VolSignalsIndex vol & positioning intelligence
Volatility surface · Sep 21, 2026

Spot up, vol up

SPX rose 1.5% on Sep 21 and the VIX closed flat. On the Oct 21 expiry the vol at Friday's at-the-money strike rose 1.1 points. The two readings disagree because a rally moves the at-the-money point down the smile, and the fixed-strike rise offset that slide. The same decomposition for Aug 3, Aug 4 and Aug 13, the last days spot and vol rose together, and for every close since late July.

ExplorerDay by dayThe two correlationsThe readMethod
+1.49%
SPX, Sep 21 close to close
-0.05
VIX change
+1.06
Oct 21 vol at Friday's ATM strike
-1.16
Slide down Friday's smile
Explorer · one close against the one before

Two smiles on one expiry

Pick a day and a tenor. The chart draws the smile of one expiry at the prior close and at the selected close, on strikes, with the session in between played every ten minutes. The vertical lines are the two forwards. The fixed-strike change is the vertical gap between the smiles at the prior forward. The slide is the drop along the prior smile from the prior forward to the new one. The floating at-the-money change is their sum.

Day
Session10-minute steps, 9:30 AM to 4:00 PM ET
SPX
VIX
Fixed strike, prior ATM
Slide along the prior smile
Floating ATM, same expiry
Fixed strike, new ATM
vol points, by strike as a share of the prior forward · one bar per tenor
Vol points are percentage points of implied volatility. The expiry for each tenor is the listed expiry nearest 7, 30, 60 or 90 days out on the selected close, present on both closes. The strikes on the lower chart are fixed as a share of the prior close's forward, so 95% is a put strike five percent below and 105% a call strike five percent above. The two close smiles and the tiles are read from the OTM side of the chain and interpolated between listed strikes. The played curves are a smooth fit to the same nodes at each ten-minute quote snapshot: a quartic in log-moneyness on the strikes within 88% to 112% of that snapshot's forward. The prior close is step zero; the session runs 9:30 AM to 4:00 PM ET. The readout under the chart is taken from the fitted curves.
Day by day · Jul 27 to Sep 21

The VIX change and the fixed-strike change on every close

Three bar charts on one date axis. Click a bar to load that day in the explorer. The fixed-strike chart follows the tenor tab above.

SPX returnpercent, close to close
VIX changeindex points, close to close
vol points at the prior close's at-the-money strike, same expiry
A rally with the VIX down and fixed-strike vol up is the usual case: the at-the-money point moves down the smile faster than the surface rises. Aug 4 and Sep 21 are the days the fixed-strike rise matched or beat the slide. The Sep 7 holiday is omitted.
The two correlations

Each measure against the SPX return

Pick a measure. Every dot is a close from Jul 27 to Sep 21; the labelled dots are the featured days. The table gives each measure's correlation with the daily SPX return in three windows.

WindowClosesVIX changeVIX points1W fixed strikevol points1M fixed strikevol points2M fixed strikevol points3M fixed strikevol points1M ATM (floating)vol points
Jul 27 to Sep 2140-0.70-0.04+0.12+0.26+0.37-0.67
Jul 27 to Aug 1415-0.55+0.16+0.36+0.44+0.52-0.50
Aug 17 to Sep 2125-0.82-0.30-0.20-0.02+0.14-0.81
The VIX change and the floating at-the-money change carry the slide, so their correlation with the return is strongly negative in every window. The fixed-strike change does not carry the slide. Its sign is the sign of the surface move itself: positive in the early window, when vol repriced up with the rally, and near zero or negative since.
The featured days

Sep 21 against Aug 3, Aug 4, Aug 13 and Sep 17

One-month expiry unless the column says otherwise. Fixed strike is the change at the prior close's at-the-money strike. The last column is the one-week expiry at 95% and 105% of the prior forward.

CloseSPXVIXpoints1M fixed strikevol points1M slidevol points1M floating ATMvol points1W fixed strike2M fixed strike3M fixed strike1W at 95% / 105%put side / call side
Mon, Aug 3+1.47%-0.27+0.83-1.13-0.27+1.47+0.72+0.65+3.81 / -0.31
Tue, Aug 4+1.77%+0.62+1.99-1.05+0.84+3.86+1.53+1.34+5.06 / +0.44
Thu, Aug 13+0.65%+0.14+0.45-0.35+0.01+0.21+0.41+0.40+1.78 / -0.48
Thu, Sep 17+1.13%-2.11-0.70-1.03-1.82-1.59-0.33-0.22-0.22 / -2.32
Mon, Sep 21+1.49%-0.05+1.06-1.16-0.09+2.13+0.78+0.81+4.82 / +0.77
The read

What each lens shows

The VIX is a floating measure: it reads the surface at the strikes around the current forward. When spot moves, the reading moves along the smile even if no strike repriced. Fixed-strike vol holds the strike still and asks whether the surface itself moved.

Sep 21

SPX closed +1.49% at 7,765. The VIX moved -0.05 and the one-month at-the-money vol on the Oct 21 expiry moved -0.09. Both read as nothing.

On that same expiry the vol at Friday's at-the-money strike rose +1.06 points. A 1.5% rally moves the at-the-money point 1.16 points down Friday's smile. The fixed-strike rise and the slide cancelled, so the floating measures printed flat.

The one-week expiry rose most: +4.82 points at 95% of Friday's forward against +0.77 at 105%. The two-month and three-month expiries rose about +0.78 and +0.81 at the at-the-money strike, a near-parallel shift.

Aug 4

SPX closed +1.77% and the VIX rose +0.62. The fixed-strike rise on the Sep 3 expiry was +1.99 points against a slide of -1.05, so the floating at-the-money vol rose +0.84 and the VIX showed it.

The shift ran the whole term structure: +1.53 at two months and +1.34 at three months, and it was near-parallel across 95% to 105% moneyness at one month.

Sep 21 was the same shape at about half the size. The one-week put side rose +5.06 points on Aug 4 and +4.82 on Sep 21.

Aug 3 and Aug 13

Aug 3 is the closest match to Sep 21. SPX closed +1.47%, fixed-strike vol rose +0.83 and the VIX fell -0.27, because the rise was smaller than the slide of -1.13.

Aug 13 was a smaller version: SPX +0.65%, fixed-strike +0.45, slide -0.35, VIX +0.14.

On the VIX lens Aug 3 and Sep 21 look like rallies with vol lower or flat. On the fixed-strike lens they are the two largest up-day vol rises since Aug 4.

Sep 17, the contrast

The day after the Fed SPX closed +1.13% and the VIX fell -2.11. Fixed-strike vol fell too: -0.70 at one month, -1.59 at one week. That is a rally with vol coming out at every strike.

Sep 21 was not that. The VIX print was similar to flat, but the fixed-strike change had the opposite sign.

The two correlations

The VIX change against the daily SPX return is negative in every window: -0.70 over Jul 27 to Sep 21, -0.55 through Aug 14 and -0.82 since Aug 17.

The one-month fixed-strike change against the same return was +0.36 through Aug 14, when vol repriced up with the rally, and -0.20 since Aug 17. At three months the early window reads +0.52.

Since Aug 17 every up day of 1% or more had fixed-strike vol flat or lower until Sep 21. On the fixed-strike lens Sep 21 is a one-day return to the early-August pattern. The VIX cannot show it because the slide and the fixed-strike rise net out inside the index.

Method and disclosures
SurfaceSPX option quotes at each 4:00 PM ET close, Jul 24 to Sep 21, 2026. Each expiry is solved on its own forward from the OTM side of the chain.
Fixed strikeThe same expiry at the same strike, one close against the one before. The tenors are the listed expiries nearest 7, 30, 60 and 90 days out.
SlideThe prior smile read at the new forward, less the same smile read at the prior forward. Fixed-strike change plus slide equals the floating at-the-money change.
Intraday pathTen-minute quote snapshots through the regular session, each fitted with a smooth curve. Only the played curves and the readout use the fit.
ClosesSPX and VIX 4:00 PM closes. The SPX return is the log return in percent. Correlations are Pearson over the closes in the window.
DisclosuresImplied vols are model-based estimates built from third-party data believed reliable but not guaranteed. Figures may be revised without notice. Informational only, not investment advice.
VolSignalsIndex vol & positioning intelligence · built Sep 22, 2026 · Data via Cboe · Modeling via VS3D/VolSignals · volsignals.com · @VolSignals