Daily Summary — Jul 24, 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 Credit Vol & Spreads (VXHYG, BBB10Y). Fused 5,396 RPM (NORMAL), fused composite flat (−127 RPM day-over-day, +147 over 5 sessions). Other asset-class buckets remain contained — treat as an early-warning window pending cross-asset confirmation. SPX realized vol (1M/3M: 10.1% / 12.9%): 1M is below 3M by 2.7 vol points — short-term vol remains subdued.
Primary Focus: CBOE High-Yield Corporate Bond ETF Volatility (VXHYG) at P69 1Y with 1W velocity +41.4% — NORMAL regime.
Risk-Off — Overlay flag active on a mid-band fused score — score and flag cross-confirm; reduce gross and tighten stops.