Live Market Overview
Real-time regime + term structure
Data: 2026-05-29 · Calibration: 2026-05-31 · Regime: 2026-05-29
S&P 500
7,580.06
+0.22%
vs prev close
2026-05-29
VIX 30-DAY IMPLIED
15.32
🟢 NORMAL range
VVIX VOL-OF-VOL
86.06
Normal VVIX
Term Structure
CONTANGO
Front=12.59 → Back=21.6
Slope=+9.01 pts
Current Regime — C8 Classifier
R1 · SHORT GAMMA
Confidence
100.0%
As of 2026-05-29
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)
15.32%
PDV FORECAST (REALISED)
8.37%
IMPLIED − REALISED SPREAD
+6.95pp
Moderate vol risk premium → favours short vol strategies
52.9th
percentile
2015–2025 mean: +6.99pp
2015–2025 mean: +6.99pp
Implied–Realised spread — last 60 trading days
σ₁ (5d EWMA): 8.71%
σ₂ (60d EWMA): 14.32%
Model: OLS + GARCH(1,1)
Updated: 2026-05-29
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: 86.2%
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
Active model: PDVLinear3F
· PDVLinear4F requires VIX column in stored features.
COVID Stress Test — 2020-03-16
PDV predicted 92.4% ann vol.
Actual realised: 202.6%.
Error: −110pp — structural limitation of backward-looking models.