Daily Summary — Jun 11, 2026
Summary Generated: 11 Jun 2026Risk-Off
▲ 1 flag
DERIV 6,268 · ELEVATEDMACRO 3,758 · NORMALFUSED 6,268 · ELEVATED
◉ Derivatives Volatility
Equity options · tactical execution signal
Measures short-term options volatility structure, correlation stress, and market breadth to identify tactical execution risk.
6,268RPM
REGIME · ELEVATED
Top drivers:VXNP97+31.1%
▲ Term Structure Inversion
◉ Macro Liquidity & Funding Stress
Rates · curve · FX · funding stress
Monitors cross-asset rate, curve, and FX plumbing dynamics to detect systemic liquidity freezes.
3,758RPM
REGIME · NORMAL
Top drivers:SOFREFFRP62+200.0%
Expiration Calendar · MONTHLY OPEX 06/19 (T-8) · VIX SETTLEMENT 06/17 (T-6) · QUAD WITCHING
Overlay flags active while no single asset-class bucket has cleared the stress threshold. Treat as a watch window — the tape is unconfirmed but contingency signals are printing.
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 P62 1Y with 1W velocity +200.0% — ELEVATED regime.
Risk-Off — Overlay flag active on top of a broad-breadth stress tape — reduce gross and hedge tails.