Daily Summary — Sep 02, 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 3,603 RPM (NORMAL), fused composite cooling (−750 RPM day-over-day, +29 over 5 sessions). Stress is accumulating underneath an unconfirmed composite — position for a regime transition rather than an event. SPX realized vol (1M/3M: 7.4% / 13.5%): 1M is below 3M by 6.1 vol points — short-term vol remains subdued.
Primary Focus: Repo Funding Stress (SOFR – EFFR) (SOFREFFR) at P66 1Y with 1W Δ +2 bps — NORMAL regime.
Secondary Focus: NYSE+Nasdaq Net New 52W Highs−Lows (NETNEWLOWS) at P56 1Y with 1W Δ −44 pts — NORMAL regime.
Neutral-Improving — Hold gross near benchmark with a constructive bias — the composite is cooling inside the neutral band. Composite cooling (−750 RPM day-over-day, +29 over 5 sessions). Let existing hedges decay rather than rolling them up.