Daily Summary — Aug 12, 2026
Summary Generated: 12 Aug 2026Risk-On
DERIV 2,674 · NORMALMACRO 3,778 · NORMALFUSED 3,226 · NORMAL
◉ Derivatives Volatility
Equity options · tactical execution signal
Measures short-term options volatility structure, correlation stress, and market breadth to identify tactical execution risk.
2,674RPM
REGIME · NORMAL
Top drivers:FX_DISPERSIONP97+9.5%
◉ Macro Liquidity & Funding Stress
Rates · curve · FX · funding stress
Monitors cross-asset rate, curve, and FX plumbing dynamics to detect systemic liquidity freezes.
3,778RPM
REGIME · NORMAL
Top drivers:FX_DISPERSIONP97+9.5%SOFREFFRP47-66.7%
Expiration Calendar · MONTHLY OPEX 08/21 (T-9) · VIX SETTLEMENT 08/19 (T-7)
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 P97 1Y with 1W Δ +0.24 % — BROAD PANIC regime.
Secondary Focus: Repo Funding Stress (SOFR – EFFR) (SOFREFFR) at P47 1Y with 1W Δ −2 bps — NORMAL regime.
Risk-On — Maintain standard VaR limits; dips are buyable in the absence of cross-asset confirmation.