Daily Summary — May 11, 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 4,714 RPM (NORMAL), fused composite rising (+226 RPM day-over-day, +569 over 5 sessions). Stress is accumulating underneath an unconfirmed composite — position for a regime transition rather than an event. SPX realized vol (1M/3M: 10.5% / 14.7%): 1M is below 3M by 4.3 vol points — short-term vol remains subdued.
Primary Focus: CFTC E-Mini S&P 500 Leveraged-Fund Net (COT_SPX_NET) at P82 1Y with 1W Δ −187955 contracts — DEFENSIVE regime.
Secondary Focus: 10Y – 2Y Treasury Spread (T10Y2Y) at P96 1Y with 1W Δ −4 bps — FLATTENING regime.
Risk-Off — Overlay flag active on a mid-band fused score — score and flag cross-confirm; reduce gross and tighten stops.