Volatility and Options

1. Key Metrics

2. Term structure

Moves were small and mixed: VIX9D −0.25 (−2.1%), VIX +0.07 (+0.5%), VIX3M +0.08 (+0.5%), VXN −0.15 (−0.7%). VIX9D/VIX fell to 0.781 (prior 0.801); VIX/VIX3M was unchanged at 0.851 (0.8510 exact). October VX settled 0.253 higher at 17.334 and November 0.008 higher at 17.646, so M1 − spot widened to 2.25 while M2 − M1 narrowed to 0.31. VXN − VIX was 5.92 pts (prior 6.14). 252-session percentile: VIX 11.5 (prior 10.7), VXN 21.0 (prior 22.2); rank VIX 9.2, VXN 23.3. CBOE SKEW (SPX) 141.84 (+0.63). Read: the first down day after the records did not lift the front of the curve — VIX9D fell, and the 9-day/30-day ratio is the lowest of the week, so no event premium is priced for the 30-year auction or Friday's expiration. The firmer October future and the flatter M1–M2 spread show some demand for protection into the October VIX expiration rather than in spot. A VIX close below 15.06 at the current VIX3M would move the regime to Calm.

3. Implied vs. realized

QQQ IV30 is 18.54% (−0.09; variance-interpolated between Nov 6 and Nov 13; Cboe cross-check 18.32%) against realized vol of 9.38% (10d, prior 10.59%) and 15.11% (20d, prior 15.12%), a VRP of +3.43 pts (prior +3.51). The IV30 − RV10 gap widened to 9.16 pts (prior 8.04). IV rank/percentile on our own IV30 history is n/a (eight observations); the VXN proxy stands at a 252-session percentile of 21.0 and a rank of 23.3. Realized volatility keeps falling — a 0.25% decline after three records is a small move — while 30-day implied barely moved, so premium over short-dated realized widened again. Options price roughly 9 pts more than the market has realized over ten sessions.

4. QQQ surface & skew

ATM IV by expiry: Oct 8 14.04% (1 DTE), Oct 9 15.52% → 14.83%, Oct 16 16.27% → 15.86%, Nov 6 18.69% → 18.54% (~30 DTE), Nov 30 19.02% → 18.82%, Dec 31 19.88% → 19.76%. On Nov 6: 25Δ put 21.01% (−0.07), 25Δ call 16.84% (−0.42), skew +4.17 pts (+0.35), RR25 −4.17 pts; wings 10Δ put 24.65% (−0.09), 10Δ call 16.22% (−0.61). The front again cheapened most (−0.69 pts on Oct 9, −0.41 on Oct 16 vs −0.12 on December). This time the call wing led the decline while puts held: the 10Δ call lost 0.61 pts and the 10Δ put only 0.09. With the record streak broken, upside demand was unwound, while downside protection kept its price — skew steepened back above 4 pts.

5. Expected move

ATM straddle (mid) to Oct 9: $6.64 (±0.88%; prior $8.54 to the same expiry), range 751.09–764.37. To the Oct 16 OPEX: $15.07 (±1.99%; prior $16.34), range 742.66–772.80. QQQ ATR(14) is $9.07 (1.20%). The weekly straddle prices ≈0.73 ATR over two sessions that include jobless claims, the 30-year auction and the University of Michigan survey. Unlike on Tuesday, the lower half of the weekly range is no longer in positive gamma: 751.09 sits below zero gamma (753.30) and only 1.6 points above the negative-gamma threshold (749.53).

6. Positioning & gamma (model)

Session volume was 6.94mn contracts (prior 7.47mn; calls 3.14mn, puts 3.80mn; put/call 1.21, prior 1.10); 0DTE accounted for 64.9% of volume (prior 65.0%). Open interest on live series (from Oct 8) is 12.18mn, +246,988 contracts (+2.07%) vs live series on Oct 6; on a like-for-like basis including the Oct 7 series (346,016 contracts still in the snapshot) the increase is +593,004 (+4.97%). Top-5 strikes by OI growth: n/a — the Oct 6 per-strike base included the expired Oct 6 series without a per-series split; a clean live-series base is stored for the next issue. Largest OI (live series): calls 800 (202,436), 760 (201,665), 775 (154,585); puts 700 (388,692; Oct 6: 335,900 including the Oct 7 series), 670 (345,854), 680 (251,401). Modeled net GEX is +$2.17bn per 1% (prior +$5.75bn), zero gamma 753.30 (prior 747.25), call wall 760 (unchanged), put wall 700 (prior 725). By expiry: Oct 8 −1.07, Oct 9 +0.33, Oct 16 +2.65, Oct 23 +0.22 ($bn); 61.0% of gross GEX rolls off by the Oct 16 OPEX. Grid: −1% → −1.21bn (prior +2.17), −2% → −3.39bn (prior −1.10); +1% → +5.87bn, +2% → +7.39bn. The positive-gamma cushion has largely gone: Tuesday a 1% decline left GEX positive, now it turns negative. The 0DTE Oct 8 series carries −$1.07bn and expires today — on the model, all else equal, net GEX rises after it rolls off. Put OI at 700 kept building, and the put wall moved there from 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 = 4.22%); IV held fixed across the ±5% grid; OI as published by Cboe at the post-close snapshot (Oct 8, 03:56). These are estimates, not observed positions.

7. What Would Change the Regime

• If VIX/VIX3M closes below 0.85 (VIX below 15.06 at the current VIX3M), then the regime moves to Calm.
• If VIX/VIX3M closes above 0.95 (VIX above 16.83), then the regime moves to Elevated.
• If QQQ closes below 757.07, then gamma becomes transitional; below 749.53 the negative-gamma modifier applies, with the 700 put wall as the next reference.
• If VIX9D moves above VIX (now 11.78 vs 15.08), then the event modifier applies; the next events are the 30-year auction on Oct 8 and the September CPI on Oct 14.

Sources

1. Cboe — volatility indices (historical CSV), QQQ delayed option chain (post-close snapshot)
2. Cboe Futures Exchange — VX daily settlement, Oct 7 and Oct 6
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.