1. Volatility Dashboard
| Metric | Close | Chg | Prior |
|---|---|---|---|
| VIX9D | 14.20 | -0.01 | 14.21 |
| VIX | 16.34 | +0.30 | 16.04 |
| VIX3M | 18.37 | +0.28 | 18.09 |
| VXN | 22.46 | +0.39 | 22.07 |
| VIX9D / VIX | 0.869 | -0.017 | 0.886 |
| VIX / VIX3M | 0.889 | +0.002 | 0.887 |
| VX M1 (Oct, settle) | 17.868 | +0.192 | 17.677 |
| VX M2 (Nov, settle) | 18.453 | +0.072 | 18.381 |
| QQQ IV30 ATM | 19.53% | +0.27 | 19.26% |
| VRP (IV30 − RV20) | +4.42 pts | +1.18 | +3.24 pts |
| QQQ 25Δ skew, ~30 DTE | +4.81 pts | +0.34 | +4.47 pts |
| QQQ net GEX (model), $bn per 1% | +1.22 | +0.76 | +0.46 |
2. Term structure
Spot and the back of the curve firmed while the front did not: VIX +0.30, VIX3M +0.28, VIX9D -0.01. VIX9D/VIX fell to 0.869 (prior 0.886) and VIX/VIX3M was little changed at 0.889 (prior 0.887). October VX settled 0.192 higher, less than spot, so M1 − spot narrowed to 1.53 and M2 − M1 to 0.59. VXN − VIX widened to 6.12 pts. On a 252-session basis VIX is at the 31.3rd percentile and VXN at the 38.5th. Read: with VIX9D flat, demand was for one-month rather than near-dated protection — the soft PCE reduced immediate event risk, while the late selloff and a 10-year yield at its highest since 2002 lifted demand further out. The curve remains in contango.
3. Implied vs. realized
QQQ IV30 is 19.53% (+0.27; Cboe cross-check 19.35%) against realized vol of 17.79% (10d, prior 17.90%) and 15.11% (20d, prior 16.02%), a VRP of +4.42 pts (prior +3.24). The IV30 − RV10 gap widened to 1.74 pts from 1.36. IV rank/percentile on our own IV30 history is n/a (three observations); the VXN proxy stands at a 252-session percentile of 38.5 and a rank of 32.2. Rich premium alongside a narrow realized range is an environment in which long volatility bleeds time decay unless the move is realized.
4. QQQ surface & skew
ATM IV by expiry: Oct 1 20.82%, Oct 2 20.89% (prior 20.81%), Oct 16 18.74% (18.52%), Oct 30 19.53% (19.35%), Nov 30 19.87% (19.76%), Dec 31 20.50% (20.43%). On the Oct 30 expiry (~30 DTE): 25Δ put 22.44% (+0.44), 25Δ call 17.63% (+0.10), skew +4.81 pts (+0.34), RR25 -4.81 pts; wings 10Δ put 26.79% (+0.61), 10Δ call 16.89% (+0.08). CBOE SKEW (SPX) 141.92 (-2.66). The surface shifted up by 0.1–0.2 pts, but the main move was in the put wing; with SPX SKEW lower, demand for downside protection is concentrated in Nasdaq rather than the broad market. The Oct 1–2 hump (≈20.9%) prices payrolls, not generalized stress.
5. Expected move
ATM straddle (mid) to Oct 2: $9.14 (±1.24%; prior $11.12 with more days to expiry), range 730.63–748.91. To the Oct 16 OPEX: $23.18 (±3.13%; prior $23.55), range 716.59–762.95. QQQ ATR(14) is $9.29 (1.26%). The weekly straddle is ≈0.98 ATR over two sessions including payrolls; its bounds almost coincide with the 748.35–748.65 record zone and the 730 put wall.
6. Positioning & gamma (Model)
Session volume was 6.93mn contracts (calls 3.18mn, puts 3.75mn; put/call 1.18, prior 1.08); 0DTE accounted for 63.3% of volume (prior 71.6%). Open interest on live series is 11.50mn, down 640,719 contracts (-5.28%), a change that includes the Sep 30 expiry. Largest OI: calls 760 / 800 / 750, puts 670 / 700 / 690 / 650; among the largest strikes, put 690 added 16,654 contracts while puts 650–700 shed OI; top-5 strikes by OI growth are n/a (no full per-strike snapshot for Sep 29). Modeled net GEX is +$1.22bn per 1% (prior +$0.46bn), zero gamma 737.18 (prior 737.11), call wall 760, put wall 730. By expiry: Oct 1 +0.33, Oct 2 +0.10, Oct 9 +0.15, Oct 16 +0.83 ($bn); 67.0% of gross GEX rolls off by the Oct 16 OPEX. Grid: -1% → -$2.16bn, -2% → -$4.72bn; +1% → +$4.40bn, +2% → +$6.24bn. The profile remains asymmetric: a 1% decline would put the model in negative gamma, a 1% rally deeper into positive gamma.
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 = 4.20%); 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 17.45 at the current VIX3M), then the regime moves to Elevated.
- If QQQ closes below 733.49 (0.5% under zero gamma), then the negative-gamma modifier applies, with the 730 put wall as the next reference.
- If QQQ closes above 740.87, then gamma turns positive, with the 748.35–748.65 record zone and the 760 call wall as the next references.
- If VIX9D moves above VIX (now 14.20 vs 16.34) ahead of payrolls on Oct 2, then the event modifier applies.
Sources
- Cboe — volatility indices (historical CSV), QQQ delayed option chain
- Cboe Futures Exchange — VX daily settlement, Sep 30
- 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.