Daily Summary — Apr 28, 2026
Measures short-term options volatility structure, correlation stress, and market breadth to identify tactical execution risk.
Monitors cross-asset rate, curve, and funding plumbing dynamics to detect systemic liquidity freezes.
Tracks institutional futures leverage and credit spreads to quantify forced unwind and de-leveraging capacity.
Pre-confirmation breadth: 3 asset-class buckets above their own stress gate (Equity Vol + Rates & Funding + Breadth & Positioning) while both headline gauges still read NORMAL / NORMAL. Fused 4,544 RPM (NORMAL), fused composite flat (+149 RPM day-over-day, +207 over 2 sessions). Stress is accumulating underneath an unconfirmed composite — position for a regime transition rather than an event. SPX realized vol (1M/3M: 14.5% / 15.1%): 1M crossed below 3M (0.6 vol points) — a positive, short-term vol normalization signal.
Primary Focus: Crude Oil Volatility Index (OVX) at P85 1Y with 1W velocity -17.6% — ELEVATED regime.
Secondary Focus: CFTC E-Mini S&P 500 Leveraged-Fund Net (COT_SPX_NET) at P73 1Y with 1W Δ −63363 contracts — DEFENSIVE regime.
Risk-Off — Overlay flag active on a mid-band fused score — score and flag cross-confirm; reduce gross and tighten stops.