Daily Summary — Apr 29, 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 ELEVATED / NORMAL. Fused 4,670 RPM (NORMAL), fused composite flat (+126 RPM day-over-day, +333 over 3 sessions). Stress is accumulating underneath an unconfirmed composite — position for a regime transition rather than an event. SPX realized vol (1M/3M: 14.2% / 15.1%): 1M is near 3M, below by 0.9 vol points and separating; no crossover confirmed.
Primary Focus: CFTC E-Mini S&P 500 Leveraged-Fund Net (COT_SPX_NET) at P73 1Y with 1W Δ −63363 contracts — DEFENSIVE regime.
Secondary Focus: Repo Funding Stress (SOFR – EFFR) (SOFREFFR) at P54 1Y with 1W Δ +1 bps — NORMAL regime.
Risk-Off — Overlay flag active on a mid-band fused score — score and flag cross-confirm; reduce gross and tighten stops.