1. Key Metrics
| Metric | Close | Change | Prior |
|---|---|---|---|
| VIX9D | 15.19 | −6.77 | 21.96 |
| VIX | 16.61 | −4.22 | 20.83 |
| VIX3M | 18.80 | −2.47 | 21.27 |
| VXN | 25.08 | −5.45 | 30.53 |
| VIX / VIX3M | 0.884 | −0.095 | 0.979 |
| SKEW | 150.90 | +0.89 | 150.01 |
VX futures: n/a (settlements not collected). 252-session percentile: VIX 41.7%.
2. Expected move & skew index
Weekly expected move (to 6 November): ±1.67% (ATM straddle / spot; prior ±3.02%). Skew index (30D): 24.3 (prior 24.8). 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 27.55% and RV20 23.25%. 30-day implied volatility (22.80%) closed below 20-day realized volatility, so the cheap-premium modifier applied.
4. Positioning & gamma (model)
QQQ closed 2.28% below the model zero-gamma level of 708.11 (prior 718.23); 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 15.98 (VIX/VIX3M under 0.85 at the current VIX3M of 18.80), the regime moves to Calm.
- If VIX closes above 17.86 (VIX/VIX3M above 0.95), the regime returns to Tense.
- If VIX9D/VIX closes above 1 (it closed at 0.915), the event modifier applies again.
- If QQQ closes above 704.57 (within 0.50% of the model zero-gamma level of 708.11), the negative-gamma modifier is removed; above 711.65, the positive-gamma modifier applies.