Journal ·
Thursday, June 25, 2026
Regime Risk-onMarket Regime
RISK-ON prints for the tenth consecutive read (n=10), continuing the prior published entry on 2026-06-24. The vol tape cooperated this session: VIX eased to 18.63, still carrying the engine's elevated tag but a notch calmer. Breadth above the 200-EMA held at 59.7% (584/978), healthy-marginal a hair narrower yet still the constructive leg. SPY closed 733.9, +6.9% over its 200-EMA (686.24), extended. Rates pulled lower across the curve: the 10Y shed 5bps to 4.41%, the 2Y dropped 8bps to 4.11%, and the 10Y–2Y spread widened 3bps to 0.30%. Breakeven inflation fell 7bps to 2.18%, the cleanest disinflation read of the week, while the real 10Y nudged up 2bps to 2.23% as the long end held firmer than breakevens. The one leg drifting the wrong way: HY widened 10bps to 2.76%, the session's largest single move and the spread worth watching.
Key Macro Reads (real data)
| Metric | Level | Read |
|---|---|---|
| Regime | RISK-ON | Tenth consecutive print (n=10), continuation from 06-24 read |
| VIX | 18.63 | Elevated tag, eased |
| Breadth >200-EMA | 59.7% (584/978) | Healthy-marginal |
| SPY close | 733.9 | +6.9% vs 200-EMA (686.24) |
| 10Y Treasury | 4.41% | WoW −5bps |
| 2Y Treasury | 4.11% | WoW −8bps |
| 10Y–2Y spread | 0.30% | WoW +3bps, steeper |
| 10Y breakeven | 2.18% | WoW −7bps, disinflating |
| Real 10Y rate | 2.23% | WoW +2bps |
| HY credit spread | 2.76% | WoW +10bps, wider, leg to watch |
| Fed Funds | 3.63% | as of 2026-05-01 |
| Initial claims | 215K | WoW −12K (as of 2026-06-20) |
| Unemployment | 4.3% | as of 2026-05-01 |
| Nonfarm payrolls | 159.0M | as of 2026-05-01 |
| Housing starts | 1,177K | as of 2026-05-01 |
Regime Assessment
This is the friendlier half of a RISK-ON tape: vol came in, breakevens disinflated, and the whole curve pulled lower, which loosens the duration headwind that capped the most stretched multiples last week. The rate tape has stopped fighting the advance. The standing caution rotated from rates to credit: HY was the session's one wrong-way leg, and a double-digit-bps week is the first move that argues against pressing size, even with the level still tight. Breadth softened a touch to a marginal-healthy reading: broad but not broadening, which says hold conviction rather than chase the narrowest extension. Net positioning stays constructive lean on cluster-confirmed names, and let the credit drift and a still-elevated VIX gate sizing instead of the rate tape, which improved.
What Would Invalidate
- HY at 2.76% after a +10bps week is the leg to watch; a continued drift wider removes the cleanest confirm and pulls the read toward NEUTRAL.
- Breadth at 59.7% is healthy but marginal; participation slipping under 50% turns the regime faster than any single macro print.
- VIX still carries the elevated tag at 18.63; a reversal back up converts an easing vol tape into a vol regime.
- The 2Y reversing higher and re-flattening the 0.30% spread, or the real 10Y firming past 2.23%, hits the longest-duration narratives first.
Forward Catalysts
- Next CPI against a 2.18% breakeven: the disinflation read is the constructive input; a hot print reverses it and pushes the real rate the wrong way for momentum multiples.
- Next payrolls and claims: claims firmed to 215K (−12K), a strong labor signal; the open question is whether the 159.0M payroll trend and 4.3% unemployment hold.
- The HY path from 2.76%: whether this week's +10bps is noise or the opening of a credit re-rate is the fastest route to handing the regime back.
- Fed path against a 3.63% funds rate, with the curve at 0.30% as the market keeps pricing cuts the Fed hasn't delivered.
Status
RISK-ON, consecutive print #10 (n=10) on the public ledger; continuation of the prior published read on 2026-06-24. Research only no positions, sizes, entries, stops, or P&L.
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