Daily Summary — May 19, 2026

Summary Generated: 19 May 2026Risk-Off

▲ 1 flag

DERIV 5,446 · NORMALMACRO 4,039 · NORMALFUSED 4,743 · NORMAL

◉ Derivatives Volatility

Equity options · tactical execution signal

Measures short-term options volatility structure, correlation stress, and market breadth to identify tactical execution risk.

5,446RPM

REGIME · NORMAL

No equity-vol driver in top 2

▲ VIX TERM STRUCTURE INVERSIONVIX9D / VIX BACKWARDATION — 9-day implied vol at or above 30-day (ratio ≥ 1.00)

◉ Macro Liquidity & Funding Stress

Rates · curve · funding stress

Monitors cross-asset rate, curve, and funding plumbing dynamics to detect systemic liquidity freezes.

4,039RPM

REGIME · NORMAL

Top drivers:EFFR3MP63+50.0%

◉ Institutional Positioning & Leverage

CFTC COT · credit spreads · rates-vs-equity vol

Tracks institutional futures leverage and credit spreads to quantify forced unwind and de-leveraging capacity.

3,668RPM

REGIME · NORMAL

Expiration Calendar · MONTHLY OPEX 06/19 (T-31) · VIX SETTLEMENT 05/20 (T-1) · QUAD WITCHING

Localized stress in Rates & Funding (EFFR3M, MOVE). Fused 4,743 RPM (NORMAL), fused composite flat (−10 RPM day-over-day, +382 over 5 sessions). Other asset-class buckets remain contained — treat as an early-warning window pending cross-asset confirmation. SPX realized vol (1M/3M: 11.2% / 14.7%): 1M is below 3M by 3.6 vol points — short-term vol remains subdued.

Primary Focus: Safe-Haven Front-End Premium (EFFR – 3M) (EFFR3M) at P63 1Y with 1W Δ +3 bps — NORMAL regime.

Risk-Off — Overlay flag active on a mid-band fused score — score and flag cross-confirm; reduce gross and tighten stops.