Volatility Regime ReadAlso todaySee the FI Daily

VIX Daily

November 10, 2026
Covering the November 9, 2026 session

Volatility screens Very High as of 2026-11-09.

RegimeVery High
Term structureContango
Short-end stressNone
S&P 500
7,549.94
+173.08 (+2.35%)
VIX
19.92
-5.72 (-22.3%)
Risk-on / risk-off
0.26
+0.21 on the session
23rd pctile, 1y · risk-on · 0 = neutral, higher = more risk-on

The Session

Session figures are in the table below.

Dashboard

MetricLatestSessionContext
S&P 5007,549.94+173.08+2.35% on the session
VIX19.92-5.72-22.31% on the session
Regime bandVery High—252d percentile 80%
VIX / VIX3M0.955—above 1 is backwardation
Risk-on / risk-off+0.26+0.2123th percentile, 1y
Expected move±1.01%-0.62to 2026-11-10, options-implied
25-delta skew, 1m5.74-2.78vol points, put over call
Same-day expiry share65.7%+5.0of session option volume
Volatility regime score69.4—Unsettled · 0-100, higher is more stress

Levels & Expected Move

Expected move
±76 (1.01%)
to 2026-11-10, 1d · ATM IV 19.4%
Peak OI strikes
6,950 / 7,805
put / call, 2026-11-10 · call +5, put -400
Assumed dealer gamma
-11,537
indicative · no sign change within the near-dated book
Same-day expiries
65.7%
share of session volume · +5.0pp
Maturity25Δ skew (vol pts)ATM IV
1w 2026-11-16, 7d4.0915.32%
1m 2026-12-09, 30d5.7415.58%
3m 2027-01-29, 81d6.3016.10%

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

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

VSTOXX moved 3.76σ higher — the largest standardised move across the cross-asset panel.

What Moved the Tape — November 9, 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 19.92 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 15-2082.9%n=1,731
moves to 20-309.0%n=187
moves to <158.1%n=169
S&P 500 from hereMedianWorst 5%Sample
next session+0.06%-2.00%n=2,088
5 sessions+0.36%-4.30%n=2,086

Risk Window

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

November 10, 2026
  • BoE Lombardelli Speech07:30 · United Kingdom
  • Core Inflation Rate Month-over-Month08:30 · United Statescons. 0.2
  • Inflation Rate Month-over-Month08:30 · United Statescons. 0.3
  • ECB Cipollone Speech09:00 · Euro Area
  • +2 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
November 16, 2026
  • RBA Meeting Minutes19:30 · Australia

S&P 500 options: 2026-11-10, 2026-11-16, 2026-11-20 · VIX futures: 2026-11-18, 2026-12-16

Regime

Regime band Very High (252d percentile 80%); VIX level 19.92 (z-score +0.53 (252d)); Vol-of-everything composite 0.4733 z (breadth 75% above 1y median) [delayed].

MetricLatestAs of
Regime band252d percentile 80%Very High2026-11-09
VIX levelz-score +0.53 (252d)19.922026-11-09
Vol-of-everything compositedelayedbreadth 75% above 1y median0.4733 z2026-11-09

Term Structure

VIX / VIX3M 0.9554 (contango, streak 1d); Short-end stress 17.31 (VIX1D vs VIX 19.92; no short-end stress); Short-vol carry 0.04669 (positive short-vol carry).

MetricLatestAs of
VIX / VIX3Mcontango, streak 1d0.95542026-11-09
Short-end stressVIX1D vs VIX 19.92; no short-end stress17.312026-11-09
Short-vol carrypositive short-vol carry0.046692026-11-09

Vol-of-Vol & Tail

VVIX / VIX 4.941 (VVIX 98.4); SKEW 150.3 (Cboe SKEW index (tail-hedging demand)); VRP -1.634 (VIX minus 21d realized vol (vol points)).

MetricLatestAs of
VVIX / VIXVVIX 98.44.9412026-11-09
SKEWCboe SKEW index (tail-hedging demand)150.32026-11-09
VRPVIX minus 21d realized vol (vol points)-1.6342026-11-09

Cross-Asset

HY OAS 3.42 pp (HYG/LQD 0.741) [delayed]; MOVE 85.98 (OVX 57.4, GVZ 24.8); Risk-on/off score 0.263 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 0.7413.42 pp2026-11-06
MOVEOVX 57.4, GVZ 24.885.982026-11-09
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-off0.263 z2026-11-09

Cross-Country

VIX − VSTOXX (US–Europe fear gap) -3.03 (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 1.02-3.032026-11-09

Positioning

VIX futures COT (net non-commercial z) -0.6743 z (percentile 25%; VXX 19.02; Fear & Greed 32); Days since last spike 1 days (VIX 19.92 vs 50d MA 17.02 / 200d MA 18.41; 21d realized vol 21.6 vs VIX 19.9).

MetricLatestAs of
VIX futures COT (net non-commercial z)percentile 25%; VXX 19.02; Fear & Greed 32-0.6743 z2026-11-03
Days since last spikeVIX 19.92 vs 50d MA 17.02 / 200d MA 18.41; 21d realized vol 21.6 vs VIX 19.91 days2026-11-09

Volatility Regime Score

Composite
69.4
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-dated0.958686
Variance risk premiumimplied minus realized — a wide premium is the calm state-1.63199(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge4.941212
Risk-on / risk-offcross-asset appetite — positive is risk-on0.262377(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes0.475858
25-delta skew (1m)what downside protection costs over upside, in vol points5.748686
What to watch

Further readings follow in the table below.

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