1. Key Metrics
| Metric | Close | Change | Prior |
|---|---|---|---|
| VIX9D | 17.93 | −2.19 | 20.12 |
| VIX | 18.44 | −1.55 | 19.99 |
| VIX3M | 19.60 | −0.90 | 20.50 |
| VXN | 25.56 | −1.57 | 27.13 |
| VIX / VIX3M | 0.941 | ||
| SKEW | 161.86 | −6.73 | 168.59 |
VX futures: n/a (settlements not collected). 252-session percentile: VIX 68.3%.
2. Expected move & skew index
Weekly expected move (to 23 October): ±2.01% (ATM straddle / spot). Skew index (30D): 32.5 (prior 36.7). Both own calculations. Raw implied-volatility grids and option walls stay off the public page; relative surface (ATM = 100) lives in Vol Lab.
3. Realized volatility
RV10 18.41% and RV20 15.85%.
4. Positioning & gamma (model)
QQQ is −1.99% 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 18.62 (VIX/VIX3M above 0.95 at the current VIX3M of 19.60), the regime moves to Tense.
- If VIX closes below 16.66 (VIX/VIX3M under 0.85), the regime moves to Calm.
- If VIX9D/VIX closes above 1, the event modifier applies again.
- If QQQ closes above 729.28 (within 0.50% of the model zero-gamma level of 732.94), 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