Daily Summary — Jun 12, 2026
Summary Generated: 12 Jun 2026Risk-Off
▲ 1 flag
DERIV 5,212 · NORMALMACRO 3,755 · NORMALFUSED 5,212 · NORMAL
◉ Derivatives Volatility
Equity options · tactical execution signal
Measures short-term options volatility structure, correlation stress, and market breadth to identify tactical execution risk.
5,212RPM
REGIME · NORMAL
Top drivers:VIX9DP69-27.8%
▲ 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.
3,755RPM
REGIME · NORMAL
Top drivers:SOFREFFRP62+200.0%
Expiration Calendar · MONTHLY OPEX 06/19 (T-7) · VIX SETTLEMENT 06/17 (T-5) · 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: 9-Day S&P 500 Volatility (VIX9D) at P69 1Y with 1W velocity -27.8% — ELEVATED 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.