1. Key Metrics
| Metric | Close | Change | Prior |
|---|---|---|---|
| VIX9D | 18.86 | +3.37 | 15.49 |
| VIX | 19.03 | +2.35 | 16.68 |
| VIX3M | 20.12 | +1.40 | 18.72 |
| VXN | 28.72 | +4.30 | 24.42 |
| VIX / VIX3M | 0.946 | ||
| SKEW | 152.39 | +2.03 | 150.36 |
VX futures: n/a (settlements not collected). 252-session percentile: VIX 75.4%.
2. Expected move & skew index
Weekly expected move (to 23 October): ±1.44% (ATM straddle / spot). Skew index (30D): 29.3 (prior 26.9). 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 22.85% and RV20 18.69%.
4. Positioning & gamma (model)
QQQ is −3.71% 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 19.11 (VIX/VIX3M above 0.95 at the current VIX3M of 20.12), the regime moves to Tense.
- If VIX closes below 17.10 (VIX/VIX3M under 0.85), the regime moves to Calm.
- If VIX9D/VIX closes above 1 (it closed at 0.991), the event modifier applies.
- If QQQ closes above 727.95 (within 0.50% of the model zero-gamma level of 731.61), 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