Volatility Regime
Volatility regime is context for everything: it sets how much premium costs and how big moves get. Current read: normal.
Term structure
| Tenor | Level | As of |
|---|---|---|
| 9-day (0DTE-relevant) | 17.21 | 2026-09-15 |
| 30-day (headline VIX) | 17.20 | 2026-09-15 |
| 3-month | 19.36 | 2026-09-15 |
Term-structure slope (9-day − 30-day): +0.01 → flat.
The 9-day index is the most relevant for same-day risk; when it sits above the 30-day (backwardation), the market expects bigger near-term swings.
What we've learned (backtested)
One regime signal has held up in testing: when VIX is above 35, a long S&P 500 position won ~98% of the time at a 63-day horizon (63 historical samples). Extreme fear has paid to lean into — historically. Not advice; a backtested observation.
Source: public volatility-index data, reconciled. See methodology.