Volatility Regime ReadAlso todaySee the Equities Daily

VIX Daily

October 26, 2026

Covering the October 23, 2026 session

Volatility screens Very High as of 2026-10-23.

RegimeVery High

Term structureContango

Short-end stressNone

S&P 500

7,623.68

-39.75 (-0.52%)

VIX

19.45

+0.42 (+2.2%)

Risk-on / risk-off

0.18

+0.12 on the session

20th 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	7,623.68	-39.75	-0.52% on the session
VIX	19.45	+0.42	+2.21% on the session
Regime band	Very High	—	252d percentile 80%
VIX / VIX3M	0.950	—	above 1 is backwardation
Risk-on / risk-off	+0.18	+0.12	20th percentile, 1y
Expected move	±0.95%	+0.00	to 2026-10-26, options-implied
25-delta skew, 1m	5.50	-0.01	vol points, put over call
Same-day expiry share	67.0%	+0.2	of session option volume
Volatility regime score	51.6	—	Neutral · 0-100, higher is more stress

Levels & Expected Move

Expected move

±72 (0.95%)

to 2026-10-26, 3d · ATM IV 10.5%

Peak OI strikes

7,200 / 7,925

put / call, 2026-10-26 · call +50, put -550

Assumed dealer gamma

-146,052

indicative · no sign change within the near-dated book

Same-day expiries

67.0%

share of session volume · +0.2pp

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 2026-10-30, 7d	4.00	16.16%
1m 2026-11-23, 31d	5.50	14.98%
3m 2027-01-15, 84d	6.23	15.46%

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 sessions

The variance risk premium sits in the 93th percentile of its own history — options are historically rich here.

Variance risk premium (VIX − 21d realised) · how much implied vol exceeds what the market actually delivered

What Moved the Tape — October 23, 2026 session

Nasdaq Futures Steady as AI Selloff PausesWSJ Markets · 2026-10-23
US Stock Market Today: Dow Jones Futures Fall 0.6%, S&P 500 and Nasdaq Futures Slide as Oil Surges Above $114 Amid US-Iran Tensions, AI Selloff and Inflation Concerns; Check What Investors Should Know - The Sunday GuardianGoogle News US · 2026-10-23
Treasury yields rise as traders await more economic data ahead of Fed decision - CNBCGoogle News US · 2026-10-23
Q&A: Indonesia’s Stock Market SelloffBloomberg Markets · 2026-10-23
France is getting its credit rating reviewed. The French debt turmoil has helped turn U.S. Treasury yields around. What comes next?MarketWatch · 2026-10-23

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

Scenarios

The VIX closed at 19.68 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=1,727
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=2,079
5 sessions	+0.37%	-4.29%	n=2,075

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 Statescons. 0.6

October 28, 2026

BoC Interest Rate Decision09:45 · Canadacons. 2.5
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 Statescons. 0.3
GDP Growth Quarter-over-Quarter Advance Estimate08:30 · United Statescons. 3.2
Personal Income Month-over-Month08:30 · United Statescons. 0.3
Personal Spending Month-over-Month08:30 · United Statescons. 0.3
+2 more

October 30, 2026

BoE Mills Speech05:00 · United Kingdom

S&P 500 options: 2026-10-26, 2026-10-30, 2026-11-05 · VIX futures: 2026-11-18, 2026-12-16

Regime

Regime band Very High (252d percentile 80%); VIX level 19.68 (z-score +0.51 (252d)); Vol-of-everything composite 0.5396 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 80%	Very High	2026-10-26
VIX levelz-score +0.51 (252d)	19.68	2026-10-26
Vol-of-everything compositedelayedbreadth 100% above 1y median	0.5396 z	2026-10-26

Term Structure

VIX / VIX3M 0.9497 (contango, streak 139d); Short-end stress 16.81 (VIX1D vs VIX 19.45; no short-end stress); Short-vol carry 0.05296 (positive short-vol carry).

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

Metric	Latest	As of
VIX / VIX3Mcontango, streak 139d	0.9497	2026-10-23
Short-end stressVIX1D vs VIX 19.45; no short-end stress	16.81	2026-10-23
Short-vol carrypositive short-vol carry	0.05296	2026-10-23

Vol-of-Vol & Tail

VVIX / VIX 5.64 (VVIX 109.7); SKEW 151.8 (Cboe SKEW index (tail-hedging demand)); VRP 9.572 (VIX minus 21d realized vol (vol points)).

Variance risk premium (VIX − 21d realized)

Metric	Latest	As of
VVIX / VIXVVIX 109.7	5.64	2026-10-23
SKEWCboe SKEW index (tail-hedging demand)	151.8	2026-10-23
VRPVIX minus 21d realized vol (vol points)	9.572	2026-10-23

Cross-Asset

HY OAS 3.4 pp (HYG/LQD 0.742) [delayed]; MOVE 103.3 (OVX 60.0, GVZ 24.3); Risk-on/off score 1.746 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 0.742	3.4 pp	2026-10-22
MOVEOVX 60.0, GVZ 24.3	103.3	2026-10-23
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	1.746 z	2026-10-26

Cross-Country

VIX − VSTOXX (US–Europe fear gap) 5.005 (Nikkei-VI/VIX 1.75; India-VIX/VIX 0.87; RVX/VIX 1.22) [proxy].

Metric	Latest	As of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.75; India-VIX/VIX 0.87; RVX/VIX 1.22	5.005	2026-10-23

Positioning

VIX futures COT (net non-commercial z) -1.089 z (percentile 14%; VXX 18.72; VIX put/call 0.32; Fear & Greed 21); Days since last spike 147 days (VIX 19.68 vs 50d MA 16.02 / 200d MA 18.23; 21d realized vol 9.9 vs VIX 19.7).

Metric	Latest	As of
VIX futures COT (net non-commercial z)percentile 14%; VXX 18.72; VIX put/call 0.32; Fear & Greed 21	-1.089 z	2026-10-20
Days since last spikeVIX 19.68 vs 50d MA 16.02 / 200d MA 18.23; 21d realized vol 9.9 vs VIX 19.7	147 days	2026-10-26

Volatility Regime Score

Composite

51.6

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	87	87
Variance risk premiumimplied minus realized — a wide premium is the calm state	9.57	90	10(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge	5.64	59	59
Risk-on / risk-offcross-asset appetite — positive is risk-on	1.75	100	0(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes	0.54	64	64
25-delta skew (1m)what downside protection costs over upside, in vol points	5.50	89	89

What to watch

Further readings follow in the table below.

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