Daily Summary — Jul 29, 2026
Summary Generated: 29 Jul 2026Risk-Off
▲ 1 flag
DERIV 6,220 · ELEVATEDMACRO 3,802 · NORMALFUSED 5,011 · NORMAL
◉ Derivatives Volatility
Equity options · tactical execution signal
Measures short-term options volatility structure, correlation stress, and market breadth to identify tactical execution risk.
6,220RPM
REGIME · ELEVATED
Top drivers:VIX9DP85+37.0%
▲ Term Structure Inversion
◉ Macro Liquidity & Funding Stress
Rates · curve · FX · funding stress
Monitors cross-asset rate, curve, and FX plumbing dynamics to detect systemic liquidity freezes.
3,802RPM
REGIME · NORMAL
Top drivers:T10Y2YP82+32.4%
Expiration Calendar · MONTHLY OPEX 08/21 (T-23) · VIX SETTLEMENT 08/19 (T-21)
Overlay flags active while no single asset-class bucket has cleared the stress threshold. Treat as a watch window — the tape is unconfirmed but contingency signals are printing.
Primary Focus: 9-Day S&P 500 Volatility (VIX9D) at P85 1Y with 1W velocity +37.0% — ELEVATED regime.
Secondary Focus: 10Y – 2Y Treasury Spread (T10Y2Y) at P82 1Y with 1W Δ +11 bps — FLATTENING regime.
Risk-Off — Overlay flag active on a mid-band fused score — score and flag cross-confirm; reduce gross and tighten stops.