VOLATILITY REGIME MONITOR
Vol Compression Monitor
LIVEUpdated Tue, 14 Jul 2026 22:30:38 GMT
AI SYNTHESIS
claude-opus-4-8VIX at 17.16 sits ~8% below its 10-year average — mild vol compression, not extreme.
The VIX (CBOE Equity Volatility, FRED VIXCLS) reads 17.16 as of the 2026-07-14 generation timestamp, versus a 10-year average of 18.62 — so it is at 92.2% of average. That is modest compression: below the mean but well off truly complacent levels (the history shows sub-14 prints in mid-2024, e.g. 13.12 on 2024-07-15). The single-indicator panel gives no VVIX, term structure, or credit-spread confirmation, so this is a one-dimensional read of the vol regime. The embedded history also carries a stark reminder of tail risk — the Aug 2024 spike to 38.57 on 2024-08-05 — showing how fast a compressed VIX can reverse. Overall: benign, slightly-below-average volatility, consistent with a calm-but-not-euphoric backdrop.
CONDITIONAL ACTIONS
With VIX at 92.2% of its 10-year average, the regime is only mildly compressed; treat hedging as neither urgent nor obviously cheap-signaled by this panel alone.
MEDIUMbasis: VIX current 17.16 vs avg_10y 18.62, pct_of_avg 92.2
If VIX drifts back toward the sub-14 readings seen in the 2024 history, that would mark deeper complacency and a more compelling window to consider adding protection while it is cheap.
LOWbasis: history low 13.12 on 2024-07-15 vs current 17.16
Keep tail-risk in mind: the history shows VIX can jump from ~18 to 38.57 within days (Aug 2024), so a low reading is not a guarantee of stability.
MEDIUMbasis: 2024-08-05 spike to 38.57 from ~18 the prior week
CAVEATS
- ·This page carries only a single indicator (VIX); there is no VVIX, term-structure, or credit-spread data to confirm the compression signal.
- ·The provided history appears to run through mid-2024 in the visible portion (truncated), so the trend context is older than the 2026-07-14 current value.
- ·avg_10y_hint (19.0) differs slightly from the computed avg_10y (18.62); the exact averaging basis is not fully specified.
- ·VIX is sourced from FRED VIXCLS (daily close), so the 17.16 is not necessarily a live intraday level.
AI-generated synthesis of this page's own data — not investment advice. Verify before acting.
COMPOSITE VOL COMPRESSION SCORE
Average of VIX / MOVE / CVIX as % of their 10-year trailing averages. 100% = all three at their long-run mean simultaneously.
ALL THREE COMPRESSED
Equity, bond, and FX vol are simultaneously below their 10Y averages. The Short Vol condition is active.
VIX
CBOE Equity Volatility
17.2
10Y AVG: 18.6
92.2% of 10Y avg
FRED: VIXCLS
MOVE
ICE BofA Bond Volatility
75.0
10Y AVG: 79.9
93.9% of 10Y avg
Yahoo Finance: ^MOVE
FX VOL
EUR/USD 30D Realized Vol
5.9
10Y AVG: 6.8
85.8% of 10Y avg
FRED: DEXUSEU (computed)
VIX / MOVE / CVIX — INDEXED TO 10Y AVERAGE
100 = 10-year trailing average · below 100 = compressed tails
SIGNAL — COMPRESSED
Short Vol condition is active — tails compressed across equities, bonds, and FX
- ›All three indicators are below their 10-year averages. The market is pricing low probability of a macro disruption.
- ›The AI capex cycle is the driver: hyperscaler commitments are non-discretionary, which suppresses credit risk and anchors vol.
- ›Favour the AI capex stack over defensive positions. BRK/B-style non-participation has cost ~30pp since GPT-4.
- ›Monitor MOVE as your primary risk indicator. Watch for a break above its 10Y average (~85) — that is when the cycle narrative begins to shift.
HOW TO READ THIS TOOL
VIX — Equity Vol
The CBOE Volatility Index measures the market's expectation for 30-day S&P 500 volatility, derived from options pricing. A VIX of 17 vs a 10Y average of ~19 means options markets are pricing in less turbulence than usual. Low VIX = carry regime, risk appetite is high, tails are being sold.
Source: FRED · VIXCLS
MOVE — Bond Vol
The ICE BofA MOVE Index is the bond market equivalent of VIX. It measures expected volatility in US Treasury yields across the curve. When MOVE is compressed, bond markets are pricing orderly rate paths — no sudden policy shocks, no credit events. MOVE tends to lead: a spike here is often the first warning that the cycle is turning.
Source: Yahoo Finance · ^MOVE
FX VOL — EUR/USD Realized Vol
30-day annualised realized volatility of EUR/USD, computed from daily FRED rates (DEXUSEU). When FX vol is compressed, capital is flowing freely across borders without stress — the carry trade is live. Spikes signal dollar stress or macro regime breaks. The CBOE EVZCLS implied vol series was discontinued on FRED in early 2025; this realized vol series is the always-live equivalent.
Source: FRED · DEXUSEU (21-day rolling annualised std of log-returns)
The Composite Score & The Short Vol Thesis
The composite score is the simple average of the three indicators expressed as a percentage of their 10-year trailing averages. 100% = all three exactly at their long-run mean. Below 100% = tails are compressed. When all three fall below their averages simultaneously, the market is pricing the absence of risk across every major asset class at once — equities, rates, and currencies.
When all three sit below their averages simultaneously, it typically reflects crowded positioning and thin realized volatility — participants have been rewarded for staying invested through pullbacks, which compresses the premium anyone is willing to pay for a hedge. That tends to persist until a genuine surprise forces repricing, and the unwind can be sharp precisely because so few were positioned for it.
What to watch for: The cycle breaks when one of the three spikes above its 10Y average, particularly MOVE (bond vol leads). A MOVE spike above 100 signals the credit cycle melt-up is beginning to unwind — the "thin line" event where the forces that drove compression (AI capex, fiscal dominance, sovereign rivalry) begin to make the cycle brittle.
COMPRESSION BANDS:
METHODOLOGY
VIX — FRED: VIXCLS. Daily closing value. 10Y average computed over trailing 2,520 trading days.
MOVE — Yahoo Finance: ^MOVE. ICE BofA MOVE Index. Same 10Y trailing window.
FX VOL — FRED: DEXUSEU. 21-day rolling annualised realized vol of EUR/USD log-returns × √252 × 100. Replaces the discontinued EVZCLS (CBOE EuroCurrency Vol, last FRED update ~Mar 2025). Directionally equivalent to G10 FX vol.
Compression score = current value ÷ rolling 10Y mean × 100. Chart shows all three indexed on the same axis so compression is directly comparable. The dashed line at 100 is the 10Y average. Refresh: python vol_monitor.py