Daily Summary — May 31, 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: 2 asset-class buckets above their own stress gate (Equity Vol + Rates & Funding) while both headline gauges still read NORMAL / NORMAL. Fused 4,159 RPM (NORMAL), fused composite flat (+233 RPM day-over-day, −243 over 5 sessions). Stress is accumulating underneath an unconfirmed composite — position for a regime transition rather than an event. SPX realized vol (1M/3M: 10.2% / 14.4%): 1M is below 3M by 4.3 vol points — short-term vol remains subdued.
Primary Focus: Cboe S&P 500 Constituent Volatility Index (VIXEQ) at P100 1Y with 1W velocity +15.5% — BROAD PANIC regime.
Secondary Focus: Repo Funding Stress (SOFR – EFFR) (SOFREFFR) at P63 1Y with 1W Δ +10 bps — NORMAL regime.
Neutral — Keep gross exposure near benchmark; the composite is flat inside the neutral band and only trim on further cross-asset confirmation.