Volatility Regime ReadAlso todaySee the FI Daily

VIX Daily

November 6, 2026

Covering the November 5, 2026 session

Volatility screens Very High as of 2026-11-05.

RegimeVery High

Term structureBackwardation

Short-end stressElevated

S&P 500

7,353.73

-334.89 (-4.36%)

VIX

28.18

+11.57 (+69.7%)

Risk-on / risk-off

-0.04

-0.36 on the session

6th pctile, 1y · risk-off · 0 = neutral, higher = more risk-on

The Session

Session figures are in the table below.

Dashboard

Metric	Latest	Session	Context
S&P 500	7,353.73	-334.89	-4.36% on the session
VIX	28.18	+11.57	+69.66% on the session
Regime band	Very High	—	252d percentile 99%
VIX / VIX3M	1.103	—	above 1 is backwardation
Risk-on / risk-off	-0.04	-0.36	6th percentile, 1y
Expected move	±2.02%	+1.29	to 2026-11-06, options-implied
25-delta skew, 1m	11.01	+6.69	vol points, put over call
Same-day expiry share	59.0%	-6.2	of session option volume
Volatility regime score	66.5	—	Unsettled · 0-100, higher is more stress

Levels & Expected Move

Expected move

±149 (2.02%)

to 2026-11-06, 1d · ATM IV 38.7%

Peak OI strikes

6,800 / 8,000

put / call, 2026-11-06 · call +100, put -300

Assumed dealer gamma

-149,021

indicative · no sign change within the near-dated book

Same-day expiries

59.0%

share of session volume · -6.2pp

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 2026-11-12, 7d	10.00	27.98%
1m 2026-12-04, 29d	11.01	22.30%
3m 2027-01-29, 85d	9.65	19.75%

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 Very High.

VIX regime — last 30 sessions

This session produced the largest one-day VIX rise in at least 252 sessions.

S&P 500 vs VIX — last 60 sessions · S&P 500 7,353.73 · VIX 28.18

What Moved the Tape — November 5, 2026 session

Treasury, European Bond Yields Tumble as Markets Lifted by U.S. Democrats’ VictoryWSJ Markets · 2026-11-05
A wipeout for AI stocks sends Wall Street reeling, and the S&P 500 tumbles more than 3% - BNN BloombergBNN Bloomberg · 2026-11-05
Wall Street sheds $3.2tn as tech-heavy Nasdaq plungesFinancial Times · 2026-11-05
Yardeni: Yields Attractive at 5%; Nasdaq to OutperformBloomberg Markets · 2026-11-05
Yardeni Sees Inflation Cooling, Says US Yields Attractive at 5%Bloomberg Markets · 2026-11-05

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

Scenarios

The VIX closed at 28.18 in the 20-30 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 20-30	86.6%	n=1,674
moves to 15-20	9.7%	n=188
moves to 30-45	3.7%	n=72

S&P 500 from here	Median	Worst 5%	Sample
next session	+0.07%	-2.99%	n=1,933
5 sessions	+0.39%	-6.24%	n=1,932

Risk Window

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

November 6, 2026

ECB Donnery Speech04:00 · Euro Area
BoE Pill Speech07:15 · United Kingdom
Headline Unemployment Rate08:30 · United Statescons. 4.2
Payroll Jobs Growth08:30 · United Statescons. 65000
+1 more

November 9, 2026

Fed Goolsbee Speech10:00 · United States

November 10, 2026

Core Inflation Rate Month-over-Month08:30 · United States
Core Inflation Rate Year-over-Year08:30 · United States
Inflation Rate Month-over-Month08:30 · United States
Inflation Rate Year-over-Year08:30 · United States

November 12, 2026

Existing Home Sales10:00 · United States

November 13, 2026

Producer Price Index Month-over-Month08:30 · United States

S&P 500 options: 2026-11-06, 2026-11-12, 2026-11-18 · VIX futures: 2026-11-18, 2026-12-16

Regime

Regime band Very High (252d percentile 99%); VIX level 28.18 (z-score +3.01 (252d)); Vol-of-everything composite 1.2 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 99%	Very High	2026-11-05
VIX levelz-score +3.01 (252d)	28.18	2026-11-05
Vol-of-everything compositedelayedbreadth 100% above 1y median	1.2 z	2026-11-05

Term Structure

VIX / VIX3M 1.103 (backwardation, streak -1d); Short-end stress 36.8 (VIX1D vs VIX 28.18; VIX1D above VIX (stressed)); Short-vol carry -0.09333 (negative short-vol carry).

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

Metric	Latest	As of
VIX / VIX3Mbackwardation, streak -1d	1.103	2026-11-05
Short-end stressVIX1D vs VIX 28.18; VIX1D above VIX (stressed)	36.8	2026-11-05
Short-vol carrynegative short-vol carry	-0.09333	2026-11-05

Vol-of-Vol & Tail

VVIX / VIX 4.79 (VVIX 135.0); SKEW 149.4 (Cboe SKEW index (tail-hedging demand)); VRP 8.464 (VIX minus 21d realized vol (vol points)).

Variance risk premium (VIX − 21d realized)

Metric	Latest	As of
VVIX / VIXVVIX 135.0	4.79	2026-11-05
SKEWCboe SKEW index (tail-hedging demand)	149.4	2026-11-05
VRPVIX minus 21d realized vol (vol points)	8.464	2026-11-05

Cross-Asset

HY OAS 3.32 pp (HYG/LQD 0.738) [delayed]; MOVE 97.92 (OVX 60.3, GVZ 25.8); Risk-on/off score -0.04034 z (risk-off — 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 0.738	3.32 pp	2026-11-04
MOVEOVX 60.3, GVZ 25.8	97.92	2026-11-05
Risk-on/off scorerisk-off — 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	-0.04034 z	2026-11-05

Cross-Country

VIX − VSTOXX (US–Europe fear gap) 9.422 (Nikkei-VI/VIX 1.19; India-VIX/VIX 0.55; RVX/VIX 1.19) [proxy].

Metric	Latest	As of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.19; India-VIX/VIX 0.55; RVX/VIX 1.19	9.422	2026-11-05

Positioning

VIX futures COT (net non-commercial z) -0.6863 z (percentile 25%; VXX 22.20; VIX put/call 0.36; Fear & Greed 20); Days since last spike 0 days (VIX 28.18 vs 50d MA 16.70 / 200d MA 18.35; 21d realized vol 19.7 vs VIX 28.2).

Metric	Latest	As of
VIX futures COT (net non-commercial z)percentile 25%; VXX 22.20; VIX put/call 0.36; Fear & Greed 20	-0.6863 z	2026-10-27
Days since last spikeVIX 28.18 vs 50d MA 16.70 / 200d MA 18.35; 21d realized vol 19.7 vs VIX 28.2	0 days	2026-11-05

Volatility Regime Score

Composite

66.5

Unsettled · 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	1.10	100	100
Variance risk premiumimplied minus realized — a wide premium is the calm state	8.46	85	15(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge	4.79	6	6
Risk-on / risk-offcross-asset appetite — positive is risk-on	-0.04	6	94(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes	1.20	84	84
25-delta skew (1m)what downside protection costs over upside, in vol points	11.01	100	100

What to watch

Further readings follow in the table below.

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