Daily Summary Archive

Persistent unconfirmed breadth — session 42: 3 asset-class buckets (Equity Vol + Credit Vol & Spreads + Breadth & Positioning) have held above their stress gates for 42 straight sessions while Derivatives reads NORMAL and Macro reads NORMAL. Fused 5,000 RPM (NORMAL), fused composite rising (−269 RPM day-over-day, +878 over 5 sessions). The longer this divergence lasts without headline confirmation, the more it reflects grinding repricing rather than an imminent break — keep hedges on but don't chase. SPX realized vol (1M/3M: 8.9% / 11.0%): 1M is below 3M by 2.1 vol points — short-term vol remains subdued.

Primary Focus: 10Y – 2Y Treasury Spread (T10Y2Y) at P91 1Y with 1W Δ −9 bps — FLATTENING regime.

Secondary Focus: CFTC E-Mini S&P 500 Leveraged-Fund Net (COT_SPX_NET) at P79 1Y with 1W Δ −67622 contracts — DEFENSIVE regime.

Neutral-Deteriorating — Hold gross near benchmark but stop adding risk — the composite is trending up inside the neutral band. Composite rising (−269 RPM day-over-day, +878 over 5 sessions). Pre-position hedges now; they get expensive on confirmation.