Volatility Regime ReadAlso todaySee the FI Daily

VIX Daily

November 9, 2026
Covering the November 6, 2026 session

The S&P 500 rose 0.31% to 7,376.86 and the VIX eased 2.54 points to 25.64 on 2026-11-06.

RegimeVery High
Term structureBackwardation
Short-end stressElevated
S&P 500
7,376.86
+23.13 (+0.31%)
VIX
25.64
-2.54 (-9.0%)
Risk-on / risk-off
0.06
+0.10 on the session
10th pctile, 1y · risk-on · 0 = neutral, higher = more risk-on

The Session

The volatility regime screens Very High and the futures curve is in backwardation. The session's largest standardised moves were US dollar (DXY) 102.30 (+0.74%); VXN 34.02 (-4.24); Nikkei VI 44.60 (+11.04). The composite risk-on/risk-off score reads 0.06 (risk-on), +0.10 on the session.

Dashboard

MetricLatestSessionContext
S&P 5007,376.86+23.13+0.31% on the session
VIX25.64-2.54-9.01% on the session
Regime bandVery High—252d percentile 95%
VIX / VIX3M1.042—above 1 is backwardation
Risk-on / risk-off+0.06+0.1010th percentile, 1y
Expected move±1.63%-0.39to 2026-11-09, options-implied
25-delta skew, 1m8.52-2.49vol points, put over call
Same-day expiry share60.7%+1.7of session option volume
Volatility regime score69.7—Unsettled · 0-100, higher is more stress

Levels & Expected Move

Expected move
±120 (1.63%)
to 2026-11-09, 3d · ATM IV 17.9%
Peak OI strikes
7,350 / 7,800
put / call, 2026-11-09 · call -200, put +550
Assumed dealer gamma
-125,182
indicative · no sign change within the near-dated book
Same-day expiries
60.7%
share of session volume · +1.7pp
Maturity25Δ skew (vol pts)ATM IV
1w 2026-11-13, 7d6.8423.15%
1m 2026-12-07, 31d8.5219.46%
3m 2027-01-29, 84d8.5318.91%

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

Cross-asset risk appetite crossed into risk-on, ending the session at 0.06.

What Moved the Tape — November 6, 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 25.64 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…FrequencySample
stays in 20-3086.6%n=1,675
moves to 15-209.7%n=188
moves to 30-453.7%n=72
S&P 500 from hereMedianWorst 5%Sample
next session+0.08%-2.99%n=1,934
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 9, 2026
  • ECB Buch Speech06:00 · Euro Area
  • Fed Goolsbee Speech10:00 · United States
  • BoE Gov Bailey Speech12:30 · United Kingdom
  • Fed Goolsbee Speech15:00 · United States
November 10, 2026
  • BoE Lombardelli Speech07:30 · United Kingdom
  • Core Inflation Rate Month-over-Month08:30 · United Statescons. 0.2
  • Core Inflation Rate Year-over-Year08:30 · United Statescons. 2.8
  • Inflation Rate Month-over-Month08:30 · United Statescons. 0.3
  • +4 more
November 11, 2026
  • ECB Cipollone Speech02:50 · Euro Area
  • ECB President Lagarde Speech04:45 · Euro Area
  • RBA Baker Speech18:30 · Australia
  • BOJ Asada Speech20:30 · Japan
November 12, 2026
  • Fed Hammack Speech09:00 · United States
  • Existing Home Sales10:00 · United Statescons. 3980000.00
  • ECB Vujčić Speech10:30 · Euro Area
  • Fed Goolsbee Speech11:30 · United States
  • +2 more
November 13, 2026
  • ECB Elderson Speech01:50 · Euro Area
  • ECB Schnabel Speech02:10 · Euro Area
  • Producer Price Index Month-over-Month08:30 · United Statescons. 0.4
  • Fed Daly Speech12:00 · United States

S&P 500 options: 2026-11-09, 2026-11-13, 2026-11-19 · VIX futures: 2026-11-18, 2026-12-16

Regime

Regime band Very High (252d percentile 95%); VIX level 25.64 (z-score +2.22 (252d)); Vol-of-everything composite 0.9554 z (breadth 100% above 1y median) [delayed].

MetricLatestAs of
Regime band252d percentile 95%Very High2026-11-06
VIX levelz-score +2.22 (252d)25.642026-11-06
Vol-of-everything compositedelayedbreadth 100% above 1y median0.9554 z2026-11-06

Term Structure

VIX / VIX3M 1.042 (backwardation, streak -2d); Short-end stress 28.73 (VIX1D vs VIX 25.64; VIX1D above VIX (stressed)); Short-vol carry -0.04056 (negative short-vol carry).

MetricLatestAs of
VIX / VIX3Mbackwardation, streak -2d1.0422026-11-06
Short-end stressVIX1D vs VIX 25.64; VIX1D above VIX (stressed)28.732026-11-06
Short-vol carrynegative short-vol carry-0.040562026-11-06

Vol-of-Vol & Tail

VVIX / VIX 4.756 (VVIX 121.9); SKEW 153.6 (Cboe SKEW index (tail-hedging demand)); VRP 5.832 (VIX minus 21d realized vol (vol points)).

MetricLatestAs of
VVIX / VIXVVIX 121.94.7562026-11-06
SKEWCboe SKEW index (tail-hedging demand)153.62026-11-06
VRPVIX minus 21d realized vol (vol points)5.8322026-11-06

Cross-Asset

HY OAS 3.48 pp (HYG/LQD 0.739) [delayed]; MOVE 92.77 (OVX 58.3, GVZ 26.0); Risk-on/off score 0.05734 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 0.7393.48 pp2026-11-05
MOVEOVX 58.3, GVZ 26.092.772026-11-06
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-off0.05734 z2026-11-06

Cross-Country

VIX − VSTOXX (US–Europe fear gap) 6.335 (Nikkei-VI/VIX 1.74; India-VIX/VIX 0.68; RVX/VIX 1.02) [proxy].

MetricLatestAs of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.74; India-VIX/VIX 0.68; RVX/VIX 1.026.3352026-11-06

Positioning

VIX futures COT (net non-commercial z) -0.6743 z (percentile 25%; VXX 21.95; VIX put/call 0.43; Fear & Greed 22); Days since last spike 0 days (VIX 25.64 vs 50d MA 16.92 / 200d MA 18.40; 21d realized vol 19.8 vs VIX 25.6).

MetricLatestAs of
VIX futures COT (net non-commercial z)percentile 25%; VXX 21.95; VIX put/call 0.43; Fear & Greed 22-0.6743 z2026-11-03
Days since last spikeVIX 25.64 vs 50d MA 16.92 / 200d MA 18.40; 21d realized vol 19.8 vs VIX 25.60 days2026-11-06

Volatility Regime Score

Composite
69.7
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.

ComponentValueOwn 1y %ileStress %ile
VIX / VIX3Mabove 1 is backwardation — near-term fear bid over longer-dated1.049898
Variance risk premiumimplied minus realized — a wide premium is the calm state5.835446(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge4.7655
Risk-on / risk-offcross-asset appetite — positive is risk-on0.061090(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes0.968080
25-delta skew (1m)what downside protection costs over upside, in vol points8.529999
What to watch

For context, the S&P 500 sits 5.65% below its 12-month high and the VIX is +6.22 points over five sessions.

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