Daily Summary — Nov 11, 2026

Summary Generated: 11 Nov 2026Risk-Off

▲ 6 flags

DERIV 4,590 · NORMALMACRO 5,015 · NORMALFUSED 4,803 · NORMAL

◉ Derivatives Volatility

Equity options · tactical execution signal

Measures short-term options volatility structure, correlation stress, and market breadth to identify tactical execution risk.

4,590RPM

REGIME · NORMAL

No equity-vol driver in top 2

▲ SPX REALIZED VOL INVERSIONSPX 1M / 3M REALIZED VOL (21D vs 63D) — 1M realized vol above 3MThat day: SPX REALIZED VOL INVERTED (1M/3M: 22.2% vs 14.7%, +7.5 pts) — Ratio 1.51 expanding above 10D SMA 1.30, 1Y Z +2.98σ rising; since Oct 30, 2026; 9 consecutive observed trading sessions; 10D SMA > 1.00 — structurally confirmed. Front-end price volatility expanding above the 3M baseline: risk-off signal; materially reduce equity exposure, including SPX and QQQ, and maintain protection. Dual SPX + QQQ inversion — broad-market and Nasdaq-100 proxy stress are aligned.▲ CONFIRMED · 9 SESSIONS · since 10/30 — PERSISTING. Active for 3+ consecutive trading sessions.

▲ QQQ REALIZED VOL INVERSIONQQQ 1M / 3M REALIZED VOL (21D vs 63D) — 1M realized vol above 3MThat day: QQQ (NASDAQ-100 PROXY) REALIZED VOL INVERTED (1M/3M: 36.3% vs 23.8%, +12.5 pts) — Ratio 1.53 expanding above 10D SMA 1.35, 1Y Z +2.77σ rising; since Oct 27, 2026; 12 consecutive observed trading sessions; 10D SMA > 1.00 — structurally confirmed. Front-end price volatility expanding above the 3M baseline: risk-off signal; materially reduce equity exposure, including SPX and QQQ, and maintain protection. Dual SPX + QQQ inversion — broad-market and Nasdaq-100 proxy stress are aligned.▲ CONFIRMED · 12 SESSIONS · since 10/27 — PERSISTING. Active for 3+ consecutive trading sessions.

▲ VIX FUTURES CURVE INVERSIONCBOE VX MONTHLY FUTURES (F1–F9) — F2 below F1 or at least 2 of the first 3 adjacent pairs inverted triggers Risk-Off immediately; 3 sessions confirms persistence. Geometry: Front-End Backwardation (front inverted, back pairs non-inverted), Full-Curve Inversion (last tenor below F1 and majority of pairs inverted), or Segmented Backwardation (mixed inverted segments)That day: VIX FUTURES INVERSION (FRONT-END BACKWARDATION) — F1 19.91 → F2 19.51, front -2.0%, whole curve +7.1%; 1/3 front pairs inverted; 1/8 pairs inverted across the curve. Front backwardation day 4 since 2026-11-05 (3-session confirmed). Enforce defensive posture.▲ CONFIRMED · 4 SESSIONS · since 11/05 — PERSISTING. Active for 3+ consecutive trading sessions.

EQUITY VRP EXTREME DISCOUNT — TACTICAL CONTEXT · VIX −2.6σ / P0.4 INV; VXN −3.7σ / P0.4 INV; RVX −2.8σ / P0.4 INV; VXD −2.2σ / P0.4 INV. Multi-index IV below trailing 20D realized volatility. A reflexive rally or short squeeze is possible, not predicted by VRP alone; avoid chasing downside and require price/breadth confirmation before tactical longs. Structural risk limits and hedges still apply.

◉ Macro Liquidity & Funding Stress

Rates · curve · funding stress

Monitors cross-asset rate, curve, and funding plumbing dynamics to detect systemic liquidity freezes.

5,015RPM

REGIME · NORMAL

Top drivers:T10Y2YP98-26.5%

◉ Institutional Positioning & Leverage

CFTC COT · credit spreads · rates-vs-equity vol

Tracks institutional futures leverage and credit spreads to quantify forced unwind and de-leveraging capacity.

7,975RPM

REGIME · FRAGILE

Expiration Calendar · MONTHLY OPEX 11/20 (T-9) · VIX SETTLEMENT 11/18 (T-7)

SHORT-TERM STRESS ALERT: SPX 1M realized vol INVERTED above 3M (22.2% vs 14.7%; since Oct 30, 2026; 9 consecutive observed trading sessions); QQQ (Nasdaq-100 proxy) 1M realized vol INVERTED above 3M (36.3% vs 23.8%; since Oct 27, 2026; 12 consecutive observed trading sessions); VIX futures term structure inverted (front-end backwardation; front -2.0%, day 4 since 2026-11-05). Dual SPX + QQQ inversion — broad-market and Nasdaq-100 proxy stress are aligned. Fused 4,803 RPM (NORMAL), fused composite cooling (−436 RPM day-over-day, −19 over 5 sessions). 1-bucket stress breadth. Linear VRP 1Y tail readings: VIX P0.4 / −2.9σ INV (extreme low); VXN P0.4 / −3.1σ INV (extreme low); RVX P0.4 / −2.8σ INV (extreme low); VXD P0.4 / −2.6σ INV (extreme low). Variance VRP 1Y tail readings: VIX P0.4 / −2.6σ INV (extreme low); VXN P0.4 / −3.7σ INV (extreme low); RVX P0.4 / −2.8σ INV (extreme low); VXD P0.4 / −2.2σ INV (extreme low). Variance VRP negative on VIX, VXN, RVX, VXD, GVX — INV means implied volatility is below the underlying's trailing 20D realized volatility, not merely a low historical rank.

Primary Focus: 10Y – 2Y Treasury Spread (T10Y2Y) at P98 1Y with 1W Δ −9 bps — FLATTENING regime.

Risk-Off — Short-term stress active (SPX RV inversion, QQQ RV inversion and VIX futures curve stress) — materially reduce gross equity exposure, including SPX and QQQ; add front-end protection and avoid adding risk until the signals clear. Tactical caveat: Multi-index inverted premiums are unusually discounted versus trailing realized volatility. A reflexive rally or short squeeze is possible, not established by VRP alone; avoid chasing downside and require price/breadth confirmation before tactical longs. Structural risk limits and hedges still apply.