Daily Summary — Jul 29, 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 5,581 RPM (ELEVATED), fused composite rising (+303 RPM day-over-day, +58 over 5 sessions). Stress is accumulating underneath an unconfirmed composite — position for a regime transition rather than an event. SPX realized vol (1M/3M: 10.7% / 13.1%): 1M is below 3M by 2.4 vol points — short-term vol remains subdued.
Primary Focus: Cboe / Nations VolDex (ATM 30D IV) (VOLI) at P87 1Y with 1W velocity +26.0% — FRAGILE regime.
Secondary Focus: 9-Day S&P 500 Volatility (VIX9D) at P85 1Y with 1W velocity +37.0% — ELEVATED regime.
Risk-Off — 2 concurrent overlay flags active across the tape — multi-flag stress confirms; reduce gross and hedge tails.