Daily Summary — Sep 11, 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 4,679 RPM (NORMAL), fused composite rising (−757 RPM day-over-day, +1,106 over 5 sessions). Stress is accumulating underneath an unconfirmed composite — position for a regime transition rather than an event. SPX realized vol (1M/3M: 9.1% / 11.8%): 1M is below 3M by 2.7 vol points — short-term vol remains subdued.
Primary Focus: 10Y – 2Y Treasury Spread (T10Y2Y) at P96 1Y with 1W Δ −10 bps — FLATTENING regime.
Secondary Focus: NYSE+Nasdaq Net New 52W Highs−Lows (NETNEWLOWS) at P82 1Y with 1W Δ −275 pts — FRAGILE regime.
Neutral-Deteriorating — Hold gross near benchmark but stop adding risk — the composite is trending up inside the neutral band. Composite rising (−757 RPM day-over-day, +1,106 over 5 sessions). Pre-position hedges now; they get expensive on confirmation.