Daily Summary — Oct 13, 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 4,122 RPM (NORMAL), fused composite flat (+174 RPM day-over-day, +87 over 5 sessions). Stress is accumulating underneath an unconfirmed composite — position for a regime transition rather than an event. SPX realized vol (1M/3M: 9.5% / 10.9%): 1M is below 3M by 1.4 vol points — short-term vol remains subdued.
Primary Focus: CFTC E-Mini S&P 500 Leveraged-Fund Net (COT_SPX_NET) at P81 1Y with 1W Δ −97523 contracts — DEFENSIVE regime.
Secondary Focus: ICE BofA Treasury Vol Index (MOVE) at P94 1Y with 1W velocity -11.3% — FRAGILE regime.
Neutral — Keep gross exposure near benchmark; the composite is flat inside the neutral band and only trim on further cross-asset confirmation.