Volatility Regime
The volatility regime — VIX level, term structure and cross-asset vol — the market's price of risk.
- · VIX 15.99 at just the 42th 10y percentile
- · Steep contango (9D/3M 0.82) — vol sellers paid to wait
- · Net dealer gamma +$14.17bn per 1% — stabilising flows
- — Mean-reversion regime: fade moves to range extremes, breakouts have a high failure rate.
- — Dealers are LONG gamma (+$14.17bn/1%): they fade every move — expect pinning near big strikes.
- — Index premium selling and theta strategies have the wind at their back — until they don't: keep a tail hedge.
- — Complacency builds slowly; revisit when the 9D/3M ratio starts climbing.
The Vol Complex
Every liquid volatility index, with 5-session change and 1-year percentile — where risk is being priced, across assets
| Index | Measures | Level | 5d Δ | 1y percentile |
|---|---|---|---|---|
| VIX | S&P 500 30d | 15.99 | -2.59 | 24 |
| VIX9D | S&P 500 9d | 16.85 | +5.7 | 69 |
| VIX3M | S&P 500 3m | 20.54 | +1.97 | 64 |
| VVIX | Vol of VIX | 91.64 | -9.09 | 17 |
| SKEW | Tail-risk pricing | 141.23 | -6.05 | 19 |
| MOVE | Treasury vol | 70.88 | +1.33 | 42 |
| OVX | Crude oil vol | 63.04 | -4.96 | 73 |
| GVZ | Gold vol | 23.31 | -1.02 | 31 |
Rising vol is red, falling green — for vol indices, up usually means risk-off. Divergences matter: bond vol (MOVE) waking up while VIX sleeps has led equity stress repeatedly.
Term Structure
Steep contango · 9D/3M ratio 0.82
Upward slope (contango) = normal: near-term calm priced cheaper than the future. The curve INVERTING (9D above 3M) is the single most reliable “regime is breaking” tell in the vol space — it flips before most price signals.
Implied vs Realized
VIX 15.99 vs 21d realized 12.2 → premium +3.8 pts
Gold = what options PRICE, green = what the market actually DELIVERED. The gap is the variance risk premium — persistently positive (insurance costs money), and its extremes are signals: a huge gap means fear is overpaid; realized above implied means the market is under-hedged for what’s already happening.
S&P 500 Dealer Gamma (GEX)
Computed from the full Cboe SPX chain (OI × gamma, calls positive / puts negative, expiries ≤ 90d) — the order-flow map
When net gamma is POSITIVE, dealers sell rallies and buy dips to stay hedged — their flow suppresses movement and pins price near big strikes. When NEGATIVE, the same hedging chases price and moves accelerate. The flip level is where the tape changes character; crossing it intraday often marks the moment a quiet session turns violent.
What VIX Levels Have Meant
S&P 500 forward 21-session returns by VIX bucket, daily observations since 1990
| VIX bucket | Avg fwd 21d | Median | Win rate | n | Avg forward return |
|---|---|---|---|---|---|
| VIX < 15 | +0.65% | +1.02% | 65% | 2,947 | |
| 15–20NOW | +0.6% | +1.19% | 63% | 2,817 | |
| 20–25 | +0.44% | +1.13% | 60% | 1,826 | |
| 25–30 | +1.3% | +1.97% | 64% | 865 | |
| VIX ≥ 30 | +2.57% | +3.57% | 71% | 736 |
The famous asymmetry: high-VIX days have the BEST average forward returns (panic is bought) but the widest spread of outcomes. Low VIX earns less but far more reliably. Averages, not guarantees — the 2008 tail lives inside the VIX ≥ 30 bucket.
Motion analysis on any ticker
Realized vol stack + ATM implied + dealer gamma walls for any optionable name — AAPL, NVDA, TSLA, SPY, QQQ, IWM, GLD…
The 60-second version
Volatility is the market’s price of risk, and the regime matters more than the level. This page reads it three ways: what’s PRICED (the full vol complex — equity, bond, oil and gold vol with percentiles), what’s DELIVERED (realized vol and the variance risk premium), and what dealers are POSITIONED to do about it (net gamma exposure computed from the entire Cboe SPX option chain). That third leg is the order-flow layer: dealer hedging is the largest systematic flow in equities, and whether it fades moves or chases them decides whether today is a range day or a trend day.
The gamma layer — order flow as context
- Positive net gamma — dealers are long options; every uptick makes them sell, every downtick makes them buy. Their flow SUPPRESSES movement — breakouts fail, price pins near big strikes, mean-reversion tactics win. Most low-VIX days live here.
- Negative net gamma — dealers are short options; their hedging CHASES price, so moves accelerate in both directions. Breakouts are real, reversals are violent, momentum tactics win. Most crashes happen here.
- The flip level — the strike where cumulative dealer gamma crosses zero. Crossing it intraday is often the exact moment a quiet tape turns fast — worth marking on the chart before the open.
- Walls — the strikes carrying the most gamma. Call walls act as resistance/pin magnets in positive-gamma regimes; put walls are where downside hedging flow concentrates — support until they break, accelerant after.
Motion analysis on any ticker
The search box runs the identical playbook on any optionable name: realized vol at three horizons with a 2-year percentile, ATM implied vol against realized (are this name’s options rich or cheap?), the expected move to the nearest expiry priced by the ATM straddle, dealer gamma with call/put walls, and put/call flow — condensed into one verdict sentence. It answers the question TradingView can’t: not “what is the chart doing” but “who is positioned how, and which way does the tape want to move from here”.
Methodology & honesty
Vol indices are Cboe values via Yahoo with 1-year percentiles; realized vol is close-to-close log returns annualized (√252), which understates gap risk slightly versus intraday estimators. GEX uses the standard free approximation on Cboe’s 15-minute-delayed chains: open interest × gamma × spot² per 1% move, dealers assumed long calls and short puts (expiries ≤ 90 days, strikes within ±20% of spot). Dealers aren’t ALWAYS positioned that way — paid services estimate the sign from trade direction — so treat levels as a map, not gospel: the flip and the walls are robust; the precise dollar figure is an estimate. VIX-bucket forward returns are overlapping daily observations since 1990, so effective sample size is smaller than n suggests.
In the MTS framework
This is the contextual core of Motion: order flow telling you what kind of tape you’re in before you pick a trade. Regime sets tactics — positive gamma + contango says fade edges and sell premium; negative gamma + backwardation says trade momentum, half size, wide stops. Direction comes from the other Motion tools; THIS page decides how to trade whatever they pick.