Daily Summary — May 12, 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 4,650 RPM (NORMAL), fused composite rising (−64 RPM day-over-day, +459 over 5 sessions). Stress is accumulating underneath an unconfirmed composite — position for a regime transition rather than an event. SPX realized vol (1M/3M: 10.4% / 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: Cboe S&P 500 Constituent Volatility Index (VIXEQ) at P98 1Y with 1W velocity +8.5% — BROAD PANIC regime.
Neutral-Deteriorating — Hold gross near benchmark but stop adding risk — the composite is trending up inside the neutral band. Composite rising (−64 RPM day-over-day, +459 over 5 sessions). Pre-position hedges now; they get expensive on confirmation.