1. Key Metrics
| Metric | Close | Change | Prior |
|---|---|---|---|
| VIX9D | 11.68 | +0.42 | 11.26 |
| VIX | 15.21 | +0.37 | 14.84 |
| VIX3M | 17.93 | +0.16 | 17.77 |
| VXN | 20.84 | +0.29 | 20.55 |
| VIX9D / VIX | 0.768 | +0.009 | 0.759 |
| VIX / VIX3M | 0.848 | +0.013 | 0.835 |
| CBOE SKEW | 155.06 | +0.72 | 154.34 |
| QQQ IV30 ATM | 18.34% | +0.33 | 18.01% |
| VRP (IV30 − RV20) | +3.10 | +0.42 | +2.68 |
VX futures settlement: n/a (not collected in this run). 252-session percentile: VIX 14.7%, VXN 19.0%.
2. Term structure
QQQ ATM IV: Oct 13 13.70%, Oct 14 16.63%, Oct 16 (monthly OPEX) 17.00%, Oct 19 14.57%, Nov 13 (~30 DTE) 18.34%, Dec 18 19.43%, Jan 15 19.66%. Expiries spanning the CPI week form a local event hump; beyond it, the curve resumes a normal upward slope.
3. Implied vs. realized
IV30 of 18.34% compares with RV10 of 11.41% and RV20 of 15.24%: realized volatility is declining while implied is rising, so the premium has widened and remains rich.
4. QQQ surface & skew
Skew index (~30 DTE, own calculations): +5.16 vol points, versus +4.53 on Friday. The market is paying for the week's events and for Put protection: skew is higher than on Friday. The comparison with October 9 is approximate, as the reference expiry was then November 6.
5. Expected move
Expected move to the October 16 expiration (own calculations): ±1.43%, range 735.38–756.70, versus ±1.62% on Friday — roughly 1.2 daily ATRs over four sessions that include CPI.
6. Positioning & gamma (model)
0DTE share of QQQ option turnover: 64.8% (own calculations). Day-over-day change in aggregate open interest: n/a (no comparable October 9 base).
Model: net GEX −$1.75 billion per 1% (prior +$0.84 billion); zero gamma 749.40 (prior 749.74), QQQ 0.45% below. Assumption: dealers long Calls / short Puts versus clients; Black–Scholes gamma, r = 4.25%, expiries ≤ 90 DTE, aggregated across the chain. Own calculations; a model, not observed positions.
7. What Would Change the Regime
- VIX close above 15.24 (VIX/VIX3M > 0.85) → Normal.
- VIX/VIX3M above 0.95 (VIX above 17.03) → Tense.
- QQQ close below 745.65 (model) → negative-gamma modifier; above 753.15 → positive gamma.
- VIX9D/VIX above 1 → event modifier.
Sources
Cboe historical index CSVs (Oct 12 close); QQQ options metrics: own calculations (post-close, Oct 12); Nasdaq.com daily history.