Daily Summary — Sep 03, 2026

Summary Generated: 03 Sept 2026Risk-On

DERIV 2,849 · NORMALMACRO 3,995 · NORMALFUSED 3,422 · NORMAL

◉ Derivatives Volatility

Equity options · tactical execution signal

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

2,849RPM

REGIME · NORMAL

Top drivers:FX_DISPERSIONP100+29.1%

◉ Macro Liquidity & Funding Stress

Rates · curve · FX · funding stress

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

3,995RPM

REGIME · NORMAL

Top drivers:FX_DISPERSIONP100+29.1%SOFREFFRP58+100.0%

◉ 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.

3,603RPM

REGIME · NORMAL

Expiration Calendar · MONTHLY OPEX 09/18 (T-15) · VIX SETTLEMENT 09/16 (T-13) · 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: FX Carry vs. Broad G7 Divergence (FX_DISPERSION) at P100 1Y with 1W Δ +0.86 % — BROAD PANIC regime.

Secondary Focus: Repo Funding Stress (SOFR – EFFR) (SOFREFFR) at P58 1Y with 1W Δ +1 bps — NORMAL regime.

Risk-On — Maintain standard VaR limits; dips are buyable in the absence of cross-asset confirmation.