Daily Summary — Aug 05, 2026
Summary Generated: 05 Aug 2026Neutral
DERIV 3,374 · NORMALMACRO 3,902 · NORMALFUSED 3,638 · NORMAL
◉ Derivatives Volatility
Equity options · tactical execution signal
Measures short-term options volatility structure, correlation stress, and market breadth to identify tactical execution risk.
3,374RPM
REGIME · NORMAL
Top drivers:FX_DISPERSIONP85+71.0%
◉ Macro Liquidity & Funding Stress
Rates · curve · FX · funding stress
Monitors cross-asset rate, curve, and FX plumbing dynamics to detect systemic liquidity freezes.
3,902RPM
REGIME · NORMAL
Top drivers:FX_DISPERSIONP85+71.0%SOFREFFRP65+50.0%
Expiration Calendar · MONTHLY OPEX 08/21 (T-16) · VIX SETTLEMENT 08/19 (T-14)
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 P85 1Y with 1W Δ +0.96 % — FRAGILE regime.
Secondary Focus: Repo Funding Stress (SOFR – EFFR) (SOFREFFR) at P65 1Y with 1W Δ +1 bps — NORMAL regime.
Neutral — Keep gross exposure near benchmark; only trim on further cross-asset confirmation.