Daily Summary — Aug 06, 2026
Summary Generated: 06 Aug 2026Neutral
DERIV 3,154 · NORMALMACRO 3,944 · NORMALFUSED 3,549 · NORMAL
◉ Derivatives Volatility
Equity options · tactical execution signal
Measures short-term options volatility structure, correlation stress, and market breadth to identify tactical execution risk.
3,154RPM
REGIME · NORMAL
Top drivers:VIXEQ_VIX_SPREADP57+30.0%
◉ Macro Liquidity & Funding Stress
Rates · curve · FX · funding stress
Monitors cross-asset rate, curve, and FX plumbing dynamics to detect systemic liquidity freezes.
3,944RPM
REGIME · NORMAL
Top drivers:SOFREFFRP47-50.0%
Expiration Calendar · MONTHLY OPEX 08/21 (T-15) · VIX SETTLEMENT 08/19 (T-13)
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: VIXEQ − VIX Dispersion Spread (VIXEQ_VIX_SPREAD) at P57 1Y with 1W Δ +1.86 pts — NORMAL regime.
Secondary Focus: Repo Funding Stress (SOFR – EFFR) (SOFREFFR) at P47 1Y with 1W Δ −1 bps — NORMAL regime.
Neutral — Keep gross exposure near benchmark; only trim on further cross-asset confirmation.