Daily Summary — Sep 28, 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 NORMAL / NORMAL. Fused 4,546 RPM (NORMAL), fused composite rising (+446 RPM day-over-day, +682 over 5 sessions). Stress is accumulating underneath an unconfirmed composite — position for a regime transition rather than an event. SPX realized vol (1M/3M: 10.9% / 11.1%): 1M is near 3M, below by 0.3 vol points and converging; no crossover confirmed.
Primary Focus: CBOE 20+ Year Treasury Bond ETF Volatility (VXTLT) at P99 1Y with 1W velocity +47.4% — BROAD PANIC regime.
Secondary Focus: ICE BofA Treasury Vol Index (MOVE) at P98 1Y with 1W velocity +25.4% — BROAD PANIC regime.
Neutral-Deteriorating — Hold gross near benchmark but stop adding risk — the composite is trending up inside the neutral band. Composite rising (+446 RPM day-over-day, +682 over 5 sessions). Pre-position hedges now; they get expensive on confirmation.