1. Key Metrics
| Metric | Close | Change | Prior |
|---|---|---|---|
| VIX9D | 21.96 | −0.50 | 22.46 |
| VIX | 20.83 | −0.32 | 21.15 |
| VIX3M | 21.27 | −0.33 | 21.60 |
| VXN | 30.53 | −0.36 | 30.89 |
| VIX / VIX3M | 0.979 | 0.000 | 0.979 |
| SKEW | 150.01 | −2.77 | 152.78 |
VX futures: n/a (settlements not collected). 252-session percentile: VIX 84.5%.
2. Expected move & skew index
Weekly expected move (to 6 November): ±3.02% (ATM straddle / spot; prior ±3.30%). Skew index (30D): 24.8 (prior 27.7). 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 27.67% and RV20 22.66%.
4. Positioning & gamma (model)
QQQ closed 4.59% below the model zero-gamma level of 718.23 (prior 716.34); 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 20.21 (VIX/VIX3M under 0.95 at the current VIX3M of 21.27), the regime returns to Normal.
- If VIX closes above 21.27 (VIX/VIX3M above 1), the regime moves to Stress.
- If VIX9D/VIX closes at or below 1 (it closed at 1.054), the event modifier is removed.
- If QQQ closes above 714.64 (within 0.50% of the model zero-gamma level of 718.23), the negative-gamma modifier is removed; above 721.82, the positive-gamma modifier applies.