Daily Summary — Oct 05, 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 4,308 RPM (NORMAL), fused composite flat (+140 RPM day-over-day, −238 over 5 sessions). Stress is accumulating underneath an unconfirmed composite — position for a regime transition rather than an event. SPX realized vol (1M/3M: 10.3% / 11.1%): 1M is near 3M, below by 0.7 vol points and separating; no crossover confirmed.
Primary Focus: MOVE − VIX Spread (MOVE_VIX_SPREAD) at P100 1Y with 1W Δ +12.33 pts — BROAD PANIC regime.
Secondary Focus: 10Y – 2Y Treasury Spread (T10Y2Y) at P65 1Y with 1W Δ +15 bps — NORMAL regime.
Neutral — Keep gross exposure near benchmark; the composite is flat inside the neutral band and only trim on further cross-asset confirmation.