Daily Summary — Sep 21, 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 3,864 RPM (NORMAL), fused composite cooling (+222 RPM day-over-day, −1,362 over 5 sessions). Stress is accumulating underneath an unconfirmed composite — position for a regime transition rather than an event. SPX realized vol (1M/3M: 10.5% / 11.5%): 1M is below 3M by 1.0 vol points — short-term vol remains subdued.
Primary Focus: 10Y – 2Y Treasury Spread (T10Y2Y) at P99 1Y with 1W Δ −8 bps — FLATTENING regime.
Secondary Focus: CFTC E-Mini S&P 500 Leveraged-Fund Net (COT_SPX_NET) at P61 1Y with 1W Δ −94172 contracts — NEUTRAL regime.
Neutral-Improving — Hold gross near benchmark with a constructive bias — the composite is cooling inside the neutral band. Composite cooling (+222 RPM day-over-day, −1,362 over 5 sessions). Let existing hedges decay rather than rolling them up.