Daily Summary — Aug 11, 2026
Summary Generated: 11 Aug 2026Neutral
DERIV 3,066 · NORMALMACRO 3,956 · NORMALFUSED 3,511 · NORMAL
◉ Derivatives Volatility
Equity options · tactical execution signal
Measures short-term options volatility structure, correlation stress, and market breadth to identify tactical execution risk.
3,066RPM
REGIME · NORMAL
Top drivers:FX_DISPERSIONP96+11.7%
◉ Macro Liquidity & Funding Stress
Rates · curve · FX · funding stress
Monitors cross-asset rate, curve, and FX plumbing dynamics to detect systemic liquidity freezes.
3,956RPM
REGIME · NORMAL
Top drivers:FX_DISPERSIONP96+11.7%T10Y2YP76+11.6%
Expiration Calendar · MONTHLY OPEX 08/21 (T-10) · VIX SETTLEMENT 08/19 (T-8)
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 P96 1Y with 1W Δ +0.28 % — BROAD PANIC regime.
Secondary Focus: 10Y – 2Y Treasury Spread (T10Y2Y) at P76 1Y with 1W Δ +5 bps — NORMAL regime.
Neutral — Keep gross exposure near benchmark; only trim on further cross-asset confirmation.