GAMMA and VIX9D maintain their strong inverse relationship. As the Cboe GAMMA Index steadily declines from its December highs, short-term implied volatility trends upward — realized vol continues to exceed what was priced in, and the market reprices near-term implied vol higher in response. Today GAMMA bounced modestly (+1.3%) while VIX9D surged 16.4%, suggesting the brief calm of 3/17 was a head-fake.

The Cboe SKEW Index continues its wild three-session whipsaw. After crashing to 137.8 on 3/13, SKEW rocketed to 155.4 on 3/17 — a +17.6 point surge that signaled aggressive tail-risk repricing. Today, it gave back every point and then some, plunging 18.8 points to 136.5, a new period low. That's a 31-point round trip in two sessions.

Today's SKEW collapse back below 137 — simultaneous with VIX9D spiking — flips the script from yesterday. The market is no longer differentiating between tail risk and near-term risk; it's pricing a broad, symmetric vol event. When SKEW falls while VIX surges, it typically means the entire volatility surface is being repriced upward uniformly rather than the wings steepening selectively. Hedgers aren't paying up for OTM crash puts specifically — they're bracing for large moves in either direction.

Focusing on skew across the Apr, May, and June SPX regulars … ATM vol slopes down with tenor: April is 18.26%, May 18.02%, June 17.72%. This mild term structure inversion is consistent with near-term uncertainty the market expects to partially resolve over time.

25-delta skew increases with tenor: 8.25% in April, 8.63% in May, 9.04% in June. Hedgers are paying progressively more for downside protection further out — pricing the risk regime as durable rather than a near-term event.

The put/ATM ratio rises from 1.255 in April to 1.289 in May to 1.319 in June. Meanwhile, 1-sigma skew is remarkably flat at ~11.5–11.6% across all three months, suggesting the expected-move boundary is pricing risk uniformly while the 25-delta wings are where the term structure differentiation lives.

Summary: the declining Cboe GAMMA Index confirms realized vol persistently exceeds implied. The VIX9D spike today re-establishes the elevated near-term vol regime after yesterday's brief pullback. But the real story is the SKEW whipsaw: yesterday's +13.9 point surge suggested institutional hedgers were loading up on tail protection; today's −18.8 point collapse to a new period low says that demand evaporated as fast as it appeared, replaced by a broad repricing of the volatility surface. This is a market struggling to find a stable hedging equilibrium — and until it does, expect continued violent rotation between symmetric and asymmetric vol regimes.

1-Day session change

Measure	Prior	Current	Change	% Change
GAMMA	223.53	226.51	+2.98	+1.3%
VIX9D	22.36	26.03	+3.67	+16.4%
SKEW	155.38	136.54	−18.84	−12.1%

A complete reversal from yesterday: VIX9D surged 16.4% while SKEW collapsed 12.1% to a new period low of 136.5. Yesterday SKEW spiked while VIX fell; today the opposite. This two-day whipsaw — a 31-point SKEW round trip — reflects a market rapidly oscillating between pricing asymmetric tail risk and symmetric broad volatility.

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.