Daily Summary — Jul 20, 2026
Summary Generated: 20 Jul 2026Neutral
DERIV 5,255 · NORMALMACRO 3,819 · NORMALFUSED 5,255 · NORMAL
◉ Derivatives Volatility
Equity options · tactical execution signal
Measures short-term options volatility structure, correlation stress, and market breadth to identify tactical execution risk.
5,255RPM
REGIME · NORMAL
Top drivers:VIX9DP69+51.1%
◉ Macro Liquidity & Funding Stress
Rates · curve · FX · funding stress
Monitors cross-asset rate, curve, and FX plumbing dynamics to detect systemic liquidity freezes.
3,819RPM
REGIME · NORMAL
Top drivers:T10Y2YP93-7.5%
Expiration Calendar · MONTHLY OPEX 08/21 (T-32) · VIX SETTLEMENT 07/22 (T-2)
Cross-asset volatility remains suppressed across the tape in Subdued/Elevated territory. Credit spreads, FX vol, and rates plumbing are calm, indicating no immediate systemic contagion.
Primary Focus: 9-Day S&P 500 Volatility (VIX9D) at P69 1Y with 1W velocity +51.1% — ELEVATED regime.
Secondary Focus: 10Y – 2Y Treasury Spread (T10Y2Y) at P93 1Y with 1W velocity -7.5% — NORMAL regime.
Neutral — Keep gross exposure near benchmark; only trim on further cross-asset confirmation.