Market Pulse
Daily US market sentiment across six dimensions — valuation, volatility, sentiment, breadth, cross-asset, and indices. Refreshes after the US close.
AI READING
Fear gauges scream while breadth expands; liquidity pressure index crosses alert threshold
Today's core
Today's market is bifurcated: surface signals look constructive (VIX easing, small-caps leading, breadth expanding) while the substrate is deteriorating (CNN 'Extreme fear' for 5 straight days, Put/Call at 2.03, Liquidity Pressure Index above its alert threshold at 64.3). The divergence between institutional high-exposure (NAAIM 98.59) and options-market panic is the single most important unresolved tension.
Worsening
CNN Fear index 5-day slide · Put/Call +30.97% over 5d · Liquidity Pressure Index 3-day rise · HY OAS +15bps over 5 days · TGA surged to Hoarding level · ON RRP in Exhausted bucket · WTI crude -8.23% over 5d · VIX +9.71% over 5d
Improving
IWM-SPY spread +31.89% over 5d · RSP-SPY concentration gap narrowing · MOVE 2-day slide into Calm · SKEW tail-hedge cost retreating · 10Y yield 4-day decline · VIX term structure normal contango · DXY 2-day softening · SOFR-IORB spread recovering from -4bps
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VIX — S&P 500 implied volatilityVIX
S&P 500 implied volatility — what options traders pay to hedge over the next 30 days. Low (<12) means complacency; spikes above 30 mean panic, historically near major bottoms.
VXN — NASDAQ 100 implied volatilityVXN
Same idea as VIX but on the NASDAQ 100. Runs a few points hotter than VIX because NDX is more concentrated in high-beta names.
MOVE — Treasury implied volatilityMOVE
The 'VIX of bonds' — implied volatility on Treasuries. Calm under 70, shock above 180. Bond stress often precedes equity stress.
SKEW — S&P 500 tail-risk pricingSKEW
Tail-risk pricing for the S&P 500 — how much extra option traders are paying for crash protection. Sustained 140+ flags institutional anxiety about a left-tail event.
VIX term structure (3M − spot)VIX_TERM_STRUCTURE
CBOE 3-month VIX minus VIX spot. The 3M VIX is a constant-maturity index — what option markets price for vol over the next 90 days, no rolling-future noise. Positive (contango) is normal: longer-dated vol slightly higher. Negative (backwardation) means near-term stress dominates longer-term expectations. One of the cleanest 'is this a real selloff' signals.
% sectors above 200-day MASECTORS_ABOVE_200DMA
How many of the 11 SPDR sectors are above their 200-day moving average. Under 20% is washout territory (contrarian buy); over 80% is overheating. Middle is healthy breadth.
RSP − SPY 1Y (equal vs cap weight)RSP_SPY_1Y
Equal-weight S&P (RSP) 1Y return minus market-cap S&P (SPY) 1Y return. Negative means a few mega-caps are carrying the index — concentration risk. Positive means broad participation, a healthier bull.
IWM − SPY 1Y (small vs large cap)IWM_SPY_1Y
Russell 2000 small-cap 1Y return minus S&P 500 1Y return. Small caps leading = risk-on appetite; small caps lagging deeply = defensive regime.
HY OAS — high-yield credit spread (bps)HY_OAS
Yield spread between high-yield ('junk') corporate bonds and Treasuries, in basis points. Tight (<300bp) means credit markets are relaxed; wide (>800bp) means stress. Extreme widening is historically a contrarian buy late in the cycle.
10Y − 2Y Treasury spread (bps)YIELD_SPREAD_2_10
10-year Treasury yield minus 2-year, in basis points. Negative = yield curve inverted, historically a leading recession signal (12-18 months out). Steep positive = post-recession reflation.
DXY — US Dollar IndexDXY
US Dollar Index — the dollar's strength vs a basket of major currencies. A strong dollar (>108) typically hurts emerging markets and US multinational earnings.
Gold/Copper ratioGOLD_COPPER_RATIO
Price of gold (per oz) divided by copper (per lb). Gold is the defensive metal; copper is the industrial-demand metal. A rising ratio means flight to safety; a falling ratio means risk-on growth bid.
WTI crude oil (front-month futures)WTI
WTI crude oil front-month futures, in dollars per barrel. Reads as a macro proxy: cheap oil = weak global demand (disinflation); expensive oil = tight supply or geopolitical stress (inflationary).
5-year Treasury yieldFVX_5Y
Mid-curve Treasury yield. Together with the 10Y and 30Y, sketches the curve shape. Roughly tracks the Fed's expected medium-term path. Lower than 10Y in normal contango; above it during late-cycle inversion.
10-year Treasury yieldTNX_10Y
The headline US rate — drives mortgage rates, equity valuations, dollar strength. Double-tailed: very low (<2%) flags deflation/recession risk, very high (>5.5%) flags inflation or debt stress. Historical normal range 3–4.5%.
30-year Treasury yieldTYX_30Y
Long-bond yield. Reflects long-run growth + inflation expectations + term premium. A rising 30Y while short rates hold steady is a steepening signal — markets demand more compensation for fiscal / inflation risk over the long horizon.
Put/Call ratio (CBOE equity)PUT_CALL_RATIO
Total CBOE equity options put volume divided by call volume. Above 1.0 = more puts than calls, defensive positioning. Extreme spikes are contrarian — historically near bottoms.
CNN Fear & Greed IndexFEAR_GREED
CNN's composite of 7 sentiment signals scaled 0-100. Below 25 = extreme fear (often a buying setup); above 75 = extreme greed (caution flag).
NAAIM — active manager net longNAAIM_EXPOSURE
Weekly survey of US active fund managers' net long equity exposure. Below 30 = managers defensive; above 90 = managers all-in (contrarian warning).
Liquidity Pressure Index — 0-100 compositeLIQUIDITY_PRESSURE_INDEX
Composite 0-100 score across 5 dollar-liquidity components. ≥60 = de-risk proactively. ≥75 + confirming signals (SOFR-IORB turning positive, HY OAS widening, key trend breaks) = move defensive.
Fed Balance Sheet — total Fed assets ($T)FED_BALANCE_SHEET
Total Fed assets. Persistent decline = QT draining base liquidity. Watch the trend rather than the level — pace matters more than absolute size.
ON RRP — overnight reverse-repo balance ($B)ON_RRP
The most visible liquidity buffer in the Fed's system. When QT or Treasury issuance drains cash, it comes from RRP first — markets feel little impact. Once RRP is near zero, pressure starts hitting bank reserves directly.
Bank Reserves — system liquidity pool ($T)BANK_RESERVES
The core liquidity pool of the banking system. Ample reserves = strong shock absorber. Declining reserves + low ON RRP is when sensitivity to any shock rises sharply.
SOFR — secured overnight financing rate (%)SOFR
True overnight funding cost for the repo market. Meaningful mostly relative to IORB.
IORB — interest on reserve balances (%)IORB
The Fed's policy rate paid on bank reserves — the upper bound for money-market rates in normal times.
SOFR − IORB — funding-stress gauge (bps)SOFR_IORB_SPREAD
SOFR persistently above IORB signals dealers paying up to fund — money-market stress is building.
TGA — Treasury cash account ($B)TGA
Treasury General Account balance. High and rising = the Treasury is hoarding cash, which drains liquidity from the banking system on top of QT.