1. Key Metrics
| Metric | Close | Change | Prior |
|---|---|---|---|
| VIX9D | 19.88 | −7.30 | 27.18 |
| VIX | 19.92 | −5.72 | 25.64 |
| VIX3M | 20.85 | −3.75 | 24.60 |
| VXN | 28.97 | −5.05 | 34.02 |
| VIX9D / VIX | 0.998 | −0.062 | 1.060 |
| VIX / VIX3M | 0.955 | −0.087 | 1.042 |
| SKEW | 150.34 | −3.21 | 153.55 |
VX futures: n/a (settlements not collected). 252-session percentile: VIX 80.6%, VXN 89.3%.
2. Expected move & skew index
Weekly expected move (to 13 November): ±2.47% (ATM straddle / spot; range 662.60–696.11; prior ±3.86%). Skew index (30D): 29.9 (prior 33.8). Both own calculations. Daily method: ATM call mid + put mid nearest the official QQQ close, divided by close 679.35; Cboe delayed quotes around 16:12–16:14 ET, 9 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 46.29% and RV20 35.87%. 30-day implied volatility (24.89%) stayed below 20-day realized volatility, so the IV below realized volatility modifier applied.
4. Positioning & gamma (model)
QQQ closed 1.84% below the model zero-gamma level of 692.10 (prior 692.72); 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 above 20.85 (VIX/VIX3M above 1.00 at the current VIX3M of 20.85), the regime returns to Stress.
- If VIX closes below 19.81 (VIX/VIX3M under 0.95), the regime moves to Normal; below 17.72 (under 0.85), to Calm.
- If VIX9D/VIX closes above 1 (it closed at 0.998), the event modifier returns.
- If QQQ closes above 688.64 (within 0.50% of the model zero-gamma level of 692.10), the negative-gamma modifier is removed; above 695.56, the positive-gamma modifier applies.
- If IV30 rises to or above RV20 (35.87%), the IV below realized volatility modifier is removed.