1. Key Metrics
| Metric | Close | Change | Prior |
|---|---|---|---|
| VIX9D | 16.65 | −1.27 | 17.92 |
| VIX | 17.52 | −0.87 | 18.39 |
| VIX3M | 19.57 | −0.37 | 19.94 |
| VXN | 24.91 | −1.49 | 26.40 |
| VIX / VIX3M | 0.895 | −0.027 | 0.922 |
| SKEW | 149.22 | −1.75 | 150.97 |
VX futures: n/a (settlements not collected). 252-session percentile: VIX 56.7%.
2. Expected move & skew index
Weekly expected move (to 30 October): ±1.91% (ATM straddle / spot; prior ±2.32%). Skew index (30D): 27.6 (prior 29.3). 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 25.49% and RV20 19.53%.
4. Positioning & gamma (model)
QQQ is −0.93% 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 18.59 (VIX/VIX3M at or above 0.95 at the current VIX3M of 19.57), the regime moves to Tense.
- If VIX closes below 16.63 (VIX/VIX3M under 0.85), the regime moves to Calm.
- If VIX9D/VIX closes above 1 (it closed at 0.950), the event modifier applies.
- If QQQ closes above 724.36 (within 0.50% of the model zero-gamma level of 728.00), 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