Volatility and Options

1. Key Metrics

2. Term structure

Spot volatility rose with the market, most at the front: VIX9D +0.79 (+6.6%), VIX +0.21 (+1.4%), VIX3M -0.01 (-0.1%). VIX9D/VIX rose to 0.828 (prior 0.788) and VIX/VIX3M to 0.862 (prior 0.850). Futures moved the other way: October VX settled 0.192 lower at 17.456 and November 0.206 lower, so M1 − spot narrowed to 1.94 and M2 − M1 to 0.68. VXN − VIX widened to 6.18 pts. 252-session percentile: VIX 18.3 (prior 14.7), VXN 27.8 (prior 23.8). CBOE SKEW (SPX) 143.04 (-1.84). Read: spot and futures diverged — the front end recovered part of Friday's decline as the market priced Wednesday's FOMC minutes and 10-year auction, while futures kept cheapening. The curve remains in contango, with VIX/VIX3M in the lower half of the Normal band.

3. Implied vs. realized

QQQ IV30 is 19.07% (+0.27; variance-interpolated between Oct 30 and Nov 6; Cboe cross-check 18.89%) against realized vol of 11.00% (10d, prior 16.70%) and 15.16% (20d, prior 14.98%), a VRP of +3.91 pts (prior +3.82). The IV30 − RV10 gap widened to 8.07 pts from 2.10. IV rank/percentile on our own IV30 history is n/a (six observations); the VXN proxy stands at a 252-session percentile of 27.8 and a rank of 27.5. RV10 fell almost 6 pts as a large session left the window; the rally itself has been smooth. Premium is rich on both measures, and implied volatility rising with price points to demand for upside exposure rather than downside protection.

4. QQQ surface & skew

ATM IV by expiry: Oct 6 14.69% (1 DTE), Oct 9 15.58% → 16.17%, Oct 16 16.85% → 17.01%, Nov 6 19.21% (~30 DTE), Nov 30 19.46% → 19.52%, Dec 31 20.20% → 20.23%. The ~30 DTE point rolled from the Oct 30 to the Nov 6 expiry; changes compare the two ~30 DTE points. On Nov 6: 25Δ put 21.73% (+0.53), 25Δ call 17.62% (+0.71), skew +4.11 pts (-0.18), RR25 -4.11 pts; wings 10Δ put 25.68% (+0.66), 10Δ call 17.08% (+0.82). The surface lifted most in the upper wing — the 10Δ call gained 0.82 pts and the 25Δ call 0.71 pts, more than the put side — and skew narrowed to +4.11 pts. The rise is concentrated at the front (+0.59 pts on Oct 9 vs +0.03 on Dec 31): the market is paying for the week of the FOMC minutes and Treasury auctions, not repricing quarter-horizon risk. Upper-wing demand coincided with a 7.63% gain in SPCX, the largest move in the NDX top 10.

5. Expected move

ATM straddle (mid) to Oct 9: $10.22 (±1.35%; prior $12.91 to the same expiry), range 745.98–766.42. To the Oct 16 OPEX: $17.81 (±2.36%; prior $19.74), range 738.39–774.01. QQQ ATR(14) is $9.35 (1.24%). The weekly straddle prices ≈1.09 ATR over four sessions — moderate moves. Its lower bound (745.98) sits almost on zero gamma (744.98) and below the upper edge of the transitional zone (748.70); its upper bound (766.42) lies above the 760 call wall. The whole expected weekly range sits in positive gamma, but its lower edge touches the boundary of a gamma-regime change.

6. Positioning & gamma (model)

Session volume was 7.91mn contracts (prior 9.31mn; calls 3.08mn, puts 4.84mn; put/call 1.57, prior 1.06); 0DTE accounted for 64.0% of volume (prior 69.5%). Open interest on live series (from Oct 6) is 11.64mn, +238,093 contracts (+2.09%) vs live series on Oct 2; on a like-for-like basis including the Oct 5 series (405,470 contracts still in the snapshot) the increase is +643,563 (+5.64%). Top-5 strikes by OI growth (like-for-like): calls 850 (+32,494), 765 (+14,429), 790 (+14,281), 780 (+13,320), 775 (+9,174); puts 740 (+41,571), 750 (+24,655), 700 (+18,205), 749 (+16,831), 745 (+12,567). Largest OI: calls 760 (199,729; -4,618), 800 (198,875; +8,890), 775; puts 670 (351,215), 700 (333,056; +10,275), 650. Modeled net GEX is +$4.48bn per 1% (prior +$3.29bn), zero gamma 744.98 (prior 742.15), call wall 760, put wall 725 (both unchanged). By expiry: Oct 6 +0.25, Oct 7 +0.37, Oct 9 +0.83, Oct 16 +2.33 ($bn); 56.4% of gross GEX rolls off by the Oct 16 OPEX. Grid: -1% → +1.59bn (prior -0.03), -2% → -1.58bn (prior -2.94); +1% → +6.06bn, +2% → +6.40bn. The positive-gamma cushion thickened: modeled GEX now stays positive on a 1% decline and turns negative only near -2%. New put OI is concentrated just below the market — 740, 745, 749, 750 — so protection is being bought at current levels rather than in the tail, while call OI is building far out of the money (850, 780–790). A high volume put/call ratio (1.57) in a rising market reads as hedging of long positions rather than bearish positioning.

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 = 4.22%); IV held fixed across the ±5% grid; OI as published by Cboe at the post-close snapshot (Oct 6, 03:55); per-strike OI growth is total strike OI including the Oct 5 series in both snapshots (calls 700–1000, puts 600–800). These are estimates, not observed positions.

7. What Would Change the Regime

• If VIX/VIX3M closes below 0.85 (VIX below 15.30 at the current VIX3M), then the regime moves to Calm.
• If VIX/VIX3M closes above 0.95 (VIX above 17.10), then the regime moves to Elevated.
• If QQQ closes below 748.70, then gamma becomes transitional; below 741.26 the negative-gamma modifier applies, with the 725 put wall as the next reference.
• If VIX9D moves above VIX (now 12.85 vs 15.52), then the event modifier applies; the next events are the 10-year auction and the FOMC minutes on Oct 7.

Sources

1. Cboe — volatility indices (historical CSV), QQQ delayed option chain (post-close snapshot)
2. Cboe Futures Exchange — VX daily settlement, Oct 5 and Oct 2
3. Nasdaq.com — QQQ daily history (realized volatility, ATR)
4. Investrade weekly event calendar; Federal Reserve 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.