Daily Summary — May 14, 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: 4 asset-class buckets above their own stress gate (Equity Vol + Credit Vol & Spreads + Rates & Funding + Breadth & Positioning) while both headline gauges still read NORMAL / NORMAL. Fused 4,361 RPM (NORMAL), fused composite flat (−212 RPM day-over-day, +98 over 5 sessions). Stress is accumulating underneath an unconfirmed composite — position for a regime transition rather than an event. SPX realized vol (1M/3M: 10.0% / 14.4%): 1M is below 3M by 4.4 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 20+ Year Treasury Bond ETF Volatility (VXTLT) at P62 1Y with 1W velocity +26.9% — NORMAL regime.
Neutral — Keep gross exposure near benchmark; the composite is flat inside the neutral band and only trim on further cross-asset confirmation.