1. Key Metrics
| Metric | Close | Change | Prior |
|---|---|---|---|
| VIX9D | 27.18 | −5.48 | 32.66 |
| VIX | 25.64 | −2.54 | 28.18 |
| VIX3M | 24.60 | −0.95 | 25.55 |
| VXN | 34.02 | −4.24 | 38.26 |
| VIX / VIX3M | 1.042 | −0.061 | 1.103 |
| SKEW | 153.55 | +4.18 | 149.37 |
VX futures: n/a (settlements not collected). 252-session percentile: VIX 94.8%.
2. Expected move & skew index
Weekly expected move (to 13 November): ±3.86% (ATM straddle / spot; prior ±2.45% to 6 November). Skew index (30D): 33.8 (prior 34.1). Both own calculations. Daily method: ATM call mid + put mid nearest the official QQQ close, divided by close 656.10; Cboe delayed quotes around 16:10–16:12 ET, 6 Nov. Own calculation to the weekly expiry; not a forecast. Raw implied-volatility grids and option walls stay off the public page; relative surface (ATM = 100) lives in Vol Lab.
3. Realized volatility
RV10 41.93% and RV20 32.69%. 30-day implied volatility (30.03%) closed below 20-day realized volatility, so the IV below realized volatility modifier applied.
4. Positioning & gamma (model)
QQQ closed 5.29% below the model zero-gamma level of 692.72 (prior 705.23); 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 at or below 24.60 (VIX/VIX3M at or under 1.00 at the current VIX3M of 24.60), the regime leaves Stress for Tense.
- If VIX closes below 23.37 (VIX/VIX3M under 0.95), the regime moves to Normal.
- If VIX9D/VIX closes at or below 1 (it closed at 1.060), the event modifier is removed.
- If QQQ closes above 689.26 (within 0.50% of the model zero-gamma level of 692.72), the negative-gamma modifier is removed; above 696.18, the positive-gamma modifier applies.
- If IV30 rises to or above RV20 (32.69%), the IV below realized volatility modifier is removed.