—
—
Market Intelligence Deck
Loading Chart Explorer...
Chart Explorer
Professional market analysis with dual-axis capabilities. Analyze lead-lag relationships by plotting two variables against the same timeline.
Dual-Axis Analysis
Compare up to 2 variables on the Primary (Right) axis and up to 2 variables on the Secondary (Left) axis.
Primary Variables (Right Axis, up to 2)
Secondary Variables (Left Axis, up to 2)
—
—
Latest Value
—
21D Return
—
Volatility (Ann)
—
6M Correlation
—
--
--
--
--
Help Keep This Tool Free
If this report is helping you with your analysis, please consider supporting the project so we can keep it publicly accessible and free for everyone, as maintaining everything on cloud servers incurs ongoing costs.
Regime Change (6M Corr) against S&P 500 (fixed)
Tracks the rolling 6-month correlation between your primary variable and the benchmark (S&P 500).
Tip: Above 0: Risk On · Below 0: Risk Off
Regime Variable
—
View detailed interpretation...
+0.7 to +1.0 → Strong “Risk-On” (moves with market)
~0.0 → Independent / Uncorrelated
Negative → Hedge / Defensive / “Risk-Off” (moves opposite)
~0.0 → Independent / Uncorrelated
Negative → Hedge / Defensive / “Risk-Off” (moves opposite)
Data Browser
Category
Topic
Indicator
Variable Transformations
Loading Liquidity Dynamics...
Liquidity Control Center
Analyzing Flow...
This engine monitors the hydraulic pressure of the financial system. It tracks whether Central Banks are injecting fuel (Impulse), if the plumbing is clogged (Fragility), or if the cost of money is hitting a wall (Funding Stress).
Last Updated: --
Liquidity Impulse (3M)
--%
The "Accelerator" (Fed Flow).
Shock Signal (1M)
--%
Sudden injections or drains.
Gap Risk (Airbag)
--
Overnight liquidity voids.
Refi Stress
--%
Cost of new debt vs. old.
Macro Engine (The Driver)
Liquidity Impulse & Shock
Is the Fed pressing the Accelerator (Green) or the Brake (Red)?
Action: Positive Impulse supports "Buy the Dip."
Negative Impulse suggests rallies will fail.
Watch the Shock (Line) for sudden policy pivots before the trend turns.
View detailed interpretation...
Understanding Liquidity Impulse & Shock
This chart visualizes the rate of change of systemic monetary fuel, effectively measuring whether central banks and the treasury are opening or closing the liquidity faucet. It does not look at the absolute level of dollars in the system, but rather the momentum of those flows.
1. The "Impulse" Calculation (The Bars)
The Impulse acts as the macro "Accelerator," tracking the medium-term direction of liquidity.
- Calculation: It measures the percentage change in Net Liquidity over a 3-month rolling window (approximately 63 trading days). The engine specifically uses a log difference to approximate this percentage change.
- Formula:
Impulse = ln(Net Liquidity_t / Net Liquidity_{t-63}).
2. The "Shock" Calculation (The Line)
The Shock acts as the "Jolt," tracking sudden, short-term injections or withdrawals that might disrupt the broader trend.
- Calculation: It measures the percentage change in Net Liquidity over a 1-month rolling window (approximately 21 trading days).
- Formula:
Shock = ln(Net Liquidity_t / Net Liquidity_{t-21}).
3. How to Interpret the Signal
- Green Bars (Positive Impulse): The liquidity pool is expanding relative to 3 months ago. This provides a structural tailwind for risk assets, creating an environment that generally supports "buying the dip".
- Red Bars (Negative Impulse): The liquidity pool is contracting. This acts as a macro headwind, suggesting that broad market rallies may lack the fuel to sustain themselves and could fail.
- Shock Divergence: The primary value of the Shock line is spotting pivots. If the Impulse bars are deep red (a draining trend), but the grey Shock line suddenly spikes vertically, it indicates a rapid, short-term injection (e.g., the Treasury suddenly draining the TGA to pay bills). This often triggers aggressive, short-lived market rallies against the primary trend.
A Rational Skeptic's View
Do not fall into the trap of assuming liquidity is the singular driver of asset prices. It is a common mistake to view a positive liquidity impulse as an absolute guarantee of a bull market. If the broader economy is entering a recession and credit risk is exploding, massive liquidity injections by the Fed (like in 2008) will not stop equities from cratering. Conversely, a negative impulse (like we saw throughout much of 2023) can be completely overridden by massive corporate earnings growth or structural deficit spending outside the Fed's purview. Treat this chart as a measure of structural wind resistance, not an infallible directional compass.
Reserves Strain Gauge
Net Liquidity scaled by S&P 500 Price.
Signal: If the S&P 500 rises while this ratio trends down,
risk assets are outrunning system liquidity. Expect sharper, gap-driven drawdowns.
View detailed interpretation...
Understanding the Reserves Strain Gauge
This metric is a liquidity-based valuation model. It ignores traditional fundamentals to ask one objective question: Is there enough monetary fuel in the financial system to justify current stock prices?
1. Net Liquidity (The Fuel)
True market liquidity isn't just the size of the Fed's balance sheet; it must account for capital locked away in government and institutional accounts.
- Formula:
Net Liquidity = Fed Total Assets - TGA - RRP. - Fed Total Assets: Money injected by the central bank (lagged 7 days to align with daily market data).
- TGA & RRP: The Treasury General Account (government checking) and Reverse Repo (parked money-market cash). Both of these drain active, deployable liquidity from the private sector.
2. Reserves Strain (The Valuation)
- Formula:
Strain = Net Liquidity / S&P 500 Index Price. - This calculates how much active central bank money is supporting each unit of the benchmark index.
3. How to Interpret the Signal
This is strictly a divergence indicator.
- Falling Ratio (High Strain): Stock prices are rising faster than the underlying money supply. Risk assets are outrunning system liquidity, signaling market fragility and an increased risk of sharp, gap-driven drawdowns.
- Rising Ratio (Low Strain): Liquidity is expanding faster than stock prices, providing a monetary cushion that traditionally supports risk assets.
A Rational Skeptic's View
Do not treat this gauge as an infallible law of market physics. It relies on the assumption that central bank reserves mechanically dictate equity prices. In reality, a falling ratio (high strain) is not an automatic sell signal. If corporate earnings and profit margins are accelerating rapidly, the market can rationally sustain higher valuations without relying on ongoing central bank liquidity injections.
Help Keep This Tool Free
If this report is helping you with your analysis, please consider supporting the project so we can keep it publicly accessible and free for everyone, as maintaining everything on cloud servers incurs ongoing costs.
Market Fragility (The Plumbing)
The "Airbag" (Gap Risk)
Intraday liquidity vs. Overnight Gaps.
Signal: If Gap Risk spikes, market makers are pulling bids overnight.
Stop-losses won't work. Reduce position sizing.
View detailed interpretation...
Understanding the "Airbag" (Gap Risk)
This metric tracks the danger of holding risk overnight. It compares the magnitude of price action that happens while you are sleeping versus while the market is open.
1. The "Gap Risk" Calculation
The engine uses the S&P 500's Open, High, Low, and Previous Close prices to form a ratio.
- The Gap (Numerator): The absolute jump from yesterday's close to today's open
|Open - Prev Close|. - The Range (Denominator): The total intraday price movement
High - Low. - Formula:
Gap Risk = |Open - Prev Close| / (High - Low).
2. How to Interpret the Signal
- High Value (e.g., > 50%): The market is moving significantly while closed. This implies liquidity is thin or market makers are pulling bids overnight. It is dangerous because traditional risk management tools (like stop-loss orders) will fail to execute at your desired price.
- Low Value: Most price discovery is happening smoothly during active trading hours. Your risk management "airbag" functions properly.
A Rational Skeptic's View
Gap risk can easily trigger false positives. A high reading on a single day might simply be a rational reaction to a scheduled pre-market data release (like a CPI print) or an overnight geopolitical headline, rather than a symptom of broken market plumbing. It is only alarming if the gap risk stays persistently elevated without obvious news catalysts, which points to a true deterioration in market maker liquidity.
Sector Dispersion
Active Price Discovery vs. Passive Floods.
Signal: Low Dispersion means everything moves together (Passive/Bot flow).
High Dispersion means investors are picking winners (Healthy).
View detailed interpretation...
Understanding Sector Dispersion
This metric measures whether the market is trading as a monolith or if investors are actively differentiating between distinct areas of the economy.
1. The "Dispersion" Calculation
The engine calculates the variance in performance across the 11 major S&P 500 sector ETFs.
- Calculation: It takes the daily log return for each sector and calculates the standard deviation of those 11 returns for that specific day.
- Formula:
Dispersion = StdDev(Sector Returns_t).
2. How to Interpret the Signal
- High Dispersion: Investors are actively picking winners and losers. This usually indicates a healthy market with functioning price discovery, or a rotational environment (e.g., money flowing out of Tech and into Energy).
- Low Dispersion: Everything is moving in lockstep, usually driven by macroeconomic macro headlines or passive index-fund flows. Extremely low dispersion often precedes volatility spikes because correlations converge toward 1.0 (herd behavior).
A Rational Skeptic's View
High dispersion is not inherently bullish; it just means sectors are diverging. A market can experience a violent rotation where one sector crashes while another stays flat, resulting in high dispersion but a negative index return. Conversely, low dispersion is dangerous but can persist for long periods during a steady, passive-flow-driven bull market. Do not use this as a standalone directional signal.
Margin Debt Oscillator
12M rate of change: Margin Debt vs Free Cash (FINRA). Divergence = forced liquidation risk.
Signal:
Margin accelerating while
free cash collapses means the system is “levered long”
with no buffer — small drawdowns can trigger forced selling.
Use the spread line (Margin ROC − Cash ROC) as the “fragility temperature.”
Use the spread line (Margin ROC − Cash ROC) as the “fragility temperature.”
Funding Liquidity (The Cost)
The "Refinancing Wall"
Current Cost of Debt vs. Legacy Rates.
The "Silent Killer": If this spikes positive, companies cannot afford to roll old debt.
Predicts bankruptcies and halts in stock buybacks.
View detailed interpretation...
Understanding the Refinancing Wall
This metric acts as a corporate stress test. It measures the "sticker shock" companies face when their old, cheap debt matures and must be replaced in today's interest rate environment.
1. The "Refi Stress" Calculation
The engine calculates the gap between current market borrowing rates and the historical rates companies are currently paying.
- Current Cost of Debt: The current US 10-Year Treasury Yield plus the BBB Corporate Credit Spread (OAS).
- Legacy Rate: A 3-year rolling average of that Current Cost, representing the rate companies locked in during previous refinancing cycles.
- Formula:
Refi Stress = Current Cost of Debt - Legacy Rate.
2. How to Interpret the Signal
This chart tracks the "Silent Killer" of corporate balance sheets.
- Positive Values (Red Zone): Current debt costs are higher than legacy rates. Companies face punishing interest expenses to roll over their maturing debt, which historically forces halted stock buybacks, layoffs, and bankruptcies.
- Negative Values (Green Zone): The current cost of borrowing is lower than the 3-year average. Refinancing is cheap, freeing up cash flow and providing a tailwind for corporate profit margins.
A Rational Skeptic's View
While a spiking Refi Stress gauge highlights a toxic macroeconomic environment, it is an aggregate measure that ignores individual corporate cash balances and specific debt maturity schedules. High rates today only hurt companies that actually need to borrow today. Many well-managed firms locked in long-term debt during low-rate periods and sit on massive cash reserves. A high stress level will devastate over-leveraged "zombie" companies, but cash-rich mega-caps might actually earn higher interest on their cash piles, completely neutralizing the threat.
Credit Spreads (OAS)
Lender Fear Gauge (BBB & High Yield).
The Warning: If stocks make highs but Spreads widen (rise), the bond market sees trouble.
Always trust the bond market.
Hedge Fund Shadow Financing
Stacked borrowing channels (levels) vs a tightening proxy (rate line).
Signal:
If leverage channels rise while the rate proxy trends up,
risk is building into tightening.
That combo tends to end in abrupt deleveraging when volatility returns.
The stack shows “where leverage is hiding” (repo vs prime broker vs leveraged loans).
The stack shows “where leverage is hiding” (repo vs prime broker vs leveraged loans).
Global Context (The Valve)
Global Proxy (Inverted USD)
A weak Dollar acts as global liquidity injection.
Systemic Entropy
Measure of correlation breakdown/chaos.
Emerging Market Volatility (VXEEM)
Rising VXEEM signals tightening USD liquidity and stress in emerging markets.
Liquidity Trading Guide
1. The Macro Tide
Net Liquidity is the baseline fuel. We watch the Impulse (3M change) rather than the total level.
- Green Impulse: Fed is effectively printing or Treasury is spending (TGA drain). Buy dips.
- Red Impulse: Liquidity is being withdrawn. Multiples (PE ratios) will compress. Sell rallies.
2. Market Plumbing
Even with high Fed liquidity, the market can break if the pipes are clogged.
- Gap Risk: If high, liquidity is "fake." It exists on screen but vanishes when you sell.
- Sector Dispersion: Low dispersion = mindless passive flows. High dispersion = healthy stock picking.
3. Funding Costs
The cost of leverage determines if the liquidity can be used.
- Refi Stress: The most dangerous signal for the economy. If companies have to refinance 3% debt at 7%, layoffs and bankruptcies follow.
- Credit Spreads: The "Canary in the Coal Mine" for equity crashes.
Loading EVT & Risk Structure...
Risk Control Center
Initializing...
Confidence: ---
This engine monitors Tail Risk (extreme, rare crashes). While standard models measure daily noise, EVT measures the probability of a total collapse.
Last Updated: --
99.9% VaR (1-Day)
--%
Capital at risk tomorrow.
Surprise Gap (ES-VaR)
--%
Added loss if VaR fails.
Tail Fragility (ξ)
--
Market Physics Monitor
Backtest Status
--
Rolling 1Y Accuracy
Risk Radars: The Anatomy of Fear
These three radars show what kind of stress is building: panic in volatility markets, systemic correlation spikes, and recessionary tail risk from the real economy.
The Recession Watch (Tail Risk)
Hamilton Recession Index vs Sahm Rule. Sahm Rule above 0.50 = recession trigger.
View detailed interpretation...
The Hamilton GDP Recession Indicator shows how much GDP behaves like it does during recessions—higher values mean GDP is weakening and the economy is more likely in recession, while low values mean normal growth. The Sahm Rule shows how much unemployment has risen compared to its recent low—values near or above about 0.5 mean the labor market is deteriorating enough to signal a recession. When you plot them together, the Hamilton indicator usually rises first as economic output slows, and the Sahm Rule follows when job losses begin. If both rise and stay elevated, it strongly confirms a recession; if only the Hamilton rises, it may be an early warning, and if only the Sahm rises briefly, it may reflect temporary labor market weakness rather than a full recession.
The Panic Monitor (VIX Term Structure)
Positive = Contango (calm), Negative = Inversion (panic). Red background bands highlight active panic regimes.
The Systemic Risk Monitor (Implied Correlation)
Rising correlation means diversification is failing. Watch the 60% line for systemic liquidation risk.
Help Keep This Tool Free
If this report is helping you with your analysis, please consider supporting the project so we can keep it publicly accessible and free for everyone, as maintaining everything on cloud servers incurs ongoing costs.
VaR Breach Monitor
Are we crashing more often than predicted? (Red triangles = failure).
The "Surprise Gap" (ES - VaR)
Measures the "Vacuum Effect." Wide gap = liquidity hole during a crash.
Tail Fragility Gauge (ξ)
Stable (<0.20) vs Fragile (>0.35) zones.
Recent Returns vs Current Risk Forecast
Histogram shows last ~1y realized returns. VaR reflects today’s volatility regime.
Technical Analysis & Validation
Detailed breakdown of failure rates and risk spillover into VIX/Yields.
Risk Correlations
Does EVT Risk spill over into VIX/Yields?
Factor Scatter
Click the heatmap to analyze specific pairs.
Basel II Validation
Detailed breakdown of failure rates.
Market Validation & Blind Spots
Alternative signals to cross-reference with the primary risk model.
Financial Stress Decomposition
Stacked sub-components (co-movement) with the overall stress index as a line.
How to interpret:
This index tracks systemic market stress (disruptions in normal market functioning).
The stacked areas show which channel is contributing most (credit, funding, volatility, etc.).
Actionable: when the total line rises above ~0 while the stack broadens (multiple components rising together), stress is becoming systemic rather than isolated.
Constructive: when the total mean-reverts toward 0 and the stack narrows, stress is normalizing.
0 is the “normal stress” baseline; positive is tighter / risk-off, negative is unusually calm.
Actionable: when the total line rises above ~0 while the stack broadens (multiple components rising together), stress is becoming systemic rather than isolated.
Constructive: when the total mean-reverts toward 0 and the stack narrows, stress is normalizing.
0 is the “normal stress” baseline; positive is tighter / risk-off, negative is unusually calm.
Stress Heatmap (Regional)
Compare systemic stress across regions to spot global contagion vs local shocks.
How to interpret:
Synchronized warming across rows means stress is
becoming global (spillover risk to US assets rises).
If only one row warms while the others stay cool, it’s more likely a regional shock.
Liquidity Airbag
Liquidity shocks during volatile regimes.
Signal: Watch for the "Jaws." If
Risk (Red) spikes UP while
Liquidity (Amber) plunges DOWN,
support is vanishing during a crash.
Complacency Gauge
Realized tail risk vs. Implied crash insurance.
Signal: Trust the Divergence. If the
Model (ξ) is calm/low but
SKEW (Purple) is high (>140),
traders are paying up for protection against a crash the model doesn't see yet.
Stock–Bond Correlation Regime
When diversification stops working.
Signal: The "Nowhere to Hide" Indicator. If
Correlation crosses above 0 (and especially > 0.5),
bonds are crashing *with* stocks. Traditional hedging fails in this regime.
Credit Canary
Credit stress diverging from equities.
Signal: If S&P 500 (Blue) is making highs but
Spreads (Red) are widening (rising),
the bond market is pricing in default risk that equity investors are ignoring.
This Risk tab helps you understand how “bad a bad day could realistically get” for an asset, based on how it has behaved in the past and how volatile it is right now. It uses an EVT (Extreme Value Theory) model, which is a statistical method designed specifically to study rare, extreme losses (the tail of the distribution), not the average day-to-day noise. The main output is a VaR risk limit, which you can read as: “With this confidence level, we don’t expect tomorrow’s loss to be worse than this number.” You’ll also see Expected Shortfall (ES), which answers: “If we do hit a really bad day, how bad does it tend to be on average?” The charts and indicators are meant to show whether the market is currently in a stable vs unstable regime, and whether the model is behaving reliably or should be treated with caution. Use this tab to compare assets, spot when risk is rising fast, and avoid being surprised by sudden drawdowns.
Risk Guide: Metrics & Actions
Show / Hide Detailed Guide
1. VaR Breach Monitor
This chart compares daily market returns against the calculated Value-at-Risk (VaR) limit. The VaR line represents the statistical threshold for "normal" volatility at 99% confidence. Red triangles indicate breaches, where actual losses exceeded the model's prediction. A lack of triangles indicates the model is accurately capturing risk; a cluster of triangles suggests the market has entered a volatile state that defies standard statistical modeling.
Investment Action: Occasional isolated breaches are normal. However, if you see a rapid cluster of breaches, it indicates that current volatility is unmodelable. In this scenario, reduce overall leverage and position sizing immediately until the regime stabilizes.
2. Tail Fragility Gauge (ξ)
This metric tracks the "Tail Index" (Xi), which measures the shape of the distribution of losses. It quantifies the probability of extreme outliers ("Black Swans").
- Stable (< 0.20): Tail risk is low; losses are likely to be contained.
- Fragile (> 0.35): "Fat tails" are present. This means extreme crashes are statistically far more likely than a normal distribution would predict.
Investment Action: When this gauge enters the "Fragile" or "Elevated" zone, standard mean-reversion strategies (buying the dip) become dangerous. Volatility is likely to accelerate rather than bounce. Consider purchasing protective put options or increasing cash reserves.
3. The "Surprise Gap" (Liquidity Vacuum)
Measures the spread between the VaR (the minimum loss on a bad day) and Expected Shortfall (the average loss if that limit is broken). A widening gap indicates a "liquidity vacuum" below current prices—meaning that if support breaks, the drop will likely be deep and rapid due to a lack of buyers.
Investment Action: A wide gap signals that "stop-loss" orders may suffer from significant slippage. Avoid high leverage in this environment. If you hold volatile assets, ensure your exit points are strictly defined.
4. Liquidity Airbag
This chart contrasts Net Liquidity (capital available in the system) against Volatility Shocks. The most dangerous signal is the "Jaws" formation: when Volatility Shocks (Red/Amber) spike upward while Liquidity (Green) plunges downward. This indicates the market lacks the financial cushion to absorb selling pressure.
Investment Action: During a "Jaws" divergence, limit orders may vanish, and bid-ask spreads will widen. Reduce exposure to illiquid assets (such as small-cap stocks or high-yield bonds), as they may become difficult to sell at a fair price during a downturn.
5. Complacency Gauge
Overlays your mathematical risk estimate (Tail Index) against the market's implied cost of protection (SKEW Index). A warning signal occurs when the model shows low risk, but the SKEW index is high (>140). This divergence implies that institutional traders ("Smart Money") are aggressively hedging against a crash that has not yet appeared in the price action.
Investment Action: Respect the "Smart Money" signal. If SKEW is high while the market looks calm, do not become complacent. Tighten trailing stops and avoid selling unhedged options.
6. Stock-Bond Correlation Regime
Tracks the rolling correlation between Equities (S&P 500) and Long-Term Treasuries (TLT).
- Negative Correlation: Bonds act as a hedge (safe haven) when stocks fall.
- Positive Correlation (> 0.5): Bonds and stocks are falling together. This invalidates traditional diversified portfolios (like the 60/40 split).
Investment Action: When correlation is strongly positive, bonds are no longer a reliable safety net. In this regime, Cash (USD) is the only effective hedge against equity volatility.
7. Credit Canary
Compares Equity Valuations (S&P 500 Z-Score) against Corporate Credit Stress (High Yield Spreads). A bearish divergence occurs when stock prices continue to make new highs while credit spreads widen (rise). This indicates that bond investors are pricing in default risk that equity investors are ignoring.
Investment Action: Credit markets are often leading indicators for the economy. If spreads are widening, an equity rally is likely unsupported by fundamentals. Treat such rallies with skepticism and consider taking profits.
Loading Market Drivers...
Macroeconomic Cycle
Fundamental drivers of asset returns: Growth, Inflation, and Valuation. This dashboard visualizes the core economic forces shaping the investment landscape.
Last Updated: --
The Economic Cycle
Visualizing the economy's position by plotting the Yield Curve Slope against the Inflation Gap.
Bottom-Right
Growth Phase
Top-Left
Stagflation Risk
Top-Right
Overheating
Bottom-Left
Recessionary
View detailed interpretation...
This chart visualizes the current business cycle phase by plotting the Yield Curve Slope against the Inflation Gap. However, identifying the quadrant is only half the analysis. A quadrant represents the static state of the economy, while the Yield Curve Regime chart below represents the momentum (how the market arrived there and where it is heading).
Interpreting State vs. Momentum:
Interpreting State vs. Momentum:
- Early Cycle Recovery (Bullish Steepening): The classic post-recession dynamic. Short rates collapse as the central bank eases, while low inflation keeps the long end stable. Strategy: Maximum risk-on; equities and credit begin a secular bull run.
- Reflation / Fiscal Dominance (Bearish Steepening): The current state is stable, but long-term yields are surging. The market is pricing in a future structural inflation shock or demanding a higher term premium due to excessive government debt issuance. Strategy: Underweight long-duration bonds; favor real assets.
- Preemptive Cooling (Bearish Flattening): Growth is strong, but the central bank is hiking short-term rates to prevent future overheating. The curve flattens from the front end. Strategy: Shift down the credit spectrum; lock in higher short-term yields.
- Goldilocks / Disinflationary Boom (Bullish Flattening): Growth is solid, but long-term rates drift lower. Inflation expectations are anchored, driving buyers into the long end while short rates hold steady. Strategy: Massive tailwind for long-duration risk assets (e.g., tech equities).
- Late-Cycle Peak (Bearish Flattening): High inflation forces aggressive rate hikes, rapidly driving the curve toward inversion. The economy is overheating and the central bank is actively trying to destroy demand. Strategy: Defensive positioning; raise cash allocations.
- Inflation Panic (Bearish Steepening): Inflation is high, and long-term rates are rising faster than short-term rates. The market is signaling a loss of faith in the central bank's ability to control inflation. Strategy: Highly toxic for both stocks and bonds; cash and commodities outperform.
- Late-Cycle Complacency (Bullish Flattening): The economy is overheating, but long-term yields start dropping. The bond market is calling the central bank's bluff, pricing in a policy mistake or an imminent recession before hikes even finish.
- The Volcker Shock (Bearish Flattening): The economy is already weak, but short-term rates are still rising faster than long-term rates. The central bank is intentionally hiking into a recession to break inflation at all costs. Strategy: Extreme defense; absolute return strategies.
- The Breaking Point (Bullish Steepening): The curve is inverted and inflation is high, but the front end suddenly collapses. This is a severe recessionary signal indicating the central bank is forced to abandon the inflation fight to rescue a failing economy.
- Deflationary Bust (Bullish Flattening): The depths of a crisis. Inflation has collapsed, and investors are piling into long-term bonds for ultimate safety, driving long-end yields down faster than short-end yields. Strategy: Long-duration sovereign bonds are the only safe haven.
- The Liquidity Rescue (Bullish Steepening): The central bank is aggressively slashing short-term rates to zero to drag the economy out of the abyss. Strategy: This is the exact pivot point where risk assets typically bottom. Prepare to deploy capital into equities.
Growth Phase (Bottom-Right: Positive Slope, Low Inflation)
Overheating Phase (Top-Right: Positive Slope, High Inflation)
Stagflation Risk (Top-Left: Inverted Slope, High Inflation)
Recessionary Phase (Bottom-Left: Inverted Slope, Low Inflation)
Analytical Rule: Never view these quadrants in isolation. Always cross-reference the Yield Curve Shift chart below to determine the mathematical driver of the current position (e.g., is the curve steepening because the 10Y is rising, or because the 2Y is falling?).
Yield Curve Shift Regimes (Time Series)
Visualizing the 3-month momentum of the yield curve. Plotting the 10Y-2Y spread, colored by the prevailing macroeconomic fixed income regime.
View detailed interpretation...
The yield curve's momentum reflects shifting market expectations for growth and central bank policy. Tracking the 3-month change in the 10Y-2Y spread categorizes the macroeconomic environment into distinct fixed-income regimes.
Regime Interpretations & Strategies:
Regime Interpretations & Strategies:
- Bearish Flattening: Short-term rates rise faster than long-term rates. Catalyst: Economic expansion with rising inflation; central banks tighten policy. Strategy: Reduce portfolio duration to mitigate the impact of rising rates.
- Bullish Steepening: Short-term rates fall faster than long-term rates. Catalyst: Economic slowdown or recession; central banks cut rates to stimulate growth. Strategy: Increase portfolio duration to capture capital appreciation as yields fall.
- Bullish Flattening: Long-term rates fall faster than short-term rates. Catalyst: Flight to safety during market turmoil or financial crises. Strategy: Capitalize on the long end of the curve; consider rotating into a barbell portfolio structure.
- Bearish Steepening: Long-term rates rise faster than short-term rates. Catalyst: Worsening long-term inflation expectations or fiscal concerns without immediate central bank rate hikes. Strategy: Reduce overall duration, heavily underweighting long-maturity bonds.
- Neutral / Stable: The curve spread has shifted less than 10 basis points over the rolling window. Catalyst: Market equilibrium or anticipation of future macroeconomic data. Strategy: Maintain benchmark duration; prioritize yield (carry) over price return.
Help Keep This Tool Free
If this report is helping you with your analysis, please consider supporting the project so we can keep it publicly accessible and free for everyone, as maintaining everything on cloud servers incurs ongoing costs.
Valuation & Credit Conditions
Assessing market pricing relative to economic fundamentals and the cost of borrowing.
Valuation vs Cost of Capital
Comparing the Buffett Indicator (Market Cap / GDP) against Real Yields.
High valuations combined with high real rates create extreme downside risk.
Equity valuations generally compress when real yields (the risk-free opportunity cost) rise. Divergence where both rise suggests speculative mania or mispricing. When the orange line (Real Yields) spikes while the blue line (Valuation) remains high, the market is fighting the Fed.
The Housing Spread
Tracking mortgage rates alongside the 10Y Treasury yield.
A wider spread signals banking stress as lenders pull back on credit.
The spread between mortgage and Treasury yields reflects lending stress. A widening gap signals lenders demanding more compensation for risk, even if the risk-free rate eases. This is a proxy for financial conditions in the real economy.
Loading Behavioral Finance...
The Sentiment Disconnect
Behavioral Alpha
Analyzing the gap between what investors feel (Sentiment) and what the market is doing (Price). When feelings diverge from price action, opportunity arises.
1. The "Vibes vs. Reality" Chart
Consumer Sentiment (Left) vs. S&P 500 Price (Right).
Compares consumer confidence (University of Michigan Sentiment) with market performance (S&P 500).
Bearish divergence: If price makes new highs while sentiment trends lower, the rally may be out of sync with consumer conditions and more vulnerable to reversal.
2. The "Wall of Worry" (Expectations)
VIX Curve Trend (VIX6M - VIX3M) vs. Global Policy Uncertainty.
Tracks expected volatility (VIX 6M minus VIX 3M) alongside Global Policy Uncertainty to gauge forward-looking risk.
Rising: Investors see more risk in the medium term than the near term, often around major events or policy shifts.
Help Keep This Tool Free
If this report is helping you with your analysis, please consider supporting the project so we can keep it publicly accessible and free for everyone, as maintaining everything on cloud servers incurs ongoing costs.
2b. Institutional Cognitive Dissonance
Confidence in valuation (line) vs perceived crash probability (line).
How to read it:
- High confidence + high crash probability is the most actionable setup: institutions “like the market” while simultaneously pricing/expecting a major break. This often shows up near late-cycle distribution or crowded risk.
- High confidence + low crash probability is a cleaner risk-on backdrop (less internal conflict).
- Low confidence + high crash probability is classic fear / defensive posture; signals are often less contrarian and more trend-confirming.
- Watch divergence: if crash probability rises while confidence stays elevated, the “warning light” is flashing even if price action still looks fine.
3. The "Engine" of the Market (Participation)
Breadth Ratio (Line) vs. S&P 500 (Right).
The ratio of S&P 500 Equal Weight (RSP) to Cap Weight (SPY).
Rising: Broad participation as more stocks contribute to gains.
Falling: Narrow leadership driven by a small group of large-cap names. If price makes highs while breadth weakens, the rally may be less durable.
Risk Psychology (Greed vs. Fear)
Gauging the market's appetite for risk and hidden fears.
Risk Appetite (High Beta / Low Vol)
High Beta / Low Vol Ratio.
The ratio of High Beta stocks to Low Volatility stocks.
Rising: Risk-on positioning as investors favor higher beta.
Falling: Defensive rotation into lower-volatility names. Use this to gauge whether leadership is aggressive or cautious.
Silent Fear (The "Whale" Gauge)
VIX Price (Left, Area) vs. SKEW (Right, Line).
The complacency check: Contrasts the "Fear Gauge" (VIX) with the "Black Swan" index (SKEW).
If VIX is low (<13) but SKEW is high (>140), markets look calm while options pricing implies elevated tail risk, a potential setup for an abrupt move.
5. The Payoff (Does Panic Pay?)
X: VIX (Log Scale) vs. Y: S&P 500 Forward 21d Return.
Scatter plot of VIX levels against subsequent 21-day S&P 500 returns.
The curve: The relationship often slopes upward.
High VIX (Right): Higher volatility has historically been followed by stronger forward returns, indicating that extreme fear can create opportunity.
Market Seasonality
Analyze historical monthly returns to identify seasonal patterns.
Seasonality Variable
S&P 500 Price
Analysis Range
—
Select start and end years to filter the heatmap.
Positive months are shaded Green,
negative months are Red.
Use the average column to spot reliable seasonal trends (e.g., "Sell in May").
Loading Market Agents...
Market Agents
Analyzing Agents
This tab answers three questions in order: (1) Who is driving? (2) Are they in conflict? (3) Is the rally funded by liquidity? You get a quick snapshot (gauges), then context (charts), then action (signals).
Last Updated: --
Market Positioning
Five gauges that approximate the “seat power” of each agent type right now. They’re designed to be interpretable and stable (z-scored / considers history), not noisy.
Current Player Positioning
A 5-second snapshot: who has the most “chips” in the market right now?
80+ across multiple agents tends to be late-cycle / crowded. Look at the Divergence and Liquidity sections before trusting the move.
The Whale
Institutions
0 = Accumulating · 100 = Bearish
Δ1M: --
The Crowd
Retail
0 = Fear · 100 = Euphoria
Δ1M: --
The Speculator
Hedge Funds
0 = De-risking · 100 = Max Leverage
Δ1M: --
The Tide
Passive
0 = Stock Pickers · 100 = Index Melt-up
Δ1M: --
The Dealer
The Fed
0 = Drought · 100 = Flood
Δ1M: --
Smart vs. Dumb Divergence
Turning points often happen when Retail and Institutions disagree. This chart highlights handoffs: distribution (pros sell to the crowd) vs accumulation (pros buy the panic).
Tip: Watch for divergence. Tops are often “Retail up / Smart down”. Bottoms are often “Retail down / Smart up”.
Institutional vs Retail
When the lines separate, the market is telling you “someone is wrong”.
Watch: crossings + large spreads. Those are the regimes where forward returns become asymmetric.
Who is holding the bag?
Accumulation (Opportunity)
Smart ↑ / Retail ↓
Pros are stepping in while the crowd is fearful. Often the best risk/reward window.
Distribution (Warning)
Smart ↓ / Retail ↑
Pros are selling into strength while the crowd chases. Expect fragility and fast drawdowns.
Healthy Trend
Both ↑
Broad participation. Trend systems and fundamentals usually behave better in this regime.
Help Keep This Tool Free
If this report is helping you with your analysis, please consider supporting the project so we can keep it publicly accessible and free for everyone, as maintaining everything on cloud servers incurs ongoing costs.
Active Managers vs Retail (NAAIM vs AAII)
Absolute levels matter less than divergence: retail euphoria + manager de-risking = distribution risk.
Watch: AAII spread peaking while NAAIM falls → “crowd buys / pros sell”.
AAII Sentiment Composition
Bullish + Neutral + Bearish should sum to 100%. Use this to spot sentiment extremes and transitions.
Leverage vs. Liquidity
Leverage can push prices higher, but it needs funding. This checks if risk-taking is being supported by real liquidity.
Leverage vs Liquidity Profile
Liquidity is the fuel (area). Leverage is the fire (line).
Red Flag: leverage rising while liquidity falls → the “air pocket” setup.
The Trap Setup
Core idea
When Leverage increases but
Liquidity tightens, forced selling risk rises.
Markets can go from “grind up” to “gap down” without warning.
Melt-up: Leverage ↑ and Liquidity ↑.
Risk premia compress; dips get bought.
Trap: Leverage ↑ and Liquidity ↓.
Expect sharp reversals and “sell-the-news” behavior.
Passive Tide
When passive dominates, correlation rises and dispersion falls. That’s great for index exposure, bad for stock-picking.
The Passive Tide (Correlation Regime)
Low tide = stock pickers’ market. High tide = index melt-up.
If tide is high, reduce single-name conviction and diversify hedges.
Regime intensity
Low Intensity
High Intensity
Low Tide (Stock Pickers): lower correlation, higher dispersion, idiosyncratic winners/losers.
High Tide (Index Melt-up): higher correlation, “everything moves together”, breadth/dispersion tends to compress.
Conflict Signals (Action Layer)
These traffic lights compress the whole tab into two actionable warnings. Use them as a “risk dashboard” (hedge / reduce / add), not as a standalone trading system.
Today’s read
Loading verdict...
Signal A
Smart Money Distribution
Pros selling while Retail buys is a fragile regime.
--
Signal B
Liquidity Danger
Leverage up vs liquidity down increases crash risk.
--
Agent Conflict Map
This map shows where the market has been living: Liquidity (x) vs Leverage (y), colored by Retail sentiment. The top-left quadrant (high leverage + low liquidity) is the “trap zone”.
Conflict Map
x = Fed Liquidity, y = Hedge Fund Leverage, color = Retail Sentiment
How to read it
Melt-up zone
High liquidity + high leverage.
Trap zone
High leverage + low liquidity. Forced-selling risk increases.
Reset zone
Low liquidity + low leverage.
Agent Snapshot (Radar)
A single “shape” view of market drivers. Filled = current. Outlines = 1M, 3M, 6M, and 1Y ago. Bigger area means more agents are simultaneously “active”.
Driver Radar
Institutions • Retail • Hedge Funds • Passive • Fed Liquidity (0–100)
How to read it
Crowded risk-on
Large, round shape (many agents high at once) often means crowded positioning.
Narrow leadership
One “spike” (single agent dominates) can be fragile if the driver reverses.
The outlines (1M, 3M, 6M, 1Y ago) help you see whether the regime is building or fading.
Methodology & Inputs
Show / Hide Detailed Guide
This tab models markets as a tug-of-war between investor groups (“agents”). Because we can’t observe their trades directly, we use behavioral proxies: spreads, ratios, and regime indicators that historically reflect how each group behaves.
Data sources
Yahoo Finance (core, free): style ETFs (QUAL, VLUE, MTUM), risk-on/off ETFs (SPHB, SPLV), credit ETFs (LQD, IEF), sector ETFs, and FX (AUDJPY=X).
Internal Liquidity Engine: composite of central bank balance sheets, reserves, and funding stress proxies.
Optional (if available): Cboe indices (COR1M, SKEW), VIX term structure, options ratios.
How each agent index is constructed
Institutions (“The Whale”):
quality and value style spreads (e.g. QUAL vs market, VLUE vs growth/momentum)
capture slow-moving accumulation or distribution by long-term investors.
Note: Institutions also drive bubbles (e.g. AI). If they chase high-risk stocks, this quality-focused metric may stay low, masking their participation.
Note: Institutions also drive bubbles (e.g. AI). If they chase high-risk stocks, this quality-focused metric may stay low, masking their participation.
Retail (“The Crowd”):
high-beta vs low-volatility spreads (SPHB/SPLV) adjusted for volatility (VIX) reflect speculative chasing
versus fear-driven de-risking.
Hedge Funds (“The Speculator”):
carry and relative-value proxies (AUDJPY, LQD/IEF) capture leverage cycles
and cross-asset risk appetite.
Note: Major central bank policy shifts (e.g. Japan raising rates) can disrupt these correlations.
Note: Major central bank policy shifts (e.g. Japan raising rates) can disrupt these correlations.
Passive (“The Tide”):
derived from low dispersion and high co-movement across sectors
(and implied correlation when available). High values mean index-driven flows dominate,
making stock-picking harder.
The Fed (“The Dealer”):
liquidity conditions from the liquidity engine indicate whether risk-taking
is being funded or starved.
Scaling and interpretation
Each raw proxy is standardized using rolling statistics (z-scores), clipped to reduce outliers, then rescaled to a 0–100 index.
Values near 0 indicate low participation / risk-off behavior; values near 100 indicate aggressive participation / risk-on behavior.
Δ1M shows the change over ~21 trading days, highlighting whether an agent is accelerating or fading.
These indicators are designed for regime detection, risk management, and context — not as a standalone trading system.
Loading Global Policy Divergence...
Global Policy Divergence
Cross-Atlantic Early Warning
Markets often fracture when major central banks diverge. This tab tracks the rates + FX transmission channel and the European stress canary. Use it to anticipate when “local” issues become global risk.
Last Updated: --
1. Policy Error Gauge
(EA 10Y − US 10Y) spread (Left) vs Broad USD Index (Right).
How to read it:
The yield gap measures relative policy tightness / growth expectations across regions.
Risk signal: a widening differential that coincides with a strengthening USD often tightens global financial conditions (funding + earnings headwinds), even if domestic charts still look calm.
Supportive: a stabilizing differential with a softer USD typically eases cross-border funding stress.
Risk signal: a widening differential that coincides with a strengthening USD often tightens global financial conditions (funding + earnings headwinds), even if domestic charts still look calm.
Supportive: a stabilizing differential with a softer USD typically eases cross-border funding stress.
Help Keep This Tool Free
If this report is helping you with your analysis, please consider supporting the project so we can keep it publicly accessible and free for everyone, as maintaining everything on cloud servers incurs ongoing costs.
2. European Fragmentation Risk
Italy–Germany 10Y spread (Left, bps) vs Systemic Stress Index (Right).
How to read it:
this chart is your contagion early-warning.
The danger zone is when the
sovereign spread accelerates upward while systemic stress rises—this is how
“regional” funding problems become broader risk-off regimes.
If stress rises but spreads stay contained, policymakers are likely containing the shock.
If stress rises but spreads stay contained, policymakers are likely containing the shock.
3. Real Rate Divergence
European real rate (Policy − Core Inflation) vs US Real Yield (10Y − CPI YoY), plus the spread.
How to read it:
capital tends to flow toward the higher real yield.
When Europe’s real rate rises above the US,
FX and multinational earnings sensitivity can change structurally (not just tactically).
When the spread narrows, cross-border pressures usually ease and FX trends can mean-revert.
When the spread narrows, cross-border pressures usually ease and FX trends can mean-revert.