1. Key Metrics
| Metric | Close | Change | Prior |
|---|---|---|---|
| VIX9D | 17.92 | −0.78 | 18.70 |
| VIX | 18.39 | −1.06 | 19.45 |
| VIX3M | 19.94 | −0.54 | 20.48 |
| VXN | 26.40 | −1.90 | 28.30 |
| VIX / VIX3M | 0.922 | −0.028 | 0.950 |
| SKEW | 150.97 | −0.83 | 151.80 |
VX futures: n/a (settlements not collected). 252-session percentile: VIX 66.3%.
2. Expected move & skew index
Weekly expected move (to 30 October): ±2.32% (ATM straddle / spot). Skew index (30D): 29.3 (prior 31.4). 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 23.96% and RV20 18.89%.
4. Positioning & gamma (model)
QQQ is −2.43% 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 at or above 18.94 (VIX/VIX3M at or above 0.95 at the current VIX3M of 19.94), the regime moves to Tense.
- If VIX closes below 16.95 (VIX/VIX3M under 0.85), the regime moves to Calm.
- If VIX9D/VIX closes above 1 (it closed at 0.974), the event modifier applies.
- If QQQ closes above 726.28 (within 0.50% of the model zero-gamma level of 729.93), 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