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 High.
VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: High (2026-11-12) | 30 sessions | Distribution: Very Low 27%, Low 3%, Normal 27%, High 23%, Very High 20% | Source: Cboe
The variance risk premium sits in the 5th percentile of its own history — options are historically cheap here.
Variance risk premium (VIX − 21d realised) · how much implied vol exceeds what the market actually deliveredVariance risk premium (VIX − 21d realised) | Latest: -4.672 (2026-11-11) | Range: -4.672–16.36 | Source: Cboe | Trend(5pt): 5.688,6.542,7.277,0.6055,-4.672
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Scenarios
The VIX closed at 18.31 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…
Frequency
Sample
stays in 15-20
82.9%
n=1,734
moves to 20-30
8.9%
n=187
moves to <15
8.1%
n=169
S&P 500 from here
Median
Worst 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 12, 2026
Fed Hammack Speech09:00 · United States
Existing Home Sales10:00 · United Statescons. 3850000.00
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
Regime band High (252d percentile 65%); VIX level 18.31 (z-score +0.06 (252d)); Vol-of-everything composite 0.2158 z (breadth 100% above 1y median) [delayed].
S&P 500 vs VIX — last 30 sessionsS&P 500 vs VIX — last 30 sessions | Latest: 7619 (2026-11-11) | Range: 7354–7819 | Source: Cboe, S&P Dow Jones Indices | Trend(5pt): 7723,7805,7663,7541,7619 | VIX: 17.49 (range 14.84–28.18)VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: High (2026-11-12) | 30 sessions | Distribution: Very Low 27%, Low 3%, Normal 27%, High 23%, Very High 20% | Source: Cboe
Metric
Latest
As of
Regime band252d percentile 65%
High
2026-11-12
VIX levelz-score +0.06 (252d)
18.31
2026-11-12
Vol-of-everything compositedelayedbreadth 100% above 1y median
Constant-maturity VIX curve — now vs a week and a month agoConstant-maturity VIX curve — now vs a week and a month ago | Today (Nov 11): VIX1D=12.64,VIX9D=16.04,VIX=17.49,VIX3M=19.24,VIX6M=21.08 | 1 week ago (Nov 4): VIX1D=12.08,VIX9D=15.19,VIX=16.61,VIX3M=18.8,VIX6M=20.68 | 1 month ago (Oct 12): VIX1D=7.72,VIX9D=11.68,VIX=15.21,VIX3M=17.93,VIX6M=19.95 | Source: Cboe
Metric
Latest
As of
VIX / VIX3Mcontango, streak 3d
0.909
2026-11-11
Short-end stressVIX1D vs VIX 17.49; no short-end stress
HY OAS 3.34 pp (HYG/LQD 0.744) [delayed]; MOVE 92.43 (OVX 51.3, GVZ 24.2) [delayed]; Risk-on/off score 1.261 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).
Biggest session movers · move in σ — each series against its own 12-month daily rangeBiggest session movers | US dollar (DXY): 2.068σ, S&P 500: 1.585σ, VIX3M: -1.373σ, VIX: -1.148σ, VXX: -1.124σ, VXN: -0.9522σ, VVIX: -0.923σ, SKEW: -0.5471σ | Range: -1.373σ–2.068σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 1.261z (2026-11-12) | Range: -0.3339z–1.61z | Source: FRED, Cboe | Trend(5pt): 0.05138,0.1154,1.152,1.45,1.261
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.744
3.34 pp
2026-11-09
MOVEdelayedOVX 51.3, GVZ 24.2
92.43
2026-11-10
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-off
VIX futures COT (net non-commercial z) -0.6743 z (percentile 25%; VXX 17.75; VIX put/call 0.45; Fear & Greed 37); Days since last spike 4 days (VIX 18.31 vs 50d MA 17.21 / 200d MA 18.44; 21d realized vol 22.2 vs VIX 18.3).
Days since last spikeVIX 18.31 vs 50d MA 17.21 / 200d MA 18.44; 21d realized vol 22.2 vs VIX 18.3
4 days
2026-11-12
Volatility Regime Score
Composite
51.8
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.
Component
Value
Own 1y %ile
Stress %ile
VIX / VIX3Mabove 1 is backwardation — near-term fear bid over longer-dated
0.91
71
71
Variance risk premiumimplied minus realized — a wide premium is the calm state
-4.67
0
100(inverted)
VVIX / VIXthe price of convexity — rising means hedging the hedge
5.17
21
21
Risk-on / risk-offcross-asset appetite — positive is risk-on
1.26
85
15(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
0.22
38
38
25-delta skew (1m)what downside protection costs over upside, in vol points
4.74
66
66
What to watch
Further readings follow in the table below.
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The VIX Daily lands before the US open with the previous session's close, what the options market is pricing, and the week's scheduled risk. Free.