Daily Summary — May 20, 2026
Summary Generated: 20 May 2026Neutral
DERIV 4,466 · NORMALMACRO 4,095 · NORMALFUSED 4,466 · NORMAL
◉ Derivatives Volatility
Equity options · tactical execution signal
Measures short-term options volatility structure, correlation stress, and market breadth to identify tactical execution risk.
4,466RPM
REGIME · NORMAL
Top drivers:VIXEQP67+34.8%
◉ Macro Liquidity & Funding Stress
Rates · curve · FX · funding stress
Monitors cross-asset rate, curve, and FX plumbing dynamics to detect systemic liquidity freezes.
4,095RPM
REGIME · NORMAL
Top drivers:RETAIL_SENTIMENT_NETP69-30.3%
Expiration Calendar · MONTHLY OPEX 06/19 (T-30) · VIX SETTLEMENT 05/20 (T-0) · QUAD WITCHING
Cross-asset volatility remains suppressed across the tape in Subdued/Elevated territory. Credit spreads, FX vol, and rates plumbing are calm, indicating no immediate systemic contagion.
Primary Focus: AAII Bull–Bear Sentiment Spread (RETAIL_SENTIMENT_NET) at P69 1Y with 1W velocity -30.3% — ELEVATED regime.
Secondary Focus: S&P 500 Equal-Weight Realized Vol (30D) (VIXEQ) at P67 1Y with 1W velocity +34.8% — ELEVATED regime.
Neutral — Keep gross exposure near benchmark; only trim on further cross-asset confirmation.