1. Key Metrics
| Metric | Close | Chg | Prior |
|---|---|---|---|
| VIX9D | 14.00 | -0.20 | 14.20 |
| VIX | 16.39 | +0.05 | 16.34 |
| VIX3M | 18.58 | +0.21 | 18.37 |
| VXN | 22.51 | +0.05 | 22.46 |
| VIX9D / VIX | 0.854 | -0.015 | 0.869 |
| VIX / VIX3M | 0.882 | -0.007 | 0.889 |
| VX M1 (Oct, settle) | 18.101 | +0.233 | 17.868 |
| VX M2 (Nov, settle) | 18.625 | +0.172 | 18.453 |
| QQQ IV30 ATM | 19.74% | +0.21 | 19.53% |
| VRP (IV30 − RV20) | +4.63 pts | +0.21 | +4.42 pts |
| QQQ 25Δ skew, ~30 DTE | +4.79 pts | -0.02 | +4.81 pts |
| QQQ net GEX (model), $bn per 1% | +0.76 | -0.46 | +1.22 |
| QQQ zero gamma (model) | 740.77 | +3.59 | 737.18 |
2. Term structure
Spot was flat while the ends of the curve diverged: VIX +0.05, VIX9D -0.20, VIX3M +0.21. VIX9D/VIX fell to 0.854 (prior 0.869) and VIX/VIX3M to 0.882 (prior 0.889). October VX settled 0.233 higher at 18.101 and November 0.172 higher, so M1 − spot widened to 1.71 while M2 − M1 narrowed to 0.52. VXN − VIX was unchanged at 6.12 pts. On a 252-session basis VIX is at the 34.1st percentile and VXN at the 38.9th. Read: the front end has cheapened for a second session while the one-to-three-month segment keeps firming — the market is not pricing an imminent shock but continues to pay for protection further out, and October VX rose more than spot. The curve remains in contango.
3. Implied vs. realized
QQQ IV30 is 19.74% (+0.21; Cboe cross-check 19.54%) against realized vol of 16.41% (10d, prior 17.79%) and 15.11% (20d, unchanged), a VRP of +4.63 pts (prior +4.42). The IV30 − RV10 gap nearly doubled to 3.33 pts from 1.74 as a volatile day rolled out of the 10-day window and the Oct 1 range (1.13% of the close) came in below ATR. IV rank/percentile on our own IV30 history is n/a (four observations); the VXN proxy stands at a 252-session percentile of 38.9 and a rank of 32.5. Premium is rich and getting richer: a higher carry cost for long volatility, and higher compensation for sellers of a risk that is not being realized.
4. QQQ surface & skew
ATM IV by expiry: Oct 2 21.90% (prior 20.89%), Oct 16 18.64% (18.74%), Oct 30 19.68% (19.53%), Nov 30 19.98% (19.87%), Dec 31 20.60% (20.50%). On the Oct 30 expiry (~30 DTE): 25Δ put 22.47% (+0.03), 25Δ call 17.68% (+0.05), skew +4.79 pts (-0.02), RR25 -4.79 pts; wings 10Δ put 26.55% (-0.24), 10Δ call 16.84% (-0.05). CBOE SKEW (SPX) 142.77 (+0.85). Skew stabilized after the prior session's steepening and the far put wing cheapened. The surface rose in two places — the one-day Oct 2 series (+1.01 pts, payrolls) and the 30–90 day tenors (+0.10–0.15 pts) — while the Oct 16 OPEX cheapened: a term-level repricing rather than fresh demand for downside protection.
5. Expected move
ATM straddle (mid) to Oct 2 (one session, payrolls): $6.79 (±0.92%; prior $9.14 over two sessions), range 735.24–748.82. To the Oct 16 OPEX: $22.40 (±3.02%; prior $23.18), range 719.63–764.43. QQQ ATR(14) is $9.23 (1.24%). The payrolls straddle prices ≈0.74 ATR. Its upper bound sits on the 748.35–748.65 record zone; its lower bound lies below the 737.07 negative-gamma threshold, so a break of the expected range to the downside would also flip the gamma regime.
6. Positioning & gamma (model)
Session volume was 10.12mn contracts (calls 5.06mn, puts 5.06mn; put/call 1.00, prior 1.18); 0DTE accounted for 67.4% of volume (prior 63.3%). Open interest on live series is 11.67mn, up 177,333 contracts (+1.54%), a change that includes the Oct 1 expiry. Largest OI: calls 760 (+6,214), 800, 750 (+4,633), 740 (-9,896); puts 670 (+5,447), 700, 650 (+5,413), 690 (-13,359), 680 (+12,020). Top-5 strikes by OI growth are n/a (no full per-strike snapshot for Sep 30; the snapshot is stored from this issue onward). Modeled net GEX is +$0.76bn per 1% (prior +$1.22bn), zero gamma 740.77 (prior 737.18), call wall 760, put wall 730. By expiry: Oct 2 -0.13, Oct 9 +0.11, Oct 16 +1.06 ($bn); the Oct 5–8 weeklies range from -0.04 to +0.02. 66.3% of gross GEX rolls off by the Oct 16 OPEX. Grid: -1% → -$3.37bn, -2% → -$6.07bn; +1% → +$4.82bn, +2% → +$6.66bn. The positive gamma carried by the expired Oct 1 series (+$0.33bn) is gone and the Oct 2 payrolls series carries negative GEX, so the profile is more asymmetric than a day earlier (-$3.37bn at -1% vs -$2.16bn). Stabilizing gamma is concentrated in the Oct 16 OPEX.
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 = 4.17%); 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 17.65 at the current VIX3M), then the regime moves to Elevated.
- If QQQ closes below 737.07 (0.5% under zero gamma), then the negative-gamma modifier applies, with the 730 put wall as the next reference.
- If QQQ closes above 744.47, 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 14.00 vs 16.39), then the event modifier applies; after payrolls on Oct 2 the next events are ISM Services on Oct 5 and the FOMC minutes on Oct 7.
Sources
- Cboe — volatility indices (historical CSV), QQQ delayed option chain (post-close snapshot)
- Cboe Futures Exchange — VX daily settlement, Oct 1 and Sep 30
- Nasdaq.com — QQQ daily history (realized volatility, ATR)
- LiteFinance, Kiplinger / The Right Trader — economic calendar
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.