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On alert.
The VIX curve is in steep contango, and one tested stress signal is on: three or more asset classes have stretched volatility.
- The exception is US Treasuries. Its own violent-week signal is on (VXTLT at the 90th percentile). Open
- High-yield credit spreads are near their 1-year widest (98th percentile)
- The price of S&P crash protection is near its 1-year high (98th percentile)
- Gold volatility is near its 1-year low (13th percentile)
VIX16.87+1.60 today
Downside risk for the S&P 500What it measuresHow often a week in today's volatility state was followed by an S&P 500 fall of 2% or more, mapped to 0 to 100. It counts five tested stress signals; more signals, higher risk.How it was testedWalk-forward from 2000 to 2026: predicted odds matched what happened within about 1.5 points. It sizes risk. It does not call direction: the average next week stayed positive in every state.63of 100
CalmHigh
19.3% of past weeks like this fell 2% or more, against 13% in a typical week.
VIX direction next weekWhat it measuresHow often VIX finished the following week higher, from the tested state it is in today. Volatility, unlike price, has real direction signal: it mean-reverts.25of 100
Likely lowerLikely higher
VIX rose the following week 33% of the time in this state (after a >10% weekly spike).
VIX index family, todayVX futures, at their expiryIndex family on Mon 14 Sept
What to do today
- Reduce gross exposure across assets — this is a market-wide regime flag
- Defined-risk everywhere; assume cross-asset contagion
- In US Treasuries: cut size and turn naked options into spreads (VXTLT at the 90th percentile)
- Use as confirmation: if equity flags are also on, act on those with more conviction
- Tighten risk on duration-sensitive books (TLT, long-duration equity)
- Don't equate quiet with safe: keep tail hedges as a budgeted cost
- Single-asset complacency — with ≥3 tiles stretched, the tape moves together
- No standalone action — MOVE-high with equities calm predicted quiet, not danger
- Do not fade the first bounce (net ≈ 0 tested)
Every line comes from a backtested setup that is on today. See the evidence
Since Tue 13 Oct
- S&P 500 volatility: 16th → 46th percentile of its year
- Nasdaq 100 volatility: 22th → 44th percentile of its year
- Small-cap volatility: 24th → 39th percentile of its year
- The volatility of VIX: 6th → 43th percentile of its year
- S&P implied correlation: 35th → 48th percentile of its year
Every gauge, against its own year
Select a row to see its past year.
| Gauge | Level | 1 day | Where it sits in its year | Downside risk Downside risk of the underlyingThe tested 0 to 100 index for the market this gauge measures: S&P 500 (VIX), Treasuries (MOVE), oil (OVX) and gold (GVZ). Higher means big down weeks were historically more frequent in today's state. Blank where no model passed testing. | Rises next week How often this gauge rose the following weekMeasured over its own history from today's percentile zone (VIX uses its full tested state model). Volatility mean-reverts: gauges near their yearly high usually fall back, ones near their low usually bounce. | |||
|---|---|---|---|---|---|---|---|---|
| Equity | ||||||||
| VIXS&P 500 volatility | 16.87 | +10.5% | 46th | 63 | 33% | |||
| VXNNasdaq 100 volatility | 22.70 | +7.4% | 44th | – | 44% | |||
| RVXSmall-cap volatility | 21.69 | +6.2% | 39th | – | 41% | |||
| VXEFADeveloped ex-US volatility | 18.41 | +5.5% | 60th | – | 42% | |||
| VXEEMEmerging-market volatility | 24.46 | +6.0% | 39th | – | 46% | |||
| Rates and credit | ||||||||
| MOVETreasury volatility | 99.06 | −2.0% | 94th | 52 | 40% | |||
| HYOASHigh-yield credit spreads | 325bp | +2.9% | 98th | – | – | |||
| Commodities | ||||||||
| OVXOil volatility | 48.62 | −0.3% | 42nd | 9 | 39% | |||
| GVZGold volatility | 22.78 | +3.1% | 13th | 1 | 54% | |||
| Volatility of volatility and tails | ||||||||
| VVIXThe volatility of VIX | 94.45 | +10.6% | 43rd | – | 45% | |||
| SKEWThe price of S&P crash protection | 157.30 | +1.7% | 98th | – | 26% | |||
| Inside the S&P 500 | ||||||||
| DSPXS&P dispersion | 36.60 | −0.5% | 59th | – | – | |||
| COR3MS&P implied correlation | 12.80 | +9.3% | 48th | – | – | |||
Go deeper
Each market has its own terminal and its own tested signals.
VIX and the S&P 50016.87+1.60Futures curve, the full index family, and the 14-setup tested playbookDownside risk 63 of 100US Treasuries14.90+0.36VXTLT, 90th percentile of its yearDownside risk 52 of 100Crude Oil48.62−0.15OVX, 42nd percentile of its yearDownside risk 9 of 100Gold22.78+0.69GVZ, 13th percentile of its yearDownside risk 1 of 100