Market Volatility Regime
Four numbers that define the vol environment: VIX vs realized, implied vs realized correlation, the spot-vol beta, and dealer gamma on the index proxy.
VIX vs SPX realized
NeutralVIX 1.3pp above SPX 20d realized - typical premium, no regime signal.
Spread of +5pp or more = overvixing (protection rich, mean-reversion-prone). At or below 0 = undervixing (carry no longer pays for tail risk). Ratio: 1.09
Implied vs realized correlation
Correlation cheapSPX implied 12.1% against a 34.1% equal-weight mega-cap basket. Positive premium = the market pays up for index protection relative to single names, the setup dispersion desks sell.
Implied correlation can print negative or fail to compute when index IV is depressed relative to the basket - typically outside regular hours or in degenerate quote states. It is shown as computed, not smoothed.
Basket vol contributors
Equal-weight mega-cap basket vs SPX
Spot-vol correlation (SPY)
Spot log-returns vs daily ATM IV changes
Strongly inverse - vol spikes on spot down moves (typical equity regime).
The leverage effect in one number. Strongly inverse readings mean downside spot moves arrive with a vol spike attached - what vanna hedges and skew are priced off.
SPY dealer gamma
Long gammaIndex proxy for the dealer hedging regime
- Net GEX
- $8.51B
- Gamma flip
- 767.86
- SPY VRP 20d
- -2.2pp
Dealers hedge against the move: strength gets sold and dips get bought, dampening realized vol.
Full gamma profile →A VIX term slope below 1.00 is backwardation - near-term protection bid over the forward curve, the signature of active stress. Credit (HY OAS) widening alongside it is the combination that turns a vol event into a regime change.
Get this via API
This page composes four endpoints: the VIX-state classifier, the dispersion calculator (bring your own basket and weights), spot-vol correlation and the VRP dashboard's macro block.
curl -H "X-Api-Key: YOUR_API_KEY" \
"https://lab.flashalpha.com/v1/macro/vix-state"import requests
r = requests.get(
"https://lab.flashalpha.com/v1/dispersion",
params={"index": "SPX",
"symbols": "AAPL,MSFT,NVDA,AMZN,GOOGL,META,TSLA"},
headers={"X-Api-Key": "YOUR_API_KEY"},
)
d = r.json()
print(d["implied_correlation"], d["realized_correlation"])Get regime analytics via API
This read is free. The VIX-state and spot-vol correlation endpoints are Growth tier; the dispersion calculator and VRP dashboard are Alpha tier.
See pricingHow the regime read is built
Every panel compares something the market charges against something the market delivers. No model fits, no composite indices - four directly observable spreads.
VIX vs realized
The implied leg is spot VIX, the market's 30-day forward vol expectation. The realized leg is SPX close-to-close vol over the trailing 20 sessions. In quiet markets the spread sits near 4 points - implied persistently rich - so a spread of 5+ marks an unusually rich, mean-reversion-prone state. As realized catches up in a selloff, the spread collapses toward zero and flags that carry no longer pays.
Implied correlation
Index variance equals a weighted combination of constituent variances plus their covariances, so index IV and a basket of single-name IVs jointly imply a correlation level (Demeterfi-Derman-Kani). We compare it to a one-factor realized correlation over the same basket. The dispersion concept page covers the trade this feeds. The basket here is the equal-weight mega-cap seven; the API accepts any basket and weights.
Spot-vol correlation and dealer gamma
The spot-vol panel is the Pearson correlation of daily spot returns against daily ATM IV changes, over 20 and 60 sessions - the vanna-relevant number. The gamma card condenses the SPY dealer profile from the positioning tool: sign, size and flip level, because the same vol event behaves differently through long-gamma and short-gamma hedging.
Reading them together
The panels are deliberately independent. Overvixing plus long dealer gamma plus contango is the classic premium-selling backdrop. Undervixing plus short gamma plus backwardation is the combination that turns a dip into a cascade. Mixed readings are the honest, common case - and knowing which leg disagrees is the point of the page.
Frequently asked questions
What does overvixing mean?+
Spot VIX trading 5+ vol points above SPX 20-day realized. Forward protection is priced far above what the index is delivering - a historically mean-reversion-prone state that favours short-vol setups. Undervixing is the inverse and typically appears late in selloffs.
What is implied correlation?+
The correlation level that reconciles index IV with constituent IVs. Diversification dampens index vol, so the gap between index and basket vol backs out how much co-movement the market prices. Implied above realized = index protection expensive relative to single names.
Why can implied correlation print negative?+
The formula divides by the basket's covariance capacity; when index IV is depressed relative to single-name IVs - common outside regular hours or in thin quote states - the algebra produces a negative or non-computable value. The page shows the number as computed rather than smoothing it, because the degenerate state is itself information.
Can I use my own basket?+
Yes - the dispersion endpoint takes any index with options coverage, up to 50 constituent symbols and optional weights. This page pins the equal-weight mega-cap seven against SPX for comparability day to day.