Daily Summary — May 26, 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.
Localized stress in Rates & Funding (T10Y2Y, SOFREFFR). Fused 4,402 RPM (NORMAL), fused composite flat (+54 RPM day-over-day, +51 over 5 sessions). Other asset-class buckets remain contained — treat as an early-warning window pending cross-asset confirmation. SPX realized vol (1M/3M: 10.5% / 14.6%): 1M is below 3M by 4.1 vol points — short-term vol remains subdued.
Primary Focus: 10Y – 2Y Treasury Spread (T10Y2Y) at P90 1Y with 1W Δ −6 bps — FLATTENING regime.
Neutral — Keep gross exposure near benchmark; the composite is flat inside the neutral band and only trim on further cross-asset confirmation.