Daily Summary — Aug 28, 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.
Pre-confirmation breadth: 2 asset-class buckets above their own stress gate (Rates & Funding + Breadth & Positioning) while both headline gauges still read NORMAL / NORMAL. Fused 3,537 RPM (NORMAL), fused composite flat (−37 RPM day-over-day, −18 over 5 sessions). Stress is accumulating underneath an unconfirmed composite — position for a regime transition rather than an event. SPX realized vol (1M/3M: 10.5% / 13.5%): 1M is below 3M by 3.0 vol points — short-term vol remains subdued.
Primary Focus: 10Y – 2Y Treasury Spread (T10Y2Y) at P88 1Y with 1W Δ −11 bps — FLATTENING regime.
Secondary Focus: NYSE+Nasdaq Net New 52W Highs−Lows (NETNEWLOWS) at P75 1Y with 1W Δ −74 pts — NORMAL regime.
Neutral — Keep gross exposure near benchmark; the composite is flat inside the neutral band and only trim on further cross-asset confirmation.