1. Key Metrics
| Metric | Close | Change | Prior |
|---|---|---|---|
| VIX9D | 20.12 | +6.15 | 13.97 |
| VIX | 19.99 | +3.53 | 16.46 |
| VIX3M | 20.50 | +2.01 | 18.49 |
| VXN | 27.13 | +4.24 | 22.89 |
| VIX / VIX3M | 0.975 | ||
| SKEW | 168.59 | +8.14 | 160.45 |
VX futures: n/a (VX futures settlement for 16.10 not collected) / n/a (VX futures settlement for 16.10 not collected). 252-session percentile: VIX 81.7%.
2. Expected move & skew index
Weekly expected move (to 23 October): ±2.63%. Skew index: 36.7. Raw implied-volatility grids and option walls stay off the public page; relative surface (ATM = 100) lives in Vol Lab.
3. Realized volatility
RV10 17.63% and RV20 18.34%.
4. Positioning & gamma (model)
QQQ is −3.79% 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 below 19.48 (VIX/VIX3M under 0.95 at the current VIX3M of 20.50), the regime returns to Normal.
- If VIX closes above 20.50 (VIX/VIX3M above 1.00), the regime moves to Stress.
- If VIX9D/VIX closes back below 1, the event modifier is removed.
- If QQQ closes within 0.50% of the model zero-gamma level (734.08–741.46), the negative-gamma modifier is removed.
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