Daily Summary — Jun 11, 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 5,477 RPM (NORMAL), fused composite cooling (−277 RPM day-over-day, −270 over 5 sessions). Stress is accumulating underneath an unconfirmed composite — position for a regime transition rather than an event. SPX realized vol (1M/3M: 15.4% / 15.4%): 1M crossed above 3M (0.0 vol points) — a negative, short-term vol expansion signal.
Primary Focus: Nasdaq-100 Volatility (VXN) at P97 1Y with 1W velocity +31.1% — BROAD PANIC regime.
Secondary Focus: Repo Funding Stress (SOFR – EFFR) (SOFREFFR) at P63 1Y with 1W Δ +2 bps — NORMAL regime.
Risk-Off — 2 concurrent overlay flags active across the tape — multi-flag stress confirms; reduce gross and hedge tails.