Daily Summary — Sep 14, 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: 3 asset-class buckets above their own stress gate (Credit Vol & Spreads + Rates & Funding + Breadth & Positioning) while both headline gauges still read ELEVATED / NORMAL. Fused 5,226 RPM (NORMAL), fused composite rising (+547 RPM day-over-day, +1,534 over 5 sessions). Stress is accumulating underneath an unconfirmed composite — position for a regime transition rather than an event. SPX realized vol (1M/3M: 8.9% / 11.8%): 1M is below 3M by 3.0 vol points — short-term vol remains subdued.
Primary Focus: NYSE+Nasdaq Net New 52W Highs−Lows (NETNEWLOWS) at P92 1Y with 1W Δ −508 pts — FRAGILE regime.
Secondary Focus: 30Y – 10Y Treasury Spread (T30Y10Y) at P100 1Y with 1W Δ −9 bps — FLATTENING regime.
Risk-Off — Overlay flag active on a mid-band fused score — score and flag cross-confirm; reduce gross and tighten stops.