Daily Summary — Sep 02, 2026

Summary Generated: 02 Sept 2026Neutral

DERIV 3,907 · NORMALMACRO 4,089 · NORMALFUSED 3,998 · NORMAL

◉ Derivatives Volatility

Equity options · tactical execution signal

Measures short-term options volatility structure, correlation stress, and market breadth to identify tactical execution risk.

3,907RPM

REGIME · NORMAL

Top drivers:NETNEWLOWSP80-1211.1%

◉ Macro Liquidity & Funding Stress

Rates · curve · FX · funding stress

Monitors cross-asset rate, curve, and FX plumbing dynamics to detect systemic liquidity freezes.

4,089RPM

REGIME · NORMAL

Top drivers:NETNEWLOWSP80-1211.1%T10Y2YP87-14.9%

◉ Institutional Positioning & Leverage

CFTC COT · credit spreads · rates-vs-equity vol

Tracks institutional futures leverage and credit spreads to quantify forced unwind and de-leveraging capacity.

3,824RPM

REGIME · NORMAL

Expiration Calendar · MONTHLY OPEX 09/18 (T-16) · VIX SETTLEMENT 09/16 (T-14) · QUAD WITCHING

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: NYSE+Nasdaq Net New 52W Highs−Lows (NETNEWLOWS) at P80 1Y with 1W Δ −218 pts — FRAGILE regime.

Secondary Focus: 10Y – 2Y Treasury Spread (T10Y2Y) at P87 1Y with 1W Δ −7 bps — FLATTENING regime.

Neutral — Keep gross exposure near benchmark; only trim on further cross-asset confirmation.