Volatility and Options

1. Key Metrics

2. Term structure

Volatility indices fell across the curve, most at the front: VIX9D −0.82 (−6.4%), VIX −0.51 (−3.3%), VIX3M −0.36 (−2.0%). VIX9D/VIX fell to 0.801 (prior 0.828) and VIX/VIX3M to 0.851 (prior 0.862). Futures cheapened more than spot: October VX settled 0.374 lower at 17.082 and November 0.502 lower at 17.638, so M1 − spot widened to 2.07 while M2 − M1 narrowed to 0.56. VXN − VIX was 6.14 pts (prior 6.18). 252-session percentile: VIX 10.7 (prior 18.3), VXN 22.2 (prior 27.8); rank VIX 8.8, VXN 24.2. CBOE SKEW (SPX) 141.21 (−1.83). Read: Monday's rise at the front has been fully unwound and VIX now sits in the bottom tenth of its one-year range. VIX/VIX3M at 0.8509 is right on the Calm boundary; a VIX close below 14.99 at the current VIX3M would move the regime to Calm. The curve is in contango, with October futures 2.07 pts over spot — the futures market is not pricing a spike before the October VIX expiration.

3. Implied vs. realized

QQQ IV30 is 18.63% (−0.44; variance-interpolated between Oct 30 and Nov 6; Cboe cross-check 18.49%) against realized vol of 10.59% (10d, prior 11.00%) and 15.12% (20d, prior 15.16%), a VRP of +3.51 pts (prior +3.91). The IV30 − RV10 gap is 8.04 pts (prior 8.07). IV rank/percentile on our own IV30 history is n/a (seven observations); the VXN proxy stands at a 252-session percentile of 22.2 and a rank of 24.2. Implied volatility fell faster than realized, so VRP narrowed by 0.40 pts, but premium remains rich on both measures: options price roughly 8 pts more than the market has realized over ten sessions. RV20 still carries the large late-September sessions; as they roll off, VRP on RV20 will widen unless IV falls further.

4. QQQ surface & skew

ATM IV by expiry: Oct 7 13.92% (1 DTE), Oct 9 16.17% → 15.52%, Oct 16 17.01% → 16.27%, Nov 6 19.21% → 18.69% (~30 DTE), Nov 30 19.52% → 19.02%, Dec 31 20.23% → 19.88%. The ~30 DTE point is the same Nov 6 expiry as on Monday. On Nov 6: 25Δ put 21.08% (−0.65), 25Δ call 17.26% (−0.36), skew +3.82 pts (−0.29), RR25 −3.82 pts; wings 10Δ put 24.74% (−0.94), 10Δ call 16.83% (−0.25). The surface dropped as a whole, but unevenly: the front cheapened most (−0.65 to −0.74 pts through OPEX vs −0.35 on December) and so did the put wing — the 10Δ put lost 0.94 pts, the 10Δ call only 0.25. Monday's call-wing demand did not reverse into call selling: the upper wing cheapened least and the lower wing most. The market is shedding downside protection ahead of Wednesday's events rather than unwinding upside exposure.

5. Expected move

ATM straddle (mid) to Oct 9: $8.54 (±1.12%; prior $10.22 to the same expiry), range 751.12–768.20. To the Oct 16 OPEX: $16.34 (±2.15%; prior $17.81), range 743.32–776.00. QQQ ATR(14) is $9.16 (1.21%). The weekly straddle prices ≈0.93 ATR over three sessions that include the FOMC minutes and the 10- and 30-year auctions — a quiet week is priced. The lower bound of the weekly range (751.12) sits just above the upper edge of the transitional gamma zone (750.99), so the whole expected weekly range lies in positive gamma. The lower edge of the monthly range (743.32) reaches into negative gamma (below 743.51).

6. Positioning & gamma (model)

Session volume was 7.47mn contracts (prior 7.91mn; calls 3.55mn, puts 3.92mn; put/call 1.10, prior 1.57); 0DTE accounted for 65.0% of volume (prior 64.0%). Open interest on live series (from Oct 7) is 11.94mn, +292,504 contracts (+2.51%) vs live series on Oct 5; on a like-for-like basis including the Oct 6 series (360,198 contracts still in the snapshot) the increase is +652,702 (+5.61%). Top-5 strikes by OI growth (like-for-like): calls 762 (+15,592), 770 (+11,390), 760 (+10,823), 765 (+9,655), 805 (+8,407); puts 749 (+64,142), 750 (+23,266), 745 (+18,861), 755 (+18,577), 738 (+13,852). Largest OI (live series): calls 760 (204,987), 800 (204,438), 775 (162,063); puts 670 (352,406), 700 (335,900), 680 (246,527). Modeled net GEX is +$5.75bn per 1% (prior +$4.48bn), zero gamma 747.25 (prior 744.98), call wall 760, put wall 725 (both unchanged). By expiry: Oct 7 +1.17, Oct 9 +0.94, Oct 16 +2.77, Oct 23 +0.25 ($bn); 59.1% of gross GEX rolls off by the Oct 16 OPEX. Grid: −1% → +2.17bn (prior +1.59), −2% → −1.10bn (prior −1.58); +1% → +7.20bn, +2% → +6.93bn. The positive-gamma cushion thickened again. QQQ closed right on the 760 call wall, and modeled GEX at +2% is lower than at +1% — the model points to dampened upside around 760–762. New put OI is again concentrated just below the market — 749 (+64,142), 750, 745, 755: protection is being bought at current levels. The volume put/call ratio fell to 1.10 as hedging flow eased with lower IV.

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 = 4.21%); IV held fixed across the ±5% grid; OI as published by Cboe at the post-close snapshot (Oct 7, 04:54); per-strike OI growth is total strike OI including the Oct 6 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 14.99 at the current VIX3M), then the regime moves to Calm.
• If VIX/VIX3M closes above 0.95 (VIX above 16.76), then the regime moves to Elevated.
• If QQQ closes below 750.99, then gamma becomes transitional; below 743.51 the negative-gamma modifier applies, with the 725 put wall as the next reference.
• If VIX9D moves above VIX (now 12.03 vs 15.01), 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 6 and Oct 5
3. Nasdaq.com — QQQ daily history (realized volatility, ATR)
4. Investrade weekly event calendar; Federal Reserve calendar; FinanceCalendar

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.