Volatility Regime ReadAlso todaySee the Equities Daily

VIX Daily

October 21, 2026

Covering the October 20, 2026 session

The S&P 500 rose 0.28% to 7,712.57 and the VIX eased 1.13 points to 17.31 on 2026-10-20.

RegimeNormal

Term structureContango

Short-end stressNone

S&P 500

7,712.57

+21.84 (+0.28%)

VIX

17.31

-1.13 (-6.1%)

Risk-on / risk-off

0.27

+0.04 on the session

25th pctile, 1y · risk-on · 0 = neutral, higher = more risk-on

The Session

The volatility regime screens Normal and the futures curve is in contango. The session's largest standardised moves were VVIX 97.2 (-9.8); US dollar (DXY) 101.73 (-0.25%). The composite risk-on/risk-off score reads 0.27 (risk-on), +0.04 on the session.

Dashboard

Metric	Latest	Session	Context
S&P 500	7,712.57	+21.84	+0.28% on the session
VIX	17.31	-1.13	-6.13% on the session
Regime band	Normal	—	252d percentile 55%
VIX / VIX3M	0.912	—	above 1 is backwardation
Risk-on / risk-off	+0.27	+0.04	25th percentile, 1y
Expected move	±0.74%	+0.05	to 2026-10-21, options-implied
25-delta skew, 1m	4.48	-0.85	vol points, put over call
Same-day expiry share	67.2%	+1.1	of session option volume
Volatility regime score	40.0	—	Neutral · 0-100, higher is more stress

Levels & Expected Move

Expected move

±57 (0.74%)

to 2026-10-21, 1d · ATM IV 14.1%

Peak OI strikes

7,625 / 8,000

put / call, 2026-10-21 · call +175, put +75

Assumed dealer gamma

-41,840

indicative · no sign change within the near-dated book

Same-day expiries

67.2%

share of session volume · +1.1pp

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 2026-10-27, 7d	2.74	12.04%
1m 2026-11-19, 30d	4.48	13.66%
3m 2027-01-15, 87d	5.25	14.44%

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 17.31, this is where realised volatility sits across horizons.

Realised volatility by window

What Moved the Tape — October 20, 2026 session

RBI Turns Away All Bids at Treasury Bill Sale Amid Bond SelloffBloomberg Markets · 2026-10-21
Eurozone Bond Yields Rise, U.S. Treasury Yields SteadyWSJ Markets · 2026-10-21
Nasdaq Futures Higher After Asian AI RallyWSJ Markets · 2026-10-21
Jeanne Sun Favors US Stocks as AI Rally ContinuesBloomberg Markets · 2026-10-20
Asian shares are mixed, with Kospi up 3% after US stocks rally on strong earnings - Seattle Post-IntelligencerGoogle News Korea · 2026-10-21

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

Scenarios

The VIX closed at 17.35 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=1,724
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=2,076
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 Statescons. 4.0
Fed Press Conference14:30 · United States

October 29, 2026

Core PCE Price Index Month-over-Month08:30 · United States
GDP Growth Quarter-over-Quarter Advance Estimate08:30 · United States
Personal Income Month-over-Month08:30 · United States
Personal Spending Month-over-Month08:30 · United States
+1 more

S&P 500 options: 2026-10-21, 2026-10-27, 2026-11-03 · VIX futures: 2026-10-21, 2026-11-18

Regime

Regime band Normal (252d percentile 55%); VIX level 17.35 (z-score -0.19 (252d)); Vol-of-everything composite 0.00523 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 55%	Normal	2026-10-21
VIX levelz-score -0.19 (252d)	17.35	2026-10-21
Vol-of-everything compositedelayedbreadth 100% above 1y median	0.00523 z	2026-10-21

Term Structure

VIX / VIX3M 0.9115 (contango, streak 136d); Short-end stress 11.2 (VIX1D vs VIX 17.31; no short-end stress); Short-vol carry 0.09705 (positive short-vol carry).

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

Metric	Latest	As of
VIX / VIX3Mcontango, streak 136d	0.9115	2026-10-20
Short-end stressVIX1D vs VIX 17.31; no short-end stress	11.2	2026-10-20
Short-vol carrypositive short-vol carry	0.09705	2026-10-20

Vol-of-Vol & Tail

VVIX / VIX 5.612 (VVIX 97.2); SKEW 160.4 (Cboe SKEW index (tail-hedging demand)); VRP 8.422 (VIX minus 21d realized vol (vol points)).

Variance risk premium (VIX − 21d realized)

Metric	Latest	As of
VVIX / VIXVVIX 97.2	5.612	2026-10-20
SKEWCboe SKEW index (tail-hedging demand)	160.4	2026-10-20
VRPVIX minus 21d realized vol (vol points)	8.422	2026-10-20

Cross-Asset

HY OAS 3.29 pp (HYG/LQD 0.744) [delayed]; MOVE 101.7 (OVX 52.1, GVZ 21.8); Risk-on/off score 1.545 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 0.744	3.29 pp	2026-10-19
MOVEOVX 52.1, GVZ 21.8	101.7	2026-10-20
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	1.545 z	2026-10-21

Cross-Country

VIX − VSTOXX (US–Europe fear gap) 3.295 (Nikkei-VI/VIX 1.78; India-VIX/VIX 0.90; RVX/VIX 1.24) [proxy].

Metric	Latest	As of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.78; India-VIX/VIX 0.90; RVX/VIX 1.24	3.295	2026-10-20

Positioning

VIX futures COT (net non-commercial z) -1.089 z (percentile 14%; VXX 17.57; VIX put/call 0.32; Fear & Greed 28); Days since last spike 144 days (VIX 17.35 vs 50d MA 15.76 / 200d MA 18.17; 21d realized vol 8.9 vs VIX 17.4).

Metric	Latest	As of
VIX futures COT (net non-commercial z)percentile 14%; VXX 17.57; VIX put/call 0.32; Fear & Greed 28	-1.089 z	2026-10-13
Days since last spikeVIX 17.35 vs 50d MA 15.76 / 200d MA 18.17; 21d realized vol 8.9 vs VIX 17.4	144 days	2026-10-21

Volatility Regime Score

Composite

40.0

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	0.91	75	75
Variance risk premiumimplied minus realized — a wide premium is the calm state	8.42	86	14(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge	5.61	56	56
Risk-on / risk-offcross-asset appetite — positive is risk-on	1.54	99	1(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes	0.01	24	24
25-delta skew (1m)what downside protection costs over upside, in vol points	4.48	70	70

What to watch

For context, the S&P 500 sits 1.36% below its 12-month high and the VIX is +2.04 points over five sessions.

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