Volatility Regime ReadAlso todaySee the Equities Daily

VIX Daily

October 28, 2026
Covering the October 27, 2026 session

The S&P 500 rose 0.60% to 7,722.60 and the VIX eased 0.87 points to 17.52 on 2026-10-27.

RegimeNormal
Term structureContango
Short-end stressNone
S&P 500
7,722.60
+45.83 (+0.60%)
VIX
17.52
-0.87 (-4.7%)
Risk-on / risk-off
0.36
+0.15 on the session
29th 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 Nikkei VI 27.66 (-6.80); US dollar (DXY) 102.32 (+0.35%); MOVE 97.9 (-4.3). The composite risk-on/risk-off score reads 0.36 (risk-on), +0.15 on the session.

Dashboard

MetricLatestSessionContext
S&P 5007,722.60+45.83+0.60% on the session
VIX17.52-0.87-4.73% on the session
Regime bandNormal—252d percentile 57%
VIX / VIX3M0.895—above 1 is backwardation
Risk-on / risk-off+0.36+0.1529th percentile, 1y
Expected move±0.78%+0.15to 2026-10-28, options-implied
25-delta skew, 1m4.77-0.53vol points, put over call
Same-day expiry share68.0%-2.7of session option volume
Volatility regime score42.3—Neutral · 0-100, higher is more stress

Levels & Expected Move

Expected move
±60 (0.78%)
to 2026-10-28, 1d · ATM IV 14.8%
Peak OI strikes
7,500 / 7,900
put / call, 2026-10-28 · put +300
Assumed dealer gamma
+22,799
indicative · sign change near 7,950
Same-day expiries
68.0%
share of session volume · -2.7pp
Maturity25Δ skew (vol pts)ATM IV
1w 2026-11-03, 7d3.2013.03%
1m 2026-11-25, 29d4.7714.00%
3m 2027-01-29, 94d5.6515.06%

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 17.52, this is where realised volatility sits across horizons.

What Moved the Tape — October 27, 2026 session

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

Scenarios

The VIX closed at 17.49 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…FrequencySample
stays in 15-2083.0%n=1,729
moves to 20-308.9%n=185
moves to <158.1%n=169
S&P 500 from hereMedianWorst 5%Sample
next session+0.06%-2.00%n=2,081
5 sessions+0.36%-4.29%n=2,077

Risk Window

US high-impact releases and major central-bank events, for the sessions ahead.

October 28, 2026
  • BoC Interest Rate Decision09:45 · Canadacons. 2.5
  • BoC Rate Statement09:45 · Canada
  • BoC Press Conference10:30 · Canada
October 29, 2026
  • SNB Tschudin Speech13:30 · Switzerland
  • BoJ Interest Rate Decision23:00 · Japancons. 1.25
October 30, 2026
  • BoE Mills Speech05:00 · United Kingdom
November 2, 2026
  • ISM Manufacturing PMI09:00 · United States
  • Fed Goolsbee Speech11:15 · United States
  • RBA Interest Rate Decision22:30 · Australia
  • RBA Press Conference23:30 · Australia
November 3, 2026
  • JOLTs Job Openings10:00 · United States

S&P 500 options: 2026-10-28, 2026-11-03, 2026-11-10 · VIX futures: 2026-11-18, 2026-12-16

Regime

Regime band Normal (252d percentile 57%); VIX level 17.49 (z-score -0.16 (252d)); Vol-of-everything composite 0.04071 z (breadth 100% above 1y median) [delayed].

MetricLatestAs of
Regime band252d percentile 57%Normal2026-10-28
VIX levelz-score -0.16 (252d)17.492026-10-28
Vol-of-everything compositedelayedbreadth 100% above 1y median0.04071 z2026-10-28

Term Structure

VIX / VIX3M 0.8952 (contango, streak 141d); Short-end stress 12.53 (VIX1D vs VIX 17.52; no short-end stress); Short-vol carry 0.117 (positive short-vol carry).

MetricLatestAs of
VIX / VIX3Mcontango, streak 141d0.89522026-10-27
Short-end stressVIX1D vs VIX 17.52; no short-end stress12.532026-10-27
Short-vol carrypositive short-vol carry0.1172026-10-27

Vol-of-Vol & Tail

VVIX / VIX 5.676 (VVIX 99.5); SKEW 149.2 (Cboe SKEW index (tail-hedging demand)); VRP 7.63 (VIX minus 21d realized vol (vol points)).

MetricLatestAs of
VVIX / VIXVVIX 99.55.6762026-10-27
SKEWCboe SKEW index (tail-hedging demand)149.22026-10-27
VRPVIX minus 21d realized vol (vol points)7.632026-10-27

Cross-Asset

HY OAS 3.3 pp (HYG/LQD 0.744) [delayed]; MOVE 97.87 (OVX 55.4, GVZ 22.6); Risk-on/off score 1.827 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).

MetricLatestAs of
HY OASdelayedHYG/LQD 0.7443.3 pp2026-10-26
MOVEOVX 55.4, GVZ 22.697.872026-10-27
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-off1.827 z2026-10-28

Cross-Country

VIX − VSTOXX (US–Europe fear gap) 2.683 (Nikkei-VI/VIX 1.88; India-VIX/VIX 0.93; RVX/VIX 1.20) [proxy].

MetricLatestAs of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.88; India-VIX/VIX 0.93; RVX/VIX 1.202.6832026-10-27

Positioning

VIX futures COT (net non-commercial z) -1.089 z (percentile 14%; VXX 18.12; VIX put/call 0.33; Fear & Greed 34); Days since last spike 149 days (VIX 17.49 vs 50d MA 16.08 / 200d MA 18.24; 21d realized vol 9.9 vs VIX 17.5).

MetricLatestAs of
VIX futures COT (net non-commercial z)percentile 14%; VXX 18.12; VIX put/call 0.33; Fear & Greed 34-1.089 z2026-10-20
Days since last spikeVIX 17.49 vs 50d MA 16.08 / 200d MA 18.24; 21d realized vol 9.9 vs VIX 17.5149 days2026-10-28

Volatility Regime Score

Composite
42.3
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.

ComponentValueOwn 1y %ileStress %ile
VIX / VIX3Mabove 1 is backwardation — near-term fear bid over longer-dated0.906868
Variance risk premiumimplied minus realized — a wide premium is the calm state7.637822(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge5.686464
Risk-on / risk-offcross-asset appetite — positive is risk-on1.831000(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes0.042626
25-delta skew (1m)what downside protection costs over upside, in vol points4.777474
What to watch

For context, the S&P 500 sits 1.23% below its 12-month high and the VIX is +0.21 points over five sessions.

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