The volatility regime screens High and the futures curve is in contango. The session's largest standardised moves were VVIX 101.4 (-8.3); VXN 26.40 (-1.90). The composite risk-on/risk-off score reads 0.21 (risk-on), +0.03 on the session.
Dashboard
Metric
Latest
Session
Context
S&P 500
7,676.77
+53.09
+0.70% on the session
VIX
18.39
-1.06
-5.45% on the session
Regime band
High
—
252d percentile 61%
VIX / VIX3M
0.922
—
above 1 is backwardation
Risk-on / risk-off
+0.21
+0.03
22th percentile, 1y
Expected move
±0.63%
-0.32
to 2026-10-27, options-implied
25-delta skew, 1m
5.30
-0.20
vol points, put over call
Same-day expiry share
70.7%
+3.7
of session option volume
Volatility regime score
42.5
—
Neutral · 0-100, higher is more stress
Levels & Expected Move
Expected move
±48 (0.63%)
to 2026-10-27, 1d · ATM IV 11.9%
Peak OI strikes
7,200 / 7,900
put / call, 2026-10-27 · call -25
Assumed dealer gamma
-65,655
indicative · no sign change within the near-dated book
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 18.39, this is where realised volatility sits across horizons.
Headlines are linked to their publishers; inclusion is not endorsement and reflects coverage during the session window only.
Scenarios
The VIX closed at 17.85 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
83.0%
n=1,728
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=2,080
5 sessions
+0.36%
-4.29%
n=2,076
Risk Window
US high-impact releases and major central-bank events, for the sessions ahead.
Regime band High (252d percentile 61%); VIX level 17.85 (z-score -0.05 (252d)); Vol-of-everything composite 0.1221 z (breadth 100% above 1y median) [delayed].
S&P 500 vs VIX — last 30 sessionsS&P 500 vs VIX — last 30 sessions | Latest: 7677 (2026-10-26) | Range: 7552–7819 | Source: Cboe, S&P Dow Jones Indices | Trend(5pt): 7552,7743,7819,7744,7677 | VIX: 18.39 (range 14.21–19.99)VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: High (2026-10-27) | 30 sessions | Distribution: Very Low 50%, Low 17%, Normal 13%, High 17%, Very High 3% | Source: Cboe
Metric
Latest
As of
Regime band252d percentile 61%
High
2026-10-27
VIX levelz-score -0.05 (252d)
17.85
2026-10-27
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 26): VIX1D=10.49,VIX9D=17.92,VIX=18.39,VIX3M=19.94,VIX6M=21.63 | 1 week ago (Oct 19): VIX1D=11.93,VIX9D=17.93,VIX=18.44,VIX3M=19.6,VIX6M=21.12 | 1 month ago (Sep 26): VIX1D=12.51,VIX9D=12.76,VIX=14.87,VIX3M=17.93,VIX6M=20.01 | Source: Cboe
Metric
Latest
As of
VIX / VIX3Mcontango, streak 140d
0.9223
2026-10-26
Short-end stressVIX1D vs VIX 18.39; no short-end stress
HY OAS 3.38 pp (HYG/LQD 0.742) [delayed]; MOVE 102.2 (OVX 58.7, GVZ 23.6); Risk-on/off score 1.922 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 | VVIX: -1.452σ, VXN: -1.165σ, S&P 500: 0.9324σ, Nikkei VI: -0.7417σ, VIX: -0.7191σ, VIX3M: -0.6159σ, US dollar (DXY): 0.4673σ, GVZ: -0.4474σ | Range: -1.452σ–0.9324σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 1.922z (2026-10-27) | Range: -0.3339z–1.922z | Source: FRED, Cboe | Trend(5pt): 0.0682,0.6187,1.026,1.362,1.922
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.742
3.38 pp
2026-10-23
MOVEOVX 58.7, GVZ 23.6
102.2
2026-10-26
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 18.31; VIX put/call 0.32; Fear & Greed 29); Days since last spike 148 days (VIX 17.85 vs 50d MA 16.04 / 200d MA 18.23; 21d realized vol 10.0 vs VIX 17.9).
Days since last spikeVIX 17.85 vs 50d MA 16.04 / 200d MA 18.23; 21d realized vol 10.0 vs VIX 17.9
148 days
2026-10-27
Volatility Regime Score
Composite
42.5
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
0.92
80
80
Variance risk premiumimplied minus realized — a wide premium is the calm state
8.36
85
15(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.52
43
43
Risk-on / risk-offcross-asset appetite — positive is risk-on
1.92
100
0(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
0.12
36
36
25-delta skew (1m)what downside protection costs over upside, in vol points
5.30
81
81
What to watch
For context, the S&P 500 sits 1.82% below its 12-month high and the VIX is -0.05 points over five sessions.
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