SPY

$754.37NEUTRAL

spot: 2026/11/15 05:12:44 UTC

analytics: 2026/11/15 16:41:27 UTC

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Volatility Regime

Macro VCG—— · vcg = —

No dealer regime data yet.

VRP

-0.07

CHEAP

IV (ATM)

15.3%

RV

22.0%

IV Rank

27

1y rank 27

IV %ile 30d

64

Implied Move 30d

3.0%

IV 52w Low

11.0%

IV 52w High

26.6%

RV 52w Low

7.2%

RV 52w High

22.3%

Skew 25Δ

+0.0406

IV materially below RV — long-vol structures favored.

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Analytical time series

IV / IV-of-IV

— IV (L)— IV-of-IV (R)

Analytical time series

RV / SPY-corr-1m

— RV (L)— SPY-corr-21 (R)

20 sessions

Regime Quadrant

GoldilocksFragile CalmStock PickerSystemic Panic

Systemic Panic: high vol, high corr — broad de-risking

20-session overlay

IV-z vs RV-z

-1.51σ

— IV-z— RV-z

Today's snapshot

IV by DTE

Term Structure

— ATM-2 ($752.00)— ATM-1 ($753.00)— ATM ($754.00)— ATM+1 ($755.00)

Today's IV by strike — one curve per expiration date

Smile

— 2026-06-04— 2026-06-05— 2026-06-08— 2026-06-09

IV (fwd ~30d) vs RV (trailing 21d) — lag is the VRP

HV / IV

— IV— RV

Last 1y

IV %ile Distribution

65th %ile

30-session bars + smoothed z-overlay

VRP Spread

-0.07 pts | compressing +0.00 pts