail

VVIX / VIX 5.799 (VVIX 106.9); SKEW 161.9 (Cboe SKEW index (tail-hedging demand)); VRP 8.157 (VIX minus 21d realized vol (vol points)).

Variance risk premium (VIX − 21d realized)

Metric	Latest	As of
VVIX / VIXVVIX 106.9	5.799	2026-10-19
SKEWCboe SKEW index (tail-hedging demand)	161.9	2026-10-19
VRPVIX minus 21d realized vol (vol points)	8.157	2026-10-19

Cross-Asset

HY OAS 3.31 pp (HYG/LQD 0.747) [delayed]; MOVE 101.3 (OVX 50.2, GVZ 22.2); Risk-on/off score 1.615 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 0.747	3.31 pp	2026-10-16
MOVEOVX 50.2, GVZ 22.2	101.3	2026-10-19
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	1.615 z	2026-10-20

Cross-Country

VIX − VSTOXX (US–Europe fear gap) 3.813 (Nikkei-VI/VIX 1.71; India-VIX/VIX 0.80; RVX/VIX 1.16) [proxy].

Metric	Latest	As of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.71; India-VIX/VIX 0.80; RVX/VIX 1.16	3.813	2026-10-19

Positioning

VIX futures COT (net non-commercial z) -1.089 z (percentile 14%; VXX 17.79; VIX put/call 0.32; Fear & Greed 23); Days since last spike 143 days (VIX 18.78 vs 50d MA 15.73 / 200d MA 18.17; 21d realized vol 10.3 vs VIX 18.8).

Metric	Latest	As of
VIX futures COT (net non-commercial z)percentile 14%; VXX 17.79; VIX put/call 0.32; Fear & Greed 23	-1.089 z	2026-10-13
Days since last spikeVIX 18.78 vs 50d MA 15.73 / 200d MA 18.17; 21d realized vol 10.3 vs VIX 18.8	143 days	2026-10-20

Volatility Regime Score

Composite

52.0

Neutral · 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	0.94	85	85
Variance risk premiumimplied minus realized — a wide premium is the calm state	8.16	84	16(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge	5.80	75	75
Risk-on / risk-offcross-asset appetite — positive is risk-on	1.61	100	0(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes	0.33	51	51
25-delta skew (1m)what downside protection costs over upside, in vol points	5.33	86	86

What to watch

Further readings follow in the table below.

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