Derivatives Tachometer
Options-market pressure: implied volatility levels, vol-of-vol, skew, implied correlation, and term-structure slope. Answers how much the derivatives complex is paying for protection right now.
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How our multi-asset engine quantifies cross-asset stress, regime states, and risk postures.
“Price tells you where markets have been. Volatility, correlation, and tail risk tell you how fragile the system is right now.”
Options-market pressure: implied volatility levels, vol-of-vol, skew, implied correlation, and term-structure slope. Answers how much the derivatives complex is paying for protection right now.
Plumbing and cash-market stress: rates volatility, credit spreads, funding conditions, and physical commodity vol. Answers whether real balance-sheet stress is confirming the options tape.
The cross-asset systemic pressure score on a 0–10,000 RPM scale, blending the two sub-engines with winsorized (±3σ) Z-scores so a single dislocated print cannot dominate the composite.
Low systemic stress. Cross-asset vol, credit, and funding are all inside benign bands — standard or expanded gross exposure.
The trend sub-label separates a cooling, flat, or rising composite. Improving permits a constructive bias; Deteriorating stops new risk and calls for pre-positioned hedges.
High RPM requires stress in at least two asset-class buckets unless overlay flags independently escalate the posture. Trim gross, tighten stops, favour convexity.
An elevated composite without a second stressed bucket remains Neutral. Hold gross near benchmark and wait for cross-asset confirmation.
The Macro Regime Snapshot does not infer systemic risk from the fused score alone. It tests whether pressure is unusual for each asset class, whether it is spreading, and whether the composite is accelerating or cooling.
The snapshot also tracks SPX realized volatility: 1M uses 21 trading sessions and 3M uses 63, annualized from daily returns. It reports both readings and their gap in vol points. A 1M cross above 3M signals short-term volatility expansion (negative for markets); a cross below 3M signals normalization (positive). Within 1 vol point, it distinguishes convergence from separation without calling proximity a crossover. This observation does not independently change the desk stance.
Equity Vol, Credit Vol & Spreads, Rates & Funding, and Breadth & Positioning. Each score is the mean of its two strongest ticker signals.
A bucket must clear both a 0.55 absolute floor and the 70th percentile of its own trailing scores over as many as 90 sessions. Before 20 observations, only the absolute floor applies.
Two or more stressed buckets establish breadth. This separates broad deterioration from a structurally elevated or isolated market pocket.
The narrative distinguishes confirmed broad stress, pre-confirmation breadth, localized stress, flag-only watch windows, volatility repricing without breadth, and contained conditions.
The five-session move is evaluated first; the one-session threshold is the fallback. Smaller moves are classified as flat.
Overlay flags are discrete Boolean tripwires (credit-vol expansion, funding stress, curve dislocation, dispersion collapse). A single isolated flag on an otherwise calm composite renders a visual alert badge — it does not force a portfolio-wide Risk-Off. Escalation requires either a second flag or a mid-band score that cross-confirms the flag.
Base stance unchanged — fused RPM, cross-asset breadth, and trend govern the desk posture.
Risk-On retained. Badge only (▲ 1 FLAG) — isolated overlay on a calm composite.
Neutral. Badge only — no forced Risk-Off without score confirmation.
Risk-Off. Score and flag cross-confirm each other.
Risk-Off. Multi-flag stress is treated as broad-market consensus.
Every hero regime badge is driven by the metric's spot percentile against a rolling one-year sample of its own history (with absolute domain anchors as a cold-start fallback). Horizon tabs (1M / 3M / 6M / 1Y) show the true windowed rank for that sample and never alter the hero badge.
Bottom third of the rolling one-year sample. Compressed vol, wide-and-healthy curves, benign credit.
Mid-band. The metric is behaving inside its own historical routine — no signal.
Upper third. Stress building but not yet confirmed across the asset class.
Top decile-and-a-half. Term structures inverting, spreads gapping, sentiment capitulating.
Top 5% of the one-year distribution. Historic dislocation for that specific series.
Not investment advice · engine outputs are decision-support signals only.