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)
16.0
Discriminators
Credit widening YesBonds as haven NoSystemic crisis NoVIX backwardation NoYields rising YesBreakevens rising NoFunding stress NoStress gauges
| Gauge | Last | 5d chg | 20d chg | Z | As of |
|---|---|---|---|---|---|
| VIX (spot) | 17.62 | +2.21 | +2.18 | -0.11 | 2026-10-15 |
| VIX (3-month) | 17.96 | +0.32 | -1.40 | -1.08 | 2026-10-13 |
| HY OAS | 3.16% | +0.13 | +0.40 | +1.66 | 2026-10-13 |
| IG OAS | 0.83% | +0.00 | +0.03 | +0.78 | 2026-10-13 |
| US 10Y | 5.19% | -0.08 | +0.19 | +2.42 | 2026-10-14 |
| US 2Y | 4.82% | +0.03 | +0.15 | +2.25 | 2026-10-14 |
| 10y breakeven | 2.35% | -0.01 | -0.03 | +0.55 | 2026-10-14 |
| Broad USD | 121.602 | +0.22 | +3.39 | +1.64 | 2026-10-09 |
| Gold vol (GVZ) | 22.78 | -0.61 | -3.77 | -0.88 | 2026-10-14 |
| 3M financial CP | 4.08% | -0.07 | +0.30 | +0.20 | 2026-10-13 |
| 3M T-bill | 4.09% | +0.04 | +0.12 | +3.02 | 2026-10-13 |
| SOFR | 3.89% | +0.00 | +0.27 | +0.90 | 2026-10-13 |
| IORB | 3.9% | +0.00 | +0.00 | +2.77 | 2026-10-15 |
Systemic score components
| Component | Contribution | Detail |
|---|---|---|
| HY OAS level | 0 | HY 3.16% vs 3.5% floor |
| HY widening (20d) | 16.0 | 20d change 0.4 |
| VIX level | 0.0 | VIX 17.62 vs 20 floor |
| VIX backwardation | 0 | term ratio 0.981 (>1 to trigger) |
| VIX z-score | 0 | z -0.11 |
| Funding stress | 0.0 | CP−bill -1.0bp (40 floor) · SOFR−IORB -1.0bp (15 floor) |