1. Key Metrics
| Metric | Close | Change | Prior |
|---|---|---|---|
| VIX9D | 19.25 | +3.38 | 15.87 |
| VIX | 19.42 | +2.22 | 17.20 |
| VIX3M | 20.78 | +1.41 | 19.37 |
| VXN | 28.50 | +3.32 | 25.18 |
| VIX / VIX3M | 0.935 | +0.047 | 0.888 |
| SKEW | 149.76 | −1.27 | 151.03 |
VX futures: n/a (settlements not collected). 252-session percentile: VIX 77.4%.
2. Expected move & skew index
Weekly expected move (to 6 November): ±3.20% (ATM straddle / spot; prior ±1.50% to 30 October). Skew index (30D): 28.8 (prior 30.4). 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 27.95% and RV20 22.85%.
4. Positioning & gamma (model)
QQQ closed 4.85% below the model zero-gamma level of 725.68 (prior 720.41); the negative-gamma modifier remained. Model dealer gamma: positive in calls, negative in puts. Not observed positions.
5. What Would Change the Regime
- If VIX closes at or above 19.74 (VIX/VIX3M at or above 0.95 at the current VIX3M of 20.78), the regime moves to Tense.
- If VIX closes below 17.66 (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 722.05 (within 0.50% of the model zero-gamma level of 725.68), the negative-gamma modifier is removed; above 729.31, 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