1. Key Metrics
| Metric | Close | Change | Prior |
|---|---|---|---|
| VIX9D | 15.49 | −0.78 | 16.27 |
| VIX | 16.68 | −0.63 | 17.31 |
| VIX3M | 18.72 | −0.27 | 18.99 |
| VXN | 24.42 | −0.80 | 25.22 |
| VIX / VIX3M | 0.891 | ||
| SKEW | 150.36 | −10.04 | 160.40 |
VX futures: n/a (settlements not collected). 252-session percentile: VIX 42.5%.
2. Expected move & skew index
Weekly expected move (to 23 October): ±1.36% (ATM straddle / spot). Skew index (30D): 26.9 (prior 29.5). 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 19.55% and RV20 15.86%.
4. Positioning & gamma (model)
QQQ is −0.68% 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 17.78 (VIX/VIX3M above 0.95 at the current VIX3M of 18.72), the regime moves to Tense.
- If VIX closes below 15.91 (VIX/VIX3M under 0.85), the regime moves to Calm.
- If VIX9D/VIX closes above 1, the event modifier applies.
- If QQQ closes above 726.54 (within 0.50% of the model zero-gamma level of 730.19), 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