1. Key Metrics
| Metric | Close | Change | Prior |
|---|---|---|---|
| VIX9D | 16.27 | −1.66 | 17.93 |
| VIX | 17.31 | −1.13 | 18.44 |
| VIX3M | 18.99 | −0.61 | 19.60 |
| VXN | 25.22 | −0.34 | 25.56 |
| VIX / VIX3M | 0.912 | ||
| SKEW | 160.40 | −1.46 | 161.86 |
VX futures: n/a (settlements not collected). 252-session percentile: VIX 54.4%.
2. Expected move & skew index
Weekly expected move (to 23 October): ±1.76% (ATM straddle / spot). Skew index (30D): 29.5 (prior 32.5). 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 17.79% and RV20 15.44%.
4. Positioning & gamma (model)
QQQ is −2.15% 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 18.04 (VIX/VIX3M above 0.95 at the current VIX3M of 18.99), the regime moves to Tense.
- If VIX closes below 16.14 (VIX/VIX3M under 0.85), the regime moves to Calm.
- If VIX9D/VIX closes above 1, the event modifier applies.
- If QQQ closes above 729.73 (within 0.50% of the model zero-gamma level of 733.40), 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