1. Volatility Dashboard
| Metric | Close | Chg | Prior |
|---|---|---|---|
| VIX9D | 14.39 | +1.63 | 12.76 |
| VIX | 16.07 | +1.20 | 14.87 |
| VIX3M | 18.23 | +0.30 | 17.93 |
| VIX6M | 20.25 | +0.24 | 20.01 |
| VIX1Y | 21.66 | +0.06 | 21.60 |
| VVIX | 91.02 | +3.18 | 87.84 |
| VXN | 22.13 | +1.26 | 20.87 |
| VX M1 (Oct, settle) | 17.708 | +0.204 | 17.505 |
| VX M2 (Nov, settle) | 18.480 | +0.096 | 18.384 |
| QQQ IV30 ATM | 19.17% | n/a (first run) | — |
| VRP (IV30 − RV20) | +3.15 pts | — | — |
2. Term structure
The whole VIX curve shifted higher, led by the front end: VIX9D/VIX rose to 0.895 (prior 0.858), VIX/VIX3M to 0.882 (prior 0.829). Futures absorbed the spot move: M1 gained only 0.20 pts and the M1 − spot spread narrowed to 1.64. The VXN − VIX spread widened to 6.06 pts. On a 252-session percentile basis VIX stands at 27.8 and VXN at 35.3, while VIX3M (8.7) remains near one-year lows. Read: the market is pricing a short-dated, tech-specific scare rather than a broad repricing of risk.
3. Implied vs. realized
QQQ IV30 is 19.17% (Cboe cross-check 19.10%) against realized vol of 18.75% (10d) and 16.02% (20d), a VRP of +3.15 pts. Premium is rich versus the 20-day record, but RV10 has nearly caught up with implied. IV rank/percentile on our own IV30 history is n/a (history not yet built); the VXN proxy stands at a 252-session percentile of 35.3.
4. QQQ surface & skew
ATM IV by expiry: Sep 29 17.85%, Oct 2 20.38%, Oct 16 18.45%, Oct 30 19.36%, Nov 30 19.81%, Dec 31 20.37%. On the Oct 30 expiry (~30 DTE): 25Δ put 22.12%, 25Δ call 17.55%, skew +4.57 pts, RR25 -4.57 pts; wings 10Δ put 26.47%, 10Δ call 16.85%. CBOE SKEW (SPX) 146.25. Day-over-day skew change is n/a (first run). The kink at Oct 2 prices a single event, not generalized stress; downside wings remain well bid.
5. Expected move
ATM straddle (mid) to Oct 2: $12.54 (±1.70%), range 723.99–749.07. To the Oct 16 OPEX: $24.07 (±3.27%), range 712.46–760.60. QQQ ATR(14) is $9.78 (1.33%).
6. Positioning & gamma (Model)
Session volume was 10.15mn contracts (calls 4.82mn, puts 5.34mn; put/call 1.11); estimated premium put/call ≈1.71. 0DTE accounted for 64.3% of volume. Open interest on live series is 12.54mn; OI change is n/a (first run). Modeled net GEX is -$2.23bn per 1%, zero gamma 739.19, call wall 760, put wall 730. Most of the negative gamma sits in the Sep 29 (-$1.90bn) and Oct 2 (-$0.50bn) expiries; 78.3% of gross GEX rolls off by the Oct 16 OPEX. SPX backdrop: GEX -$13.02bn, zero gamma ≈7,694 — also transitional.
Model assumption: dealers long calls / short puts versus customers (call GEX +, put GEX −); Black–Scholes gamma on each option's IV (from mid prices, forward from put-call parity, r = 4.28%); IV held fixed across the ±5% grid; OI as published by Cboe at snapshot. These are estimates, not observed positions.
7. Correlation & dispersion
COR1M 9.03 (+1.02), VIXEQ 39.46 (+1.00). Low implied correlation against elevated single-stock vol points to dispersion risk rather than index risk — consistent with META -4.79% and TSLA -3.94% against NVDA +1.68%.
8. What Would Change the Regime
- If VIX/VIX3M closes above 0.95 (VIX above 17.32 at the current VIX3M), then the regime moves to Elevated.
- If QQQ closes below 735.49 (0.5% under zero gamma), then the negative-gamma modifier applies.
- If QQQ closes above 742.89, then gamma turns positive, with the 760 call wall as the next reference.
- If VIX9D moves above VIX ahead of PCE (Sep 30) or payrolls (Oct 2), then the event modifier applies.
Sources
- Cboe — volatility indices (historical CSV), QQQ and SPX delayed option chains
- Cboe Futures Exchange — VX daily settlement, Sep 28
- Yahoo Finance — QQQ daily history (realized volatility, ATR)
Model-based estimates (gamma exposure, dealer positioning) are labeled as such and are not observed positions. This report describes market conditions and is not investment advice.