The Cboe GAMMA Index hit a new period low of 222.5 today, resuming its downtrend after yesterday's brief bounce. The message is unchanged: realized vol continues to exceed implied, and the short-gamma strategy keeps bleeding. There is no sign of stabilization.

VIX9D pulled back 7.5% after yesterday's 16.4% spike, settling at 24.09. That's still elevated — well above the sub-15 levels of January — but the session-to-session volatility of VIX9D itself is notable. The last four sessions have seen moves of −8.1%, +16.4%, and −7.5%, reflecting a market that can't find a stable implied vol level.

After the wild three-session SKEW whipsaw (137.8 → 155.4 → 136.5), today brought relative calm: SKEW ticked up just 1.7 points to 138.3. That's barely above yesterday's new period low and well below the 145–155 range that prevailed through most of the dataset. The SKEW volatility storm appears to be settling — and it's settling low. This suggests the market has resolved its brief flirtation with asymmetric tail hedging (the 3/17 spike) in favor of the symmetric vol regime that took hold on 3/18.

The combination of GAMMA making new lows, VIX9D remaining elevated, and SKEW pinned near its floor paints a coherent picture: the market is pricing persistent, broad-based volatility rather than directional crash risk. Hedgers are buying protection across the surface — straddles and ATM vol — rather than concentrating in deep OTM puts.

Summary: GAMMA's new period low confirms the short-gamma bleed continues unabated. VIX9D remains elevated despite today's pullback. And SKEW's stabilization near 138 — after rejecting its 155 spike within a single session — indicates the market has settled into a symmetric volatility regime. The question now is whether SKEW stays suppressed (confirming broad vol expectations) or attempts another leg higher (signaling renewed tail-risk demand). For now, the vol surface is flat and fear is generalized.

1-Day session change

Measure	Prior	Current	Change	% Change
GAMMA	226.51	222.49	−4.02	−1.8%
VIX9D	26.03	24.09	−1.94	−7.5%
SKEW	136.54	138.26	+1.72	+1.3%

A much quieter session after three days of violent swings. GAMMA made a new period low at 222.5. VIX9D gave back some of yesterday's spike but remains elevated. SKEW barely moved — after a 31-point round trip over the prior two sessions, a +1.7 point nudge signals the whipsaw is exhausting itself near the floor.

Jargon

Cboe GAMMA index — a total return index that tracks the performance of a delta-hedged portfolio of the five shortest-dated SPX weekly straddles. It's essentially a scorecard for selling short-term gamma: when the index rises, short-straddle sellers are profiting (realized vol is running below implied); when it falls, realized vol is exceeding what was priced in and that strategy is bleeding.

Cboe SKEW measures the perceived tail risk of S&P 500 returns over a 30-day horizon, derived from out-of-the-money option prices. A value of 100 implies normal distribution; higher values indicate greater perceived probability of an outlier move. Typical range is 120–160.