Live Market Overview
Real-time regime + term structure
2026-03-23 · SPX/VIX/PDV
S&P 500
6,581.00
+1.15% vs prev close
2026-03-23
VIX 30-DAY IMPLIED
26.62
🟡 ELEVATED — caution
VVIX VOL-OF-VOL
122.82
Extreme vol-of-vol
Term Structure
BACKWARDATION
Front=27.76 → Back=26.94
Slope=-0.82 pts
Current Regime — C8 Classifier
R1 · SHORT GAMMA
Confidence 99.0%
R0 LONG γ
0.4%
R1 SHORT γ
99.0%
R2 VOMMA
0.7%
As of 2025-12-30
R0
Low VIX / backwardation → buy straddles
R1
Normal contango → sell premium
R2
High VVIX → vomma trades
PDV Model Forecast vs ATM Implied
CURRENT VIX (30D IMPLIED)
26.62%
PDV FORECAST (REALISED)
8.37%
IMPLIED − REALISED SPREAD
+18.25pp
Implied vol significantly overstates expected realised → premium selling environment
σ₁ (5d EWMA): 8.71%
σ₂ (60d EWMA): 14.32%
Model: OLS + GARCH(1,1)
Updated: 2025-12-30
VIX Term Structure
C8 Classifier — Full-Period Statistics (2015 – 2025)
R0 LONG GAMMA
12.7%
350 / 2,757 days
Buy straddles
R1 SHORT GAMMA
42.8%
1,180 / 2,757 days
Sell premium
R2 VOMMA ACTIVE
44.5%
1,227 / 2,757 days
Vomma trades
Overall Accuracy: 86.95%
F1 Macro: 0.85
Top Feature: fear_premium (36%)
2nd Feature: VVIX (34%)
Model: XGBoost 3-class
Train cutoff: 2019-12-31
PDV Model — Guyon-Lekeufack (2023)
σ̂(t) = 0.354 × σ₁ + 0.241 × σ₂ − 1.496 × lev + 0.0346
σ₁ half-life: 5 days (EWMA)
σ₂ half-life: 60 days (EWMA)
Walk-fwd R² (linear): 0.31
Walk-fwd R² (kernel): 0.23
GARCH persistence: 0.979
GARCH β: 0.890
COVID Stress Test — 2020-03-16
PDV predicted 92.4% ann vol. Actual realised: 202.6%. Error: −110pp — structural limitation of backward-looking models.