Daily Summary — Jun 02, 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, T30Y10Y). Fused 4,295 RPM (NORMAL), fused composite flat (−103 RPM day-over-day, +288 over 5 sessions). Other asset-class buckets remain contained — treat as an early-warning window pending cross-asset confirmation. SPX realized vol (1M/3M: 9.8% / 14.3%): 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 P95 1Y with 1W Δ −93242 contracts — CROWDED SHORT regime.
Neutral — Keep gross exposure near benchmark; the composite is flat inside the neutral band and only trim on further cross-asset confirmation.