Volatility Regime ReadAlso todaySee the FI Daily

VIX Daily

October 22, 2026

Covering the October 21, 2026 session

Volatility screens High as of 2026-10-21.

RegimeHigh

Term structureContango

Short-end stressNone

S&P 500

7,757.17

+44.60 (+0.58%)

VIX

16.68

-0.63 (-3.6%)

Risk-on / risk-off

0.30

+0.03 on the session

27th 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	7,757.17	+44.60	+0.58% on the session
VIX	16.68	-0.63	-3.64% on the session
Regime band	High	—	252d percentile 67%
VIX / VIX3M	0.891	—	above 1 is backwardation
Risk-on / risk-off	+0.30	+0.03	27th percentile, 1y
Expected move	±0.68%	-0.06	to 2026-10-22, options-implied
25-delta skew, 1m	3.91	-0.57	vol points, put over call
Same-day expiry share	67.1%	-0.1	of session option volume
Volatility regime score	41.9	—	Neutral · 0-100, higher is more stress

Levels & Expected Move

Expected move

±53 (0.68%)

to 2026-10-22, 1d · ATM IV 13.0%

Peak OI strikes

7,320 / 7,800

put / call, 2026-10-22 · call -200, put -305

Assumed dealer gamma

+139,866

indicative · sign change near 7,760

Same-day expiries

67.1%

share of session volume · -0.1pp

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 2026-10-28, 7d	2.45	12.20%
1m 2026-11-20, 30d	3.91	13.33%
3m 2027-01-15, 86d	5.09	14.22%

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

The volatility regime shifted from Normal to High.

VIX regime — last 30 sessions

What Moved the Tape — October 21, 2026 session

AI Stocks Slide After Earnings DisappointWSJ Markets · 2026-10-22
US dollar slips as Treasury yields fall ahead of Federal Reserve meeting - Economies.comGoogle News US · 2026-10-22
French Government-Bond Yields Jump, Spread Widens as Treasury Yields FallWSJ Markets · 2026-10-22
S&P 500, Nasdaq, Dow End Week Higher As Weak Jobs Report Cools Rate Hike Bets — NVDA, BA, SPCX, RIVN, APLD In Focus - StocktwitsGoogle News US · 2026-10-22
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 18.25 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=1,725
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=2,077
5 sessions	+0.37%	-4.29%	n=2,073

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: 2026-10-22, 2026-10-28, 2026-11-04 · VIX futures: 2026-11-18, 2026-12-16

Regime

Regime band High (252d percentile 67%); VIX level 18.25 (z-score +0.08 (252d)); Vol-of-everything composite 0.212 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 67%	High	2026-10-22
VIX levelz-score +0.08 (252d)	18.25	2026-10-22
Vol-of-everything compositedelayedbreadth 100% above 1y median	0.212 z	2026-10-22

Term Structure

VIX / VIX3M 0.891 (contango, streak 137d); Short-end stress 11.38 (VIX1D vs VIX 16.68; no short-end stress); Short-vol carry 0.1223 (positive short-vol carry).

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

Metric	Latest	As of
VIX / VIX3Mcontango, streak 137d	0.891	2026-10-21
Short-end stressVIX1D vs VIX 16.68; no short-end stress	11.38	2026-10-21
Short-vol carrypositive short-vol carry	0.1223	2026-10-21

Vol-of-Vol & Tail

VVIX / VIX 5.668 (VVIX 94.5); SKEW 150.4 (Cboe SKEW index (tail-hedging demand)); VRP 7.545 (VIX minus 21d realized vol (vol points)).

Variance risk premium (VIX − 21d realized)

Metric	Latest	As of
VVIX / VIXVVIX 94.5	5.668	2026-10-21
SKEWCboe SKEW index (tail-hedging demand)	150.4	2026-10-21
VRPVIX minus 21d realized vol (vol points)	7.545	2026-10-21

Cross-Asset

HY OAS 3.33 pp (HYG/LQD 0.746) [delayed]; MOVE 95.94 (OVX 53.3, GVZ 21.4); Risk-on/off score 1.471 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 0.746	3.33 pp	2026-10-20
MOVEOVX 53.3, GVZ 21.4	95.94	2026-10-21
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	1.471 z	2026-10-22

Cross-Country

VIX − VSTOXX (US–Europe fear gap) 2.267 (Nikkei-VI/VIX 1.97; India-VIX/VIX 0.86; RVX/VIX 1.26) [proxy].

Metric	Latest	As of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.97; India-VIX/VIX 0.86; RVX/VIX 1.26	2.267	2026-10-21

Positioning

VIX futures COT (net non-commercial z) -1.089 z (percentile 14%; VXX 17.39; VIX put/call 0.31; Fear & Greed 29); Days since last spike 145 days (VIX 18.25 vs 50d MA 15.82 / 200d MA 18.18; 21d realized vol 9.1 vs VIX 18.2).

Metric	Latest	As of
VIX futures COT (net non-commercial z)percentile 14%; VXX 17.39; VIX put/call 0.31; Fear & Greed 29	-1.089 z	2026-10-13
Days since last spikeVIX 18.25 vs 50d MA 15.82 / 200d MA 18.18; 21d realized vol 9.1 vs VIX 18.2	145 days	2026-10-22

Volatility Regime Score

Composite

41.9

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	0.89	67	67
Variance risk premiumimplied minus realized — a wide premium is the calm state	7.55	79	21(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge	5.67	62	62
Risk-on / risk-offcross-asset appetite — positive is risk-on	1.47	98	2(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes	0.21	43	43
25-delta skew (1m)what downside protection costs over upside, in vol points	3.91	56	56

What to watch

Further readings follow in the table below.

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