1. Key Metrics
| Metric | Close | Change | Prior |
|---|---|---|---|
| VIX9D | 32.66 | +17.47 | 15.19 |
| VIX | 28.18 | +11.57 | 16.61 |
| VIX3M | 25.55 | +6.75 | 18.80 |
| VXN | 38.26 | +13.18 | 25.08 |
| VIX / VIX3M | 1.103 | +0.219 | 0.884 |
| SKEW | 149.37 | −1.53 | 150.90 |
VX futures: n/a (settlements not collected). 252-session percentile: VIX 98.4%.
2. Expected move & skew index
Weekly expected move (to 6 November): ±2.45% (ATM straddle / spot; prior ±1.67%). Skew index (30D): 34.1 (prior 24.3). 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 40.53% and RV20 32.09%. 30-day implied volatility (34.21%) closed above 20-day realized volatility, so the rich-premium modifier applied.
4. Positioning & gamma (model)
QQQ closed 8.25% below the model zero-gamma level of 705.23 (prior 708.11); 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 26.83 (VIX/VIX3M at or under 1.05 at the current VIX3M of 25.55), the regime leaves Stress for Tense.
- If VIX closes below 24.27 (VIX/VIX3M under 0.95), the regime moves to Normal.
- If VIX9D/VIX closes at or below 1 (it closed at 1.159), the event modifier is removed.
- If QQQ closes above 701.70 (within 0.50% of the model zero-gamma level of 705.23), the negative-gamma modifier is removed; above 708.76, the positive-gamma modifier applies.
- If IV30 falls below RV20 (32.09%), the rich-premium modifier is removed.