Daily Summary — Jul 28, 2026
Summary Generated: 28 Jul 2026Neutral
DERIV 5,041 · NORMALMACRO 3,871 · NORMALFUSED 4,456 · NORMAL
◉ Derivatives Volatility
Equity options · tactical execution signal
Measures short-term options volatility structure, correlation stress, and market breadth to identify tactical execution risk.
5,041RPM
REGIME · NORMAL
Top drivers:T10Y2YP83+25.0%
◉ Macro Liquidity & Funding Stress
Rates · curve · FX · funding stress
Monitors cross-asset rate, curve, and FX plumbing dynamics to detect systemic liquidity freezes.
3,871RPM
REGIME · NORMAL
Top drivers:T10Y2YP83+25.0%VXHYGP77-34.5%
Expiration Calendar · MONTHLY OPEX 08/21 (T-24) · VIX SETTLEMENT 08/19 (T-22)
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: 10Y – 2Y Treasury Spread (T10Y2Y) at P83 1Y with 1W Δ +9 bps — FLATTENING regime.
Secondary Focus: CBOE High-Yield Corporate Bond ETF Volatility (VXHYG) at P77 1Y with 1W velocity -34.5% — ELEVATED regime.
Neutral — Keep gross exposure near benchmark; only trim on further cross-asset confirmation.