1. Key Metrics
| Metric | Close | Change | Prior |
|---|---|---|---|
| VIX9D | 14.59 | +2.60 | 11.99 |
| VIX | 16.87 | +1.60 | 15.27 |
| VIX3M | 18.79 | +0.83 | 17.96 |
| VXN | 22.70 | +1.56 | 21.14 |
| VIX / VIX3M | 0.898 | ||
| SKEW | 157.30 | +2.56 | 154.74 |
VX futures: n/a (VX futures settlement for 14.10 not collected) / n/a (VX futures settlement for 14.10 not collected). 252-session percentile: VIX n/a (value was not in data.json).
2. Expected move & skew index
Implied move to 16 Oct: ±1.35%. Skew index: 31.0. Raw implied-volatility grids and option walls stay off the public page; relative surface (ATM = 100) lives in Vol Lab.
3. Realized volatility
RV10 15.47% and RV20 17.02%.
4. Positioning & gamma (model)
QQQ is −1.43% versus the model zero-gamma level. Dealers long calls / short puts versus clients; call gamma positive, put gamma negative. Not observed positions.
5. What Would Change the Regime
- If VIX closes above 15.97, VIX/VIX3M moves through 0.85 and the regime leaves Calm when it was below.
- If VIX closes above 17.85, the regime is Tense or Stress.
- If VIX9D/VIX closes above 1, the event modifier applies.
- If QQQ closes more than 0.50% below the model zero-gamma level, the negative-gamma modifier applies.
Sources
- vol.SKEW: https://cdn.cboe.com/api/global/usindices/dailyprices/SKEW_History.csv
- vol.VIX: https://cdn.cboe.com/api/global/usindices/dailyprices/VIX_History.csv
- vol.VIX3M: https://cdn.cboe.com/api/global/usindices/dailyprices/VIX3M_History.csv
- vol.VIX9D: https://cdn.cboe.com/api/global/usindices/dailyprices/VIX9D_History.csv
- vol.VXN: https://cdn.cboe.com/api/global/usindices/dailyprices/VXN_History.csv