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 High to Very High.
VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: Very High (2026-10-23) | 30 sessions | Distribution: Very Low 50%, Low 17%, Normal 20%, High 7%, Very High 7% | Source: Cboe
This session produced the largest one-day S&P 500 drop in 60 sessions.
S&P 500 vs VIX — last 60 sessions · S&P 500 7,663.43 · VIX 19.03S&P 500 vs VIX — last 60 sessions | Latest: 7663 (2026-10-22) | Range: 7552–7819 | Source: Cboe, S&P Dow Jones Indices | Trend(6pt): 7600,7674,7657,7666,7757,7663 | VIX: 19.03 (range 14.21–19.99)
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Scenarios
The VIX closed at 19.75 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=1,726
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=2,078
5 sessions
+0.37%
-4.29%
n=2,074
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
Regime band Very High (252d percentile 80%); VIX level 19.75 (z-score +0.53 (252d)); Vol-of-everything composite 0.5552 z (breadth 100% above 1y median) [delayed].
S&P 500 vs VIX — last 30 sessionsS&P 500 vs VIX — last 30 sessions | Latest: 7663 (2026-10-22) | Range: 7552–7819 | Source: Cboe, S&P Dow Jones Indices | Trend(5pt): 7620,7706,7723,7805,7663 | VIX: 19.03 (range 14.21–19.99)VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: Very High (2026-10-23) | 30 sessions | Distribution: Very Low 50%, Low 17%, Normal 20%, High 7%, Very High 7% | Source: Cboe
Metric
Latest
As of
Regime band252d percentile 80%
Very High
2026-10-23
VIX levelz-score +0.53 (252d)
19.75
2026-10-23
Vol-of-everything compositedelayedbreadth 100% above 1y median
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 22): VIX1D=15.18,VIX9D=18.86,VIX=19.03,VIX3M=20.12,VIX6M=21.66 | 1 week ago (Oct 15): VIX1D=13.9,VIX9D=13.97,VIX=16.46,VIX3M=18.49,VIX6M=20.24 | 1 month ago (Sep 22): VIX1D=8.83,VIX9D=12.13,VIX=14.21,VIX3M=17.61,VIX6M=19.79 | Source: Cboe
Metric
Latest
As of
VIX / VIX3Mcontango, streak 138d
0.9458
2026-10-22
Short-end stressVIX1D vs VIX 19.03; no short-end stress
HY OAS 3.27 pp (HYG/LQD 0.739) [delayed]; MOVE 106.8 (OVX 55.6, GVZ 24.1); Risk-on/off score 1.678 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 | VXN: 2.638σ, 10y breakeven: -2.587σ, MOVE: 2.497σ, VVIX: 2.356σ, Bitcoin: -1.836σ, S&P 500: -1.648σ, VIX3M: 1.596σ, VIX: 1.594σ | Range: -2.587σ–2.638σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 1.678z (2026-10-23) | Range: -0.3339z–1.678z | Source: FRED, Cboe | Trend(5pt): -0.1103,0.6953,1.136,1.175,1.678
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.739
3.27 pp
2026-10-21
MOVEOVX 55.6, GVZ 24.1
106.8
2026-10-22
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) -1.089 z (percentile 14%; VXX 18.48; VIX put/call 0.31; Fear & Greed 20); Days since last spike 146 days (VIX 19.75 vs 50d MA 15.94 / 200d MA 18.21; 21d realized vol 9.7 vs VIX 19.8).
Days since last spikeVIX 19.75 vs 50d MA 15.94 / 200d MA 18.21; 21d realized vol 9.7 vs VIX 19.8
146 days
2026-10-23
Volatility Regime Score
Composite
52.8
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
0.95
86
86
Variance risk premiumimplied minus realized — a wide premium is the calm state
9.30
90
10(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.67
63
63
Risk-on / risk-offcross-asset appetite — positive is risk-on
1.68
100
0(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
0.56
66
66
25-delta skew (1m)what downside protection costs over upside, in vol points
5.51
91
91
What to watch
Further readings follow in the table below.
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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.