1. Key Metrics
| Metric | Close | Chg | Prior |
|---|---|---|---|
| VIX9D | 12.06 | -1.94 | 14.00 |
| VIX | 15.31 | -1.08 | 16.39 |
| VIX3M | 18.01 | -0.57 | 18.58 |
| VXN | 21.20 | -1.31 | 22.51 |
| VIX9D / VIX | 0.788 | -0.066 | 0.854 |
| VIX / VIX3M | 0.850 | -0.032 | 0.882 |
| VX M1 (Oct, settle) | 17.648 | -0.453 | 18.101 |
| VX M2 (Nov, settle) | 18.345 | -0.280 | 18.625 |
| QQQ IV30 ATM | 18.80% | -0.94 | 19.74% |
| VRP (IV30 − RV20) | +3.82 pts | -0.81 | +4.63 pts |
| QQQ 25Δ skew, ~30 DTE | +4.29 pts | -0.50 | +4.79 pts |
| QQQ net GEX (model), $bn per 1% | +3.29 | +2.53 | +0.76 |
| QQQ zero gamma (model) | 742.15 | +1.38 | 740.77 |
2. Term structure
Volatility fell along the whole curve, most at the front: VIX9D -1.94 (-13.9%), VIX -1.08 (-6.6%), VIX3M -0.57 (-3.1%). VIX9D/VIX fell to 0.788 (prior 0.854) and VIX/VIX3M to 0.850 (prior 0.882). October VX settled 0.453 lower at 17.648 and November 0.280 lower, so M1 − spot widened to 2.34 and M2 − M1 to 0.70. VXN − VIX narrowed to 5.89 pts. On a 252-session basis VIX is at the 14.7th percentile (prior 34.1st) and VXN at the 23.8th. Read: a textbook post-event premium unwind — the front end collapsed, the back end eased modestly and the curve steepened noticeably; futures lagged spot, so the market is not carrying the lower spot level into the October VIX expiry.
3. Implied vs. realized
QQQ IV30 is 18.80% (-0.94; Cboe cross-check 18.65%) against realized vol of 16.70% (10d, prior 16.41%) and 14.98% (20d, prior 15.11%), a VRP of +3.82 pts (prior +4.63). The IV30 − RV10 gap narrowed to 2.10 pts from 3.33. IV rank/percentile on our own IV30 history is n/a (five observations); the VXN proxy stands at a 252-session percentile of 23.8 and a rank of 24.5. Premium remains rich but compressed for the first time in three sessions: a 1% rally needed no protection, an adverse mix for long volatility — the move was realized to the upside while option prices fell.
4. QQQ surface & skew
ATM IV by expiry: Oct 5 10.46% (3 DTE, over the weekend), Oct 9 15.58%, Oct 16 18.64% → 16.85%, Oct 30 19.68% → 18.61%, Nov 30 19.98% → 19.46%, Dec 31 20.60% → 20.20%. On the Oct 30 expiry (~30 DTE): 25Δ put 21.20% (-1.27), 25Δ call 16.91% (-0.77), skew +4.29 pts (-0.50), RR25 -4.29 pts; wings 10Δ put 25.02% (-1.53), 10Δ call 16.26% (-0.58). CBOE SKEW (SPX) 144.88 (+2.11). The surface fell and flattened: the put wing cheapened almost three times as much as the call wing. The decline fades with tenor (-1.79 pts on Oct 16, -0.40 pts on Dec 31) — near-term risk was taken out, quarter-horizon risk was not repriced. A higher SPX SKEW shows that demand for broad-market tail hedges has not disappeared.
5. Expected move
ATM straddle (mid) to Oct 9: $12.91 (±1.72%), range 736.67–762.49. To the Oct 16 OPEX: $19.74 (±2.63%; prior $22.40), range 729.84–769.32. QQQ ATR(14) is $9.47 (1.26%). The weekly straddle prices ≈1.36 ATR over five sessions — a quiet week. Its upper bound sits above the 760 call wall and its lower bound below the 738.44 negative-gamma threshold, so both edges of the expected range extend beyond the modeled gamma corridor.
6. Positioning & gamma (model)
Session volume was 9.31mn contracts (calls 4.52mn, puts 4.79mn; put/call 1.06, prior 1.00); 0DTE accounted for 69.5% of volume (prior 67.4%). Open interest on live series is 11.41mn, down 268,056 contracts (-2.30%), a change that includes the Oct 2 expiry. Top-5 strikes by OI growth (first issue with a full per-strike snapshot): calls 754 (+13,199), 775 (+6,317), 790 (+2,714), 860 (+2,578), 763 (+2,447); puts 685 (+13,700), 720 (+13,195), 713 (+12,637), 736 (+11,202), 675 (+10,321). Largest OI: calls 760, 800, 750; puts 670 (+8,202), 700, 650 (-17,186). Modeled net GEX is +$3.29bn per 1% (prior +$0.76bn), zero gamma 742.15 (prior 740.77), call wall 760, put wall 725 (prior 730). By expiry: Oct 5 +0.59, Oct 9 +0.67, Oct 16 +1.63 ($bn); 57.5% of gross GEX rolls off by the Oct 16 OPEX. Grid: -1% → -$0.03bn, -2% → -$2.94bn; +1% → +$5.66bn, +2% → +$6.11bn. The rally above zero gamma and lower IV more than quadrupled modeled positive gamma, so dealer hedging now dampens moves; the cushion is asymmetric — it disappears on a 1% decline and turns negative at -2%. New call OI at 754 and put OI at 713–736 sit closer to the market, while the put wall moved down to 725.
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 = 4.19%); IV held fixed across the ±5% grid; OI as published by Cboe at the post-close snapshot; per-strike OI growth includes the Oct 2 expiry. These are estimates, not observed positions.
7. What Would Change the Regime
- If VIX/VIX3M closes below 0.85 (VIX below 15.31 at the current VIX3M — any further decline), then the regime moves to Calm.
- If VIX/VIX3M closes above 0.95 (VIX above 17.11), then the regime moves to Elevated.
- If QQQ closes below 745.86, then gamma becomes transitional; below 738.44 the negative-gamma modifier applies, with the 725 put wall as the next reference.
- If VIX9D moves above VIX (now 12.06 vs 15.31), then the event modifier applies; 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 2 and Oct 1
- Nasdaq.com — QQQ daily history (realized volatility, ATR)
- LiteFinance — 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.