Daily Summary — Jul 31, 2026
Summary Generated: 31 Jul 2026Neutral
DERIV 3,688 · NORMALMACRO 4,217 · NORMALFUSED 3,953 · NORMAL
◉ Derivatives Volatility
Equity options · tactical execution signal
Measures short-term options volatility structure, correlation stress, and market breadth to identify tactical execution risk.
3,688RPM
REGIME · NORMAL
Top drivers:FX_DISPERSIONP90+383.3%
◉ Macro Liquidity & Funding Stress
Rates · curve · FX · funding stress
Monitors cross-asset rate, curve, and FX plumbing dynamics to detect systemic liquidity freezes.
4,217RPM
REGIME · NORMAL
Top drivers:FX_DISPERSIONP90+383.3%T10Y2YP79+30.6%
Expiration Calendar · MONTHLY OPEX 08/21 (T-21) · VIX SETTLEMENT 08/19 (T-19)
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: FX Carry vs. Broad G7 Divergence (FX_DISPERSION) at P90 1Y with 1W Δ +3.35 % — FRAGILE regime.
Secondary Focus: 10Y – 2Y Treasury Spread (T10Y2Y) at P79 1Y with 1W Δ +11 bps — NORMAL regime.
Neutral — Keep gross exposure near benchmark; only trim on further cross-asset confirmation.