Daily Summary — Nov 13, 2026

Summary Generated: 13 Nov 2026Risk-Off

▲ 5 flags

DERIV 5,582 · ELEVATEDMACRO 5,096 · NORMALFUSED 5,339 · NORMAL

◉ Derivatives Volatility

Equity options · tactical execution signal

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

5,582RPM

REGIME · ELEVATED

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: 21.9% vs 14.7%, +7.2 pts) — Ratio 1.49 expanding above 10D SMA 1.39, 1Y Z +2.76σ falling; since Oct 30, 2026; 11 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 · 11 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: 35.9% vs 23.9%, +12.0 pts) — Ratio 1.50 expanding above 10D SMA 1.42, 1Y Z +2.58σ falling; since Oct 27, 2026; 14 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 · 14 SESSIONS · since 10/27 — PERSISTING. Active for 3+ consecutive trading sessions.

▲ VOL-OF-VOL ELEVATEDVVIX ≥ 100, or secondary trigger: 1Y P90+ / Z ≥ +2σ (convexity repricing)That day: VOL-OF-VOL ELEVATED — VVIX 103.1 (≥ 100). Convexity being repriced; tail-hedge demand active. since Nov 13, 2026; 1 consecutive observed trading session. Falling back below the trigger only clears this flag — it is not a risk-on signal.

EQUITY VRP EXTREME DISCOUNT — TACTICAL CONTEXT · VIX −2.0σ / P1.6 INV; VXN −2.6σ / P3.2 INV; RVX −2.2σ / P2.0 INV; VXD −1.9σ / P1.2 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.

5,096RPM

REGIME · NORMAL

Top drivers:T10Y2YP96-28.9%NETNEWLOWSP85-55.1%

◉ 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.

7,857RPM

REGIME · FRAGILE

Expiration Calendar · MONTHLY OPEX 11/20 (T-7) · VIX SETTLEMENT 11/18 (T-5)

SHORT-TERM STRESS ALERT: SPX 1M realized vol INVERTED above 3M (21.9% vs 14.7%; since Oct 30, 2026; 11 consecutive observed trading sessions); QQQ (Nasdaq-100 proxy) 1M realized vol INVERTED above 3M (35.9% vs 23.9%; since Oct 27, 2026; 14 consecutive observed trading sessions). Dual SPX + QQQ inversion — broad-market and Nasdaq-100 proxy stress are aligned. Fused 5,339 RPM (NORMAL), fused composite cooling (+209 RPM day-over-day, −1,144 over 5 sessions). 3-bucket stress breadth. Linear VRP 1Y tail readings: VIX P2.0 / −2.1σ INV (extreme low); VXN P3.6 / −2.3σ INV (extreme low); RVX P2.0 / −2.3σ INV (extreme low); VXD P1.2 / −2.2σ INV (extreme low); MOVE P88.1 / +1.5σ (high). Variance VRP 1Y tail readings: VIX P1.6 / −2.0σ INV (low); VXN P3.2 / −2.6σ INV (extreme low); RVX P2.0 / −2.2σ INV (extreme low); VXD P1.2 / −1.9σ INV (low); MOVE P89.3 / +1.6σ (high). 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 P96 1Y with 1W Δ −11 bps — FLATTENING regime.

Secondary Focus: NYSE+Nasdaq Net New 52W Highs−Lows (NETNEWLOWS) at P85 1Y with 1W Δ −233 pts — 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.