1. Key Metrics
| Metric | Close | Change | Prior |
|---|---|---|---|
| VIX9D | 15.87 | +0.27 | 15.60 |
| VIX | 17.20 | +0.29 | 16.91 |
| VIX3M | 19.37 | +0.15 | 19.22 |
| VXN | 25.18 | +1.40 | 23.78 |
| VIX / VIX3M | 0.888 | +0.008 | 0.880 |
| SKEW | 151.03 | +2.29 | 148.74 |
VX futures: n/a (settlements not collected). 252-session percentile: VIX 51.6%.
2. Expected move & skew index
Weekly expected move (to 30 October): ±1.50% (ATM straddle / spot; prior ±1.49%). Skew index (30D): 30.4 (prior 27.8). 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 24.97% and RV20 20.14%.
4. Positioning & gamma (model)
QQQ closed 0.70% below the model zero-gamma level of 720.41 (prior 727.21); the negative-gamma modifier returned. Model assumption: dealers are long calls and short puts against clients, so call gamma counts as positive and put gamma as negative. Dealer positions are not observed.
5. What Would Change the Regime
- If VIX closes at or above 18.40 (VIX/VIX3M at or above 0.95 at the current VIX3M of 19.37), the regime moves to Tense.
- If VIX closes below 16.46 (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 above 716.81 (within 0.50% of the model zero-gamma level of 720.41), the negative-gamma modifier is removed; above 724.01, 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