1. Key Metrics
| Metric | Close | Change | Prior |
|---|---|---|---|
| VIX9D | 15.60 | −1.05 | 16.65 |
| VIX | 16.91 | −0.61 | 17.52 |
| VIX3M | 19.22 | −0.35 | 19.57 |
| VXN | 23.78 | −1.13 | 24.91 |
| VIX / VIX3M | 0.880 | −0.015 | 0.895 |
| SKEW | 148.74 | −0.48 | 149.22 |
VX futures: n/a (settlements not collected). 252-session percentile: VIX 47.2%.
2. Expected move & skew index
Weekly expected move (to 30 October): ±1.49% (ATM straddle / spot; prior ±1.91%). Skew index (30D): 27.8 (prior 27.6). 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 23.98% and RV20 19.66%.
4. Positioning & gamma (model)
QQQ is −0.22% 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 18.26 (VIX/VIX3M at or above 0.95 at the current VIX3M of 19.22), the regime moves to Tense.
- If VIX closes below 16.34 (VIX/VIX3M under 0.85), the regime moves to Calm.
- If VIX9D/VIX closes above 1 (it closed at 0.923), the event modifier applies.
- If QQQ closes more than 0.50% below the model zero-gamma level of 727.21 (below 723.57), the negative-gamma modifier applies; above 730.85, the positive-gamma modifier applies.
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