Volatility Regime ReadAlso todaySee the Equities Daily

VIX Daily

November 11, 2026
Covering the November 10, 2026 session

The S&P 500 fell 0.38% to 7,520.93 and the VIX eased 0.46 points to 19.46 on 2026-11-10.

RegimeHigh
Term structureContango
Short-end stressNone
S&P 500
7,520.93
-29.01 (-0.38%)
VIX
19.46
-0.46 (-2.3%)
Risk-on / risk-off
0.31
+0.05 on the session
26th pctile, 1y · risk-on · 0 = neutral, higher = more risk-on

The Session

The volatility regime screens High and the futures curve is in contango. The session's largest standardised moves were US dollar (DXY) 102.23 (+0.57%); MOVE 92.4 (+6.5); OVX 53.1 (-4.1). The composite risk-on/risk-off score reads 0.31 (risk-on), +0.05 on the session.

Dashboard

MetricLatestSessionContext
S&P 5007,520.93-29.01-0.38% on the session
VIX19.46-0.46-2.31% on the session
Regime bandHigh—252d percentile 67%
VIX / VIX3M0.943—above 1 is backwardation
Risk-on / risk-off+0.31+0.0526th percentile, 1y
Expected move±0.85%-0.16to 2026-11-11, options-implied
25-delta skew, 1m5.63-0.11vol points, put over call
Same-day expiry share69.5%+3.8of session option volume
Volatility regime score57.7—Neutral · 0-100, higher is more stress

Levels & Expected Move

Expected move
±64 (0.85%)
to 2026-11-11, 1d · ATM IV 16.1%
Peak OI strikes
7,520 / 7,850
put / call, 2026-11-11 · call +45, put +570
Assumed dealer gamma
-77,123
indicative · no sign change within the near-dated book
Same-day expiries
69.5%
share of session volume · +3.8pp
Maturity25Δ skew (vol pts)ATM IV
1w 2026-11-17, 7d3.6514.63%
1m 2026-12-10, 30d5.6315.47%
3m 2027-01-29, 80d6.2615.88%

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 variance risk premium sits in the 9th percentile of its own history — options are historically cheap here.

What Moved the Tape — November 10, 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 18.58 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=1,733
moves to 20-308.9%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+0.35%-4.30%n=2,087

Risk Window

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

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
November 17, 2026
  • Retail Sales Month-over-Month08:30 · United States

S&P 500 options: 2026-11-11, 2026-11-17, 2026-11-23 · VIX futures: 2026-11-18, 2026-12-16

Regime

Regime band High (252d percentile 67%); VIX level 18.58 (z-score +0.14 (252d)); Vol-of-everything composite 0.2778 z (breadth 100% above 1y median) [delayed].

MetricLatestAs of
Regime band252d percentile 67%High2026-11-11
VIX levelz-score +0.14 (252d)18.582026-11-11
Vol-of-everything compositedelayedbreadth 100% above 1y median0.2778 z2026-11-11

Term Structure

VIX / VIX3M 0.9428 (contango, streak 2d); Short-end stress 13.95 (VIX1D vs VIX 19.46; no short-end stress); Short-vol carry 0.06064 (positive short-vol carry).

MetricLatestAs of
VIX / VIX3Mcontango, streak 2d0.94282026-11-10
Short-end stressVIX1D vs VIX 19.46; no short-end stress13.952026-11-10
Short-vol carrypositive short-vol carry0.060642026-11-10

Vol-of-Vol & Tail

VVIX / VIX 4.966 (VVIX 96.6); SKEW 151.1 (Cboe SKEW index (tail-hedging demand)); VRP -2.103 (VIX minus 21d realized vol (vol points)).

MetricLatestAs of
VVIX / VIXVVIX 96.64.9662026-11-10
SKEWCboe SKEW index (tail-hedging demand)151.12026-11-10
VRPVIX minus 21d realized vol (vol points)-2.1032026-11-10

Cross-Asset

HY OAS 3.34 pp (HYG/LQD 0.743) [delayed]; MOVE 92.43 (OVX 53.1, GVZ 24.4); Risk-on/off score 1.17 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 0.7433.34 pp2026-11-09
MOVEOVX 53.1, GVZ 24.492.432026-11-10
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-off1.17 z2026-11-11

Cross-Country

VIX − VSTOXX (US–Europe fear gap) -3.384 (Nikkei-VI/VIX 1.92; India-VIX/VIX 0.94; RVX/VIX 1.11) [proxy].

MetricLatestAs of
VIX − VSTOXX (US–Europe fear gap)proxyNikkei-VI/VIX 1.92; India-VIX/VIX 0.94; RVX/VIX 1.11-3.3842026-11-10

Positioning

VIX futures COT (net non-commercial z) -0.6743 z (percentile 25%; VXX 18.93; VIX put/call 0.48; Fear & Greed 34); Days since last spike 3 days (VIX 18.58 vs 50d MA 17.15 / 200d MA 18.44; 21d realized vol 21.6 vs VIX 18.6).

MetricLatestAs of
VIX futures COT (net non-commercial z)percentile 25%; VXX 18.93; VIX put/call 0.48; Fear & Greed 34-0.6743 z2026-11-03
Days since last spikeVIX 18.58 vs 50d MA 17.15 / 200d MA 18.44; 21d realized vol 21.6 vs VIX 18.63 days2026-11-11

Volatility Regime Score

Composite
57.7
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-dated0.948282
Variance risk premiumimplied minus realized — a wide premium is the calm state-2.100100(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge4.971313
Risk-on / risk-offcross-asset appetite — positive is risk-on1.177723(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes0.284444
25-delta skew (1m)what downside protection costs over upside, in vol points5.638585
What to watch

For context, the S&P 500 sits 3.81% below its 12-month high and the VIX is -1.37 points over five sessions.

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