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
Bitcoin moved 1.81σ lower — the largest standardised move across the cross-asset panel.
Headlines are linked to their publishers; inclusion is not endorsement and reflects coverage during the session window only.
Scenarios
The VIX closed at 18.34 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=1,735
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=2,089
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 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 Statescons. 0
Regime band High (252d percentile 65%); VIX level 18.34 (z-score +0.07 (252d)); Vol-of-everything composite 0.2214 z (breadth 100% above 1y median) [delayed].
S&P 500 vs VIX — last 30 sessionsS&P 500 vs VIX — last 30 sessions | Latest: 7592 (2026-11-12) | Range: 7354–7819 | Source: Cboe, S&P Dow Jones Indices | Trend(5pt): 7774,7719,7624,7569,7592 | VIX: 18.7 (range 14.84–28.18)VIX regime — last 30 sessionsVIX regime — last 30 sessions | Current regime: High (2026-11-13) | 30 sessions | Distribution: Very Low 23%, Low 3%, Normal 27%, High 27%, Very High 20% | Source: Cboe
Metric
Latest
As of
Regime band252d percentile 65%
High
2026-11-13
VIX levelz-score +0.07 (252d)
18.34
2026-11-13
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 12): VIX1D=15.99,VIX9D=17.51,VIX=18.7,VIX3M=20.06,VIX6M=21.71 | 1 week ago (Nov 5): VIX1D=36.8,VIX9D=32.66,VIX=28.18,VIX3M=25.55,VIX6M=25.29 | 1 month ago (Oct 13): VIX1D=10.72,VIX9D=11.99,VIX=15.27,VIX3M=17.96,VIX6M=19.92 | Source: Cboe
Metric
Latest
As of
VIX / VIX3Mcontango, streak 4d
0.9322
2026-11-12
Short-end stressVIX1D vs VIX 18.70; no short-end stress
HY OAS 3.3 pp (HYG/LQD 0.747) [delayed]; MOVE 98.43 (OVX 51.7, GVZ 25.9); Risk-on/off score 1.309 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 | 10y breakeven: 1.998σ, Bitcoin: -1.811σ, MOVE: 1.343σ, GVZ: 0.9617σ, VXN: 0.9401σ, VVIX: 0.9334σ, VIX3M: 0.8032σ, US dollar (DXY): 0.7902σ | Range: -1.811σ–1.998σ | Source: Cboe, FRED, ICERisk-on / risk-off score · σ from neutral · above the zero line is risk-onRisk-on / risk-off score | Latest: 1.309z (2026-11-13) | Range: -0.3339z–1.61z | Source: FRED, Cboe | Trend(5pt): -0.08933,0.09878,1.134,1.261,1.309
Metric
Latest
As of
HY OASdelayedHYG/LQD 0.747
3.3 pp
2026-11-11
MOVEOVX 51.7, GVZ 25.9
98.43
2026-11-12
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 18.31; VIX put/call 0.45; Fear & Greed 39); Days since last spike 5 days (VIX 18.34 vs 50d MA 17.29 / 200d MA 18.45; 21d realized vol 21.9 vs VIX 18.3).
Days since last spikeVIX 18.34 vs 50d MA 17.29 / 200d MA 18.45; 21d realized vol 21.9 vs VIX 18.3
5 days
2026-11-13
Volatility Regime Score
Composite
54.6
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
0.93
79
79
Variance risk premiumimplied minus realized — a wide premium is the calm state
-3.18
1
99(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
1.31
88
12(inverted)
Cross-asset vol breadthhow broadly volatility is elevated across asset classes
0.22
39
39
25-delta skew (1m)what downside protection costs over upside, in vol points
5.38
78
78
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.