Daily Summary — Aug 20, 2026
Measures short-term options volatility structure, correlation stress, and market breadth to identify tactical execution risk.
Monitors cross-asset rate, curve, and funding plumbing dynamics to detect systemic liquidity freezes.
Tracks institutional futures leverage and credit spreads to quantify forced unwind and de-leveraging capacity.
No asset-class bucket has cleared its stress gate, but the composite is grinding higher. Fused 3,910 RPM (NORMAL), fused composite rising (+348 RPM day-over-day, +663 over 5 sessions). Credit and rates plumbing are still orderly — treat this as vol repricing without breadth, not systemic contagion. SPX realized vol (1M/3M: 13.7% / 13.4%): 1M crossed above 3M (0.2 vol points) — a negative, short-term vol expansion signal.
Primary Focus: Repo Funding Stress (SOFR – EFFR) (SOFREFFR) at P58 1Y with 1W Δ +3 bps — NORMAL regime.
Neutral-Deteriorating — Hold gross near benchmark but stop adding risk — the composite is trending up inside the neutral band. Composite rising (+348 RPM day-over-day, +663 over 5 sessions). Pre-position hedges now; they get expensive on confirmation.