1. Key Metrics
| Metric | Close | Change | Prior |
|---|---|---|---|
| VIX9D | 11.99 | +0.31 | 11.68 |
| VIX | 15.27 | +0.06 | 15.21 |
| VIX3M | 17.96 | +0.03 | 17.93 |
| VXN | 21.14 | +0.30 | 20.84 |
| VIX9D / VIX | 0.785 | +0.017 | 0.768 |
| VIX / VIX3M | 0.850 | +0.002 | 0.848 |
| CBOE SKEW | 154.74 | −0.32 | 155.06 |
| QQQ IV30 ATM | 18.62% | +0.28 | 18.34% |
| VRP (IV30 − RV20) | +3.59 | +0.49 | +3.10 |
Source: Cboe (VIX, VIX9D, VIX3M, VXN, SKEW). QQQ figures — source: own calculations. Session of 2026-10-13. VX futures settlement: n/a (not collected in this run). 252-session percentile: VIX 15.5%, VXN 21.8%.
2. Term structure
QQQ ATM IV: Oct 14 20.94%, Oct 15 19.31%, Oct 16 18.82%, Oct 19 15.30%, Nov 13 (~30 DTE) 18.61%, Dec 18 19.58%, Jan 15 19.71%. The CPI expiry carried the event premium; beyond the week the curve resumed a normal upward slope.
3. Implied vs. realized
IV30 of 18.62% compared with RV10 of 11.63% and RV20 of 15.03%: implied volatility rose while realized was little changed, so the premium widened and remained rich.
4. QQQ surface & skew
Skew index (30D put-minus-call skew ÷ 30D ATM volatility × 100, own calculations): 29.4, versus 28.1 a session earlier. The market paid more for protection into CPI. The comparison is approximate: this issue derives implied volatility from session-close option prices.
5. Expected move
Expected move to the Oct 16 expiration (own calculations): ±1.36%, range 733.45–753.69, versus ±1.43% a session earlier; the narrowing mostly reflected one fewer session to expiry.
6. Positioning & gamma (model)
0DTE share of QQQ option turnover: n/a (session volumes not available in this run). Day-over-day change in aggregate open interest: n/a.
Model: net GEX −$1.12 billion per 1% (prior −$1.75 billion); zero gamma 745.43 (prior 749.40), QQQ 0.25% below. Sensitivity: −2% −9.18; −1% −6.13; +1% +4.19; +2% +7.70 billion. Assumption: dealers long Calls / short Puts versus clients; Black–Scholes gamma, r = 4.25%, expiries ≤ 90 DTE, aggregated. Own calculations; a model, not observed positions.
7. What Would Change the Regime
- VIX close below 15.27 (VIX/VIX3M < 0.85) → Calm.
- VIX/VIX3M above 0.95 (VIX above 17.06) → Tense.
- QQQ close below 741.70 (model) → negative-gamma modifier; above 749.16 → positive gamma.
- VIX9D/VIX above 1 → event modifier.
Sources
Source: Cboe — historical index series (Oct 13 close). QQQ options metrics — source: own calculations. Session of 2026-10-13. Nasdaq.com daily history.