Daily Summary — Jun 05, 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: 3 asset-class buckets above their own stress gate (Equity Vol + Rates & Funding + Breadth & Positioning) while both headline gauges still read ELEVATED / NORMAL. Fused 5,747 RPM (ELEVATED), fused composite rising (+1,581 RPM day-over-day, +1,588 over 5 sessions). Stress is accumulating underneath an unconfirmed composite — position for a regime transition rather than an event. SPX realized vol (1M/3M: 13.2% / 15.1%): 1M is below 3M by 1.8 vol points — short-term vol remains subdued.
Primary Focus: Nasdaq-100 Volatility (VXN) at P98 1Y with 1W velocity +34.9% — BROAD PANIC regime.
Secondary Focus: CFTC E-Mini S&P 500 Leveraged-Fund Net (COT_SPX_NET) at P95 1Y with 1W Δ −93242 contracts — CROWDED SHORT regime.
Risk-Off — 2 concurrent overlay flags active across the tape — multi-flag stress confirms; reduce gross and hedge tails.