1. Key Metrics
| Metric | Close | Change | Prior |
|---|---|---|---|
| VIX9D | 13.97 | −0.62 | 14.59 |
| VIX | 16.46 | −0.41 | 16.87 |
| VIX3M | 18.49 | −0.30 | 18.79 |
| VXN | 22.89 | +0.19 | 22.70 |
| VIX9D / VIX | 0.849 | −0.016 | 0.865 |
| VIX / VIX3M | 0.890 | −0.008 | 0.898 |
| CBOE SKEW | 160.45 | +3.15 | 157.30 |
| QQQ IV30 ATM | 20.36% | +0.02 | 20.34% |
| VRP (IV30 − RV20) | +4.33 | +1.01 | +3.32 |
Source: Cboe (VIX, VIX9D, VIX3M, VXN, SKEW). QQQ figures — source: own calculations. Session of 2026-10-15. VX futures settlement: n/a (not collected in this run). 252-session percentile: VIX 39.3%, VXN 44.8%.
2. Term structure
QQQ ATM IV: Oct 16 22.28%, Oct 19 16.16%, Oct 20 17.03%, Oct 21 17.92%, Nov 13 (~30 DTE) 20.36%, Dec 18 20.59%, Jan 15 20.41%. The overnight expiry stood above the rest of the curve, which dipped in the following week and flattened near 20% beyond a month.
3. Implied vs. realized
IV30 of 20.36% compared with RV10 of 15.27% and RV20 of 16.03%: implied volatility held steady while realized edged lower, so the premium over RV20 widened and remained rich.
4. QQQ surface & skew
Skew index (30D put-minus-call skew ÷ 30D ATM volatility × 100, own calculations): 26.8, versus 31.0 a session earlier. Demand for downside protection relative to upside eased as the market recovered. The comparison is approximate: implied volatility is derived from session-close option prices.
5. Expected move
Expected move to the Oct 16 expiration (own calculations): ±0.93%, range 721.23–734.77, versus ±1.35% a session earlier; one session remained 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 −$5.73 billion per 1% (prior −$6.33 billion); zero gamma 734.92 (prior 739.52), QQQ 0.94% below. Sensitivity: −2% −13.02; −1% −10.75; +1% +0.63; +2% +5.99 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 15.72 (VIX/VIX3M < 0.85) → Calm.
- VIX/VIX3M above 0.95 (VIX above 17.57) → Tense.
- QQQ close above 731.25 (model) → gamma transitional; above 738.59 → positive gamma.
- VIX9D/VIX above 1 → event modifier.
Sources
Source: Cboe — historical index series (Oct 15 close). QQQ options metrics — source: own calculations. Session of 2026-10-15. Nasdaq.com daily history.