1. Key Metrics
| Metric | Close | Change | Prior |
|---|---|---|---|
| VIX9D | 22.46 | +3.21 | 19.25 |
| VIX | 21.15 | +1.73 | 19.42 |
| VIX3M | 21.60 | +0.82 | 20.78 |
| VXN | 30.89 | +2.39 | 28.50 |
| VIX / VIX3M | 0.979 | +0.044 | 0.935 |
| SKEW | 152.78 | +3.02 | 149.76 |
VX futures: n/a (settlements not collected). 252-session percentile: VIX 85.7%.
2. Expected move & skew index
Weekly expected move (to 6 November): ±3.30% (ATM straddle / spot; prior ±3.20%). Skew index (30D): 27.7 (prior 28.8). 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 27.12% and RV20 22.56%.
4. Positioning & gamma (model)
QQQ closed 4.92% below the model zero-gamma level of 716.34 (prior 725.68); 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 below 20.52 (VIX/VIX3M under 0.95 at the current VIX3M of 21.60), the regime returns to Normal.
- If VIX closes above 21.60 (VIX/VIX3M above 1), the regime moves to Stress.
- If VIX9D/VIX closes at or below 1 (it closed at 1.062), the event modifier is removed.
- If QQQ closes above 712.76 (within 0.50% of the model zero-gamma level of 716.34), the negative-gamma modifier is removed; above 719.92, 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