Daily Summary — Jun 14, 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: 2 asset-class buckets above their own stress gate (Equity Vol + Rates & Funding) while both headline gauges still read ELEVATED / NORMAL. Fused 4,853 RPM (NORMAL), fused composite cooling (−202 RPM day-over-day, −585 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% / 15.3%): 1M is near 3M, above by 0.0 vol points and separating; no crossover confirmed.
Primary Focus: Repo Funding Stress (SOFR – EFFR) (SOFREFFR) at P79 1Y with 1W Δ +5 bps — ELEVATED regime.
Secondary Focus: 9-Day S&P 500 Volatility (VIX9D) at P70 1Y with 1W velocity -27.8% — NORMAL regime.
Risk-Off — Overlay flag active on a mid-band fused score — score and flag cross-confirm; reduce gross and tighten stops.