Volatility and Options

1. Key Metrics

2. Term structure

Every volatility index rose, Nasdaq most: VIX9D +0.43 (+3.7%), VIX +0.33 (+2.2%), VIX3M +0.36 (+2.0%), VXN +0.98 (+4.7%). VIX9D/VIX rose to 0.792 (prior 0.781); VIX/VIX3M to 0.852 (0.8523 exact). October VX settled 0.290 higher at 17.624 and November 0.362 higher at 18.008, so M1 − spot was 2.21 (prior 2.25) and M2 − M1 0.38 (prior 0.31). VXN − VIX widened to 6.57 pts from 5.92. 252-session percentile: VIX 17.1 (prior 11.5), VXN 31.7 (prior 21.0); rank VIX 11.0, VXN 29.3. CBOE SKEW (SPX) jumped 7.35 to 149.19. Read: the mega-cap sell-off lifted levels, not the shape of the curve — VIX9D/VIX stayed at 0.792, with no event premium. Risk was repriced in Nasdaq volatility rather than in the broad index, while the SKEW jump shows demand for S&P 500 tail protection even with VIX calm. A VIX close below 15.37 at the current VIX3M would move the regime to Calm; above 17.18, to Elevated.

3. Implied vs. realized

QQQ IV30 is 19.19% (+0.65; variance-interpolated between Nov 6 and Nov 13; Cboe cross-check 19.00%) against realized vol of 12.27% (10d, prior 9.38%) and 15.47% (20d, prior 15.11%), a VRP of +3.72 pts (prior +3.43). The IV30 − RV10 gap narrowed to 6.92 pts from 9.16. IV rank/percentile on our own IV30 history is n/a (nine observations); the VXN proxy stands at a 252-session percentile of 31.7 and a rank of 29.3. The 1.34% decline lifted ten-day realized by almost 3 points; implied rose less, so the cushion over short-dated realized shrank, while the premium over 20-day realized widened — options remain rich relative to realized.

4. QQQ surface & skew

ATM IV by expiry: Oct 9 14.83% → 17.83% (1 DTE), Oct 16 15.86% → 16.84%, Nov 6 18.54% → 19.17% (~30 DTE), Nov 30 18.82% → 19.18%, Dec 31 19.76% → 19.99%. On Nov 6: 25Δ put 21.99% (+0.98), 25Δ call 17.08% (+0.24), skew +4.91 pts (+0.74), RR25 −4.91 pts; wings 10Δ put 25.83% (+1.18), 10Δ call 16.31% (+0.09). The front repriced most (+3.00 pts on Oct 9, +0.98 on Oct 16 vs +0.23 on December), and the short end inverted: the 1-DTE Oct 9 expiry trades above the Oct 16 OPEX. The skew move came from the put wing. A day earlier the market was unwinding upside protection; this session it bought downside protection. The 1-DTE inversion prices Friday (University of Michigan survey, expiration) after a 1.34% move rather than stress across the curve — 30- to 90-day tenors rose only 0.23–0.63 pts.

5. Expected move

ATM straddle (mid) to Oct 9: $5.58 (±0.75%; $6.64 to the same expiry a day earlier), range 742.00–753.16. To the Oct 16 OPEX: $14.88 (±1.99%; prior $15.07), range 732.70–762.46. QQQ ATR(14) is $9.46 (1.26%); the weekly straddle prices 0.59 ATR for one session. The whole weekly range sits in transitional and negative gamma: its top (753.16) is below the positive-gamma threshold (753.84) and its bottom (742.00) is below the negative-gamma threshold (746.34). The monthly range reaches almost to the all-time high of 762.86.

6. Positioning & gamma (model)

Session volume was 10.80mn contracts (prior 6.94mn; calls 5.29mn, puts 5.50mn; put/call 1.04, prior 1.21); 0DTE accounted for 66.5% of volume (prior 64.9%). Open interest on live series (from Oct 9) is 12.24mn; on a like-for-like basis (series from Oct 8 in both snapshots; the Oct 8 series still carries 320,929 contracts) OI rose 378,093 contracts (+3.10%). Top-5 strikes by OI growth: calls 760 (+10,952), 765 (+8,798), 758 (+8,023), 762 (+7,483), 770 (+7,110); puts 730 (+28,806), 680 (+17,235), 750 (+17,228), 715 (+15,804), 740 (+11,731). Largest OI (live series): calls 760 (206,785), 800 (205,519), 770 (149,196); puts 700 (385,158), 670 (342,595), 680 (267,393). Modeled net GEX is −$1.39bn per 1% (prior +$2.17bn), zero gamma 750.09 (prior 753.30), call wall 760 and put wall 700 (both unchanged). By expiry: Oct 9 −0.96, Oct 12 −0.59, Oct 13 −0.44, Oct 16 +1.32 ($bn); 59.0% of gross GEX rolls off by the Oct 16 OPEX. Grid: −1% → −4.64bn, −2% → −6.78bn; +1% → +2.99bn, +2% → +6.35bn. With price within ±0.5% of zero gamma, gamma is transitional under our scale; the negative-gamma modifier applies on a close below 746.34. Put building at 730, 750 and 715 alongside the higher skew points to new protection demand rather than position closing; only the Oct 16 OPEX still contributes positive gamma.

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 = 4.23%); IV held fixed across the ±5% grid; OI as published by Cboe at the post-close snapshot (Oct 9, 04:59). These are estimates, not observed positions.

7. What Would Change the Regime

• If VIX/VIX3M closes below 0.85 (VIX below 15.37 at the current VIX3M), then the regime moves to Calm.
• If VIX/VIX3M closes above 0.95 (VIX above 17.18), then the regime moves to Elevated.
• If QQQ closes below 746.34, then the negative-gamma modifier applies; above 753.84 gamma turns positive again.
• If VIX9D moves above VIX (now 12.21 vs 15.41), then the event modifier applies; the next major event is the September CPI on Oct 14.

Sources

1. Cboe — volatility indices (historical CSV), QQQ delayed option chain (post-close snapshot, Oct 9 04:59)
2. Cboe Futures Exchange — VX daily settlement, Oct 8 and Oct 7
3. Nasdaq.com — QQQ daily history (realized volatility, ATR)
4. Federal Reserve calendar; LiteFinance and FedRateCalc economic calendars

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.