Risk Regime
Top-down risk-regime nowcast: stress gauges + systemic-crisis discriminators. Read-only overlay, not a positioning signal.
Current state
Mixed / transition
Systemic score (0 = no signs)
0.0
Discriminators
Credit widening NoBonds as haven YesSystemic crisis NoVIX backwardation NoYields rising NoBreakevens rising YesFunding stress NoStress gauges
| Gauge | Last | 5d chg | 20d chg | Z | As of |
|---|---|---|---|---|---|
| VIX (spot) | 16.01 | +1.38 | -2.69 | -0.67 | 2026-08-20 |
| VIX (3-month) | 19.06 | +0.45 | -1.54 | -0.65 | 2026-08-20 |
| HY OAS | 2.75% | +0.04 | -0.02 | -0.75 | 2026-08-20 |
| IG OAS | 0.82% | +0.03 | +0.03 | +0.67 | 2026-08-20 |
| US 10Y | 4.69% | +0.06 | -0.02 | +1.98 | 2026-08-20 |
| US 2Y | 4.19% | +0.04 | -0.18 | +1.57 | 2026-08-20 |
| 10y breakeven | 2.34% | +0.07 | +0.08 | +0.32 | 2026-08-21 |
| Broad USD | 118.903 | -0.16 | -1.63 | -0.88 | 2026-08-14 |
| Gold vol (GVZ) | 27.28 | +3.41 | +2.14 | +0.15 | 2026-08-20 |
| 3M financial CP | 3.8% | +0.01 | -0.04 | -0.88 | 2026-08-20 |
| 3M T-bill | 3.71% | +0.00 | -0.10 | +0.09 | 2026-08-20 |
| SOFR | 3.65% | +0.03 | +0.01 | -0.59 | 2026-08-21 |
| IORB | 3.65% | +0.00 | +0.00 | +1.00 | 2026-08-24 |
Systemic score components
| Component | Contribution | Detail |
|---|---|---|
| HY OAS level | 0 | HY 2.75% vs 3.5% floor |
| HY widening (20d) | 0 | 20d change -0.02 |
| VIX level | 0.0 | VIX 16.01 vs 20 floor |
| VIX backwardation | 0 | term ratio 0.84 (>1 to trigger) |
| VIX z-score | 0 | z -0.67 |
| Funding stress | 0.0 | CP−bill 9.0bp (40 floor) · SOFR−IORB 0.0bp (15 floor) |