Monday, August 10, 2026

Market Regime

RISK-ON is the regime engine's read, the same regime as the prior published entry of 2026-08-07. This is the fifth consecutive RISK-ON print on the public ledger (n=5). Breadth recovered the ground it lost: 69.4% of the universe (677/975) trades above its 200-EMA, back above the prior count and scoring healthy. SPY closed 773.16, +9.7% over its 200-EMA of 704.75. VIX at 15.15 sits lower in the calm band than on the prior read. Rates fell harder than last week: the 10Y dropped 10bps WoW to 4.65% and the 2Y dropped 9bps to 4.19%, leaving the 10Y–2Y spread barely changed at 0.46% (−1bp). Breakevens fell 3bps to 2.25% and the real 10Y fell 7bps to 2.40%. HY tightened another 15bps to 2.70%. Claims stand at 199K (+1K WoW, as of 2026-08-01). All FRED prints carry an as-of date of 2026-08-07 except where noted.

Key Macro Reads (real data)

Regime Assessment

The divergence flagged on the prior read did not persist. Breadth turned back up while credit kept tightening, so the two inputs that pulled apart last week are pointed the same way again. Measured: the engine classifies RISK-ON and every input sits inside its favourable band. Inferred: a read supported by both participation and credit is broader than one carried by credit alone, which removes the specific narrowing the prior level described. It does not add anything new a reversal of a one-week wobble restores the earlier condition rather than establishing a stronger one.

The rate move re-accelerated and this time it was parallel. A 10bp fall at the 10Y against a 9bp fall at the 2Y leaves the curve essentially where it was at 0.46%, so the decline says little about growth expectations either way. The composition repeated: the real 10Y fell 7bps while inflation compensation gave up 3bps, the second consecutive observation in which the real rate carried most of the move. Two observations of a decomposition are two observations. The easing-signature interpretation now has a repeat behind it and still no confirmation from any labor or activity print on this sheet.

Geometry extended. An index 9.7% above its 200-EMA with VIX at 15.15 is further from trend and cheaper on insurance than the prior read a wider cushion and a thinner premium at the same time. Five prints remain a short series clustered in a single window, and the entire sequence has run without a volatility expansion or a credit widening to test it. Nothing here has been observed under stress.

What Would Invalidate

• HY at 2.70% has now tightened four observations running, most recently 15bps. A widening print reverses the strongest single contributor to this sequence.
• Breadth at 69.4% (677/975) recovered from the prior count. A second decline, not the one-week dip already seen, would make participation the dissenting leg.
• SPY at 773.16 is +9.7% above its 200-EMA of 704.75. Compression of that cushion alongside a falling breadth count removes the price leg.
• VIX at 15.15 sits in the calm band and has fallen across the sequence. Expansion out of the band strips the volatility input common to all five prints.
• The 10Y at 4.65% and 2Y at 4.19% fell nearly in parallel; the spread held 0.46%. A resumption of 10Y-led decline that flattens the spread below 0.46% recasts the move as a growth signal rather than a policy one.
• The real 10Y at 2.40% fell 7bps against a 3bp fall in the 2.25% breakeven. If that split inverts and breakevens lead the decline, the demand-weakness reading displaces the easing reading.
• Claims at 199K (as of 2026-08-01) rose 1K. A sustained climb supplies a labor cause that none of the current inputs would anticipate.

Forward Catalysts

• Credit: whether HY holds 2.70% or gives back part of a four-print tightening run. Consecutive 14–15bp weekly moves are the size that mean-reverts.
• Breadth: whether the 677/975 count holds above the prior read or the recovery proves to be noise around a topping count.
• Rates: whether the re-acceleration to −10bps continues, and whether the real-rate-led composition holds for a third observation.
• Labor: the next claims print against 199K, and the next UNRATE and PAYEMS updates, both currently stale at 2026-07-01.
• Volatility: whether VIX at 15.15 stays inside the calm band. The sequence has never been tested by an expansion, so the first one is the first real information.

Status

RISK-ON as of 2026-08-10; fifth consecutive print on the public ledger (n=5), same regime as 2026-08-07.

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