Journal ·
Friday, 12 June 2026
Regime Risk-onMarket regime
Risk-on holds for a second consecutive print (n=2), a continuation of the flip the model logged on 11 June 2026 rather than a fresh signal. This time the two legs line up: breadth pushed to 60.5% (592/978) above the 50-day EMA, healthy and broader than the participation that carried the initial flip, while VIX at 17.68, now tagged calm, has cooled out of elevated and stopped shadowing the move. SPY closed 741.67, +8.7% over its 200-EMA (682.29). Rates did the rest: the 10Y eased 10bps to 4.45% and the 2Y dropped 12bps to 4.05%, leaving the curve a hair steeper at 0.40% (+2bps), while the 10Y breakeven cooled 7bps to 2.29% and the real 10Y slipped to 2.16% (−3bps).
Key numbers
| Metric | Level | Read |
|---|---|---|
| Regime | Risk-on | Second consecutive print (n=2), continuation from 06-11 |
| VIX | 17.68 | Calm by tag, cooled out of elevated |
| Breadth >50-day EMA | 60.5% (592/978) | Healthy, participation broadened further |
| SPY close | 741.67 | +8.7% vs 200-EMA (682.29) |
| 10Y Treasury | 4.45% | week over week −10bps, eased |
| 2Y Treasury | 4.05% | week over week −12bps, front end led the easing |
| 10Y–2Y spread | 0.40% | week over week +2bps, a hair steeper |
| 10Y breakeven | 2.29% | week over week −7bps, inflation comp cooled |
| Real 10Y rate | 2.16% | week over week −3bps, marginally less restrictive |
| HY credit spread | 2.78% | week over week +2bps, a touch wider, no stress |
| Fed Funds | 3.63% | as of 1 May 2026 |
| Initial claims | 229K | week over week +4K |
| Unemployment | 4.3% | as of 1 May 2026 |
| Nonfarm payrolls | 159.0M | as of 1 May 2026 |
| Housing starts | 1,465K | as of 1 April 2026 |
Regime assessment
The initial flip rode breadth alone with vol still bid; today the vol leg cooperates, which upgrades the tape from led to more broadly carried. The sharper read is the rate backdrop: a curve-wide easing with breakevens cooling pulls back the real-rate ceiling that has capped what the tape will pay for the highest-multiple narratives. That argues for pressing the cleanest accelerating stories with cluster confirmation and letting broadening breadth carry size, not reaching for laggards into the move. Credit isn't contesting any of it; HY at a hair wider sits nowhere near stress. The discipline stays trailing risk, because a regime two prints young can still be handed back if the vol bid re-fires.
What would change the call
The read reverses toward neutral or risk-off if breadth surrenders the high-50s and slides under 50%: participation is the load-bearing leg, and it broadened only this week. A VIX that re-firms off 17.68 instead of bleeding lower puts the vol bid back in the tape. On credit, HY breaking meaningfully wider off 2.78% pulls the all-clear. On rates the relief runs the other way now: a real 10Y climbing back above 2.16%, or the front end re-firming past this week's −12bps on the 2Y, hits the high-multiple names first.
What to watch
- Next CPI against a 2.29% breakeven: a hot read reverses this week's −7bps cooling and pushes the real rate back the wrong way for momentum multiples.
- Next payrolls and claims: claims ticked +4K to 229K; whether the 159.0M payroll trend holds or the labor margin starts to fray.
- The VIX path from 17.68: whether it keeps bleeding lower or the vol bid re-fires, the fastest way to hand back a two-print-young regime.
- Fed path against a 3.63% funds rate, with the curve at 0.40% and the front end leading the week's easing.
Status
Risk-on since 11 June 2026; second consecutive print (n=2), a continuation of the prior published read. Research only: no positions, sizes, entries, stops, or P&L.