Daily Summary — Sep 22, 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 (Credit Vol & Spreads + Breadth & Positioning) while both headline gauges still read NORMAL / NORMAL. Fused 3,631 RPM (NORMAL), fused composite cooling (−233 RPM day-over-day, −1,667 over 5 sessions). Stress is accumulating underneath an unconfirmed composite — position for a regime transition rather than an event. SPX realized vol (1M/3M: 10.4% / 11.1%): 1M is near 3M, below by 0.7 vol points and converging; no crossover confirmed.
Primary Focus: NYSE+Nasdaq Net New 52W Highs−Lows (NETNEWLOWS) at P97 1Y with 1W Δ −215 pts — FRAGILE regime.
Secondary Focus: 30Y – 10Y Treasury Spread (T30Y10Y) at P100 1Y with 1W Δ −5 bps — FLATTENING regime.
Neutral-Improving — Hold gross near benchmark with a constructive bias — the composite is cooling inside the neutral band. Composite cooling (−233 RPM day-over-day, −1,667 over 5 sessions). Let existing hedges decay rather than rolling them up.