Volatility and Options

1. Volatility Dashboard

2. Term structure

The VIX curve eased slightly across its length: VIX9D -0.18, VIX -0.03, VIX3M -0.14. VIX9D/VIX fell to 0.886 (prior 0.895), while VIX/VIX3M edged up to 0.887 (prior 0.882) as VIX3M declined more than spot. The M1 − spot spread held at 1.64 and M2 − M1 narrowed to 0.70. VXN − VIX stands at 6.03 pts. On a 252-session basis VIX is at the 27.0th percentile and VXN at the 34.9th. Read: after the Sep 28 spike the volatility market paused; the curve remains in contango, and risk is still concentrated in technology.

3. Implied vs. realized

QQQ IV30 is 19.26% (+0.09; Cboe cross-check 19.12%) against realized vol of 17.90% (10d, prior 18.75%) and 16.02% (20d), a VRP of +3.24 pts. The premium is rich and widened slightly: the IV30 − RV10 gap grew to 1.36 pts from 0.42. IV rank/percentile on our own IV30 history is n/a (two observations); the VXN proxy stands at a 252-session percentile of 34.9 and a rank of 29.8.

4. QQQ surface & skew

ATM IV by expiry: Sep 30 20.42%, Oct 2 20.81%, Oct 16 18.52%, Oct 30 19.35%, Nov 30 19.76%, Dec 31 20.43%. On the Oct 30 expiry (~30 DTE): 25Δ put 22.00%, 25Δ call 17.53%, skew +4.47 pts (-0.10), RR25 -4.47 pts; wings 10Δ put 26.18% (-0.29), 10Δ call 16.81%. CBOE SKEW (SPX) 144.58 (-1.67). The hump in the Sep 30–Oct 2 expiries prices two consecutive releases, not generalized stress; demand for tail hedges eased at the margin, but skew remains steep.

5. Expected move

ATM straddle (mid) to Oct 2: $11.12 (±1.51%; prior $12.54), range 726.81–749.05. To the Oct 16 OPEX: $23.55 (±3.19%; prior $24.07), range 714.38–761.48. QQQ ATR(14) is $9.46 (1.28%). The weekly straddle is ≈1.2 ATR over three sessions; its upper bound nearly coincides with the 748.65 all-time high.

6. Positioning & gamma (Model)

Session volume was 8.51mn contracts (calls 4.10mn, puts 4.41mn; put/call 1.08); 0DTE accounted for 71.6% of volume (prior 64.3%). Open interest on live series is 12.14mn, down 399,742 contracts (-3.19%), a change that includes the Sep 29 expiry. Largest OI: calls 760 / 800 / 750, puts 700 / 670 / 650; top-5 strikes by OI growth are n/a (no full per-strike snapshot for Sep 28). Modeled net GEX is +$0.46bn per 1% (prior -$2.23bn), zero gamma 737.11 (prior 739.19), call wall 760, put wall 730. By expiry: Sep 30 +0.23, Oct 1 +0.06, Oct 2 -0.27, Oct 9 +0.17, Oct 16 +0.68 ($bn); 72.7% of gross GEX rolls off by the Oct 16 OPEX. Grid: -1% → -$3.20bn, -2% → -$5.65bn; +1% → +$4.42bn, +2% → +$6.60bn. The profile is asymmetric: a decline would be amplified by hedging flows, a rally dampened.

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 = 4.25%); IV held fixed across the ±5% grid; OI as published by Cboe at the post-close snapshot. These are estimates, not observed positions.

7. What Would Change the Regime

• If VIX/VIX3M closes above 0.95 (VIX above 17.19 at the current VIX3M), then the regime moves to Elevated.
• If QQQ closes below 733.42 (0.5% under zero gamma), then the negative-gamma modifier applies, with the 730 put wall as the next reference.
• If QQQ closes above 740.80, then gamma turns positive, with the 760 call wall as the next reference.
• If VIX9D moves above VIX after PCE (Sep 30) or ahead of payrolls (Oct 2), then the event modifier applies.

Sources

1. Cboe — volatility indices (historical CSV), QQQ delayed option chain
2. Cboe Futures Exchange — VX daily settlement, Sep 29
3. Nasdaq.com — 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.