Daily Summary — Jun 25, 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.
Localized stress in Rates & Funding (T10Y2Y, T30Y10Y). Fused 5,181 RPM (NORMAL), fused composite rising (−145 RPM day-over-day, +866 over 5 sessions). Other asset-class buckets remain contained — treat as an early-warning window pending cross-asset confirmation. SPX realized vol (1M/3M: 16.7% / 15.4%): 1M is above 3M by 1.3 vol points — short-term vol remains elevated.
Primary Focus: 10Y – 2Y Treasury Spread (T10Y2Y) at P98 1Y with 1W Δ +4 bps — FLATTENING regime.
Risk-Off — Overlay flag active on a mid-band fused score — score and flag cross-confirm; reduce gross and tighten stops.