Daily Summary — Nov 12, 2026

Summary Generated: 12 Nov 2026Risk-Off

▲ 4 flags

DERIV 5,320 · NORMALMACRO 4,939 · NORMALFUSED 5,130 · NORMAL

◉ Derivatives Volatility

Equity options · tactical execution signal

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

5,320RPM

REGIME · NORMAL

Top drivers:VXNP89-24.6%

▲ SPX REALIZED VOL INVERSIONSPX 1M / 3M REALIZED VOL (21D vs 63D) — 1M realized vol above 3MThat day: SPX REALIZED VOL INVERTED (1M/3M: 21.9% vs 14.7%, +7.2 pts) — Ratio 1.49 expanding above 10D SMA 1.35, 1Y Z +2.82σ falling; since Oct 30, 2026; 10 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 · 10 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: 35.8% vs 23.8%, +12.0 pts) — Ratio 1.50 expanding above 10D SMA 1.39, 1Y Z +2.62σ falling; since Oct 27, 2026; 13 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 · 13 SESSIONS · since 10/27 — PERSISTING. Active for 3+ consecutive trading sessions.

EQUITY VRP EXTREME DISCOUNT — TACTICAL CONTEXT · VIX −2.3σ / P0.8 INV; VXN −3.1σ / P1.2 INV; RVX −2.6σ / P1.2 INV; VXD −2.0σ / P0.8 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.

4,939RPM

REGIME · NORMAL

Top drivers:T10Y2YP99-25.0%

◉ 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.

7,940RPM

REGIME · FRAGILE

Expiration Calendar · MONTHLY OPEX 11/20 (T-8) · VIX SETTLEMENT 11/18 (T-6)

SHORT-TERM STRESS ALERT: SPX 1M realized vol INVERTED above 3M (21.9% vs 14.7%; since Oct 30, 2026; 10 consecutive observed trading sessions); QQQ (Nasdaq-100 proxy) 1M realized vol INVERTED above 3M (35.8% vs 23.8%; since Oct 27, 2026; 13 consecutive observed trading sessions). Dual SPX + QQQ inversion — broad-market and Nasdaq-100 proxy stress are aligned. Fused 5,130 RPM (NORMAL), fused composite cooling (+327 RPM day-over-day, −1,821 over 5 sessions). 2-bucket stress breadth. Linear VRP 1Y tail readings: VIX P0.8 / −2.5σ INV (extreme low); VXN P1.2 / −2.6σ INV (extreme low); RVX P0.8 / −2.6σ INV (extreme low); VXD P0.8 / −2.3σ INV (extreme low). Variance VRP 1Y tail readings: VIX P0.8 / −2.3σ INV (extreme low); VXN P1.2 / −3.1σ INV (extreme low); RVX P1.2 / −2.6σ INV (extreme low); VXD P0.8 / −2.0σ INV (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 P99 1Y with 1W Δ −8 bps — FLATTENING regime.

Secondary Focus: Nasdaq-100 Volatility (VXN) at P89 1Y with 1W velocity -24.6% — FRAGILE regime.

Risk-Off — Short-term stress active (SPX RV inversion and QQQ RV inversion) — 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.