Journal ·
Monday, 15 June 2026
Regime Risk-onMarket regime
Risk-on prints a third straight time (n=3), extending the flip the model logged on 11 June 2026. The signal has only firmed. VIX fell to 16.20 and holds the calm tag, while breadth deepened to 63.7% (623/978) above the 50-day EMA, healthy and broader still. SPY closed 754.75, +10.3% over its 200-EMA (684.14). Rates eased across the curve: the 10Y down 7bps to 4.48%, the 2Y down 8bps to 4.09%, leaving the spread a basis point steeper at 0.39%. The 10Y breakeven cooled 5bps to 2.31% and the real 10Y slipped to 2.17% (−2bps). Credit confirmed rather than contested, with HY tightening 5bps to 2.71%.
Key numbers
| Metric | Level | Read |
|---|---|---|
| Regime | Risk-on | Third consecutive print (n=3), continuation from 06-11 |
| VIX | 16.20 | Calm tag holds, cooled further |
| Breadth >50-day EMA | 63.7% (623/978) | Healthy, participation broadened further |
| SPY close | 754.75 | +10.3% vs 200-EMA (684.14) |
| 10Y Treasury | 4.48% | week over week −7bps, eased |
| 2Y Treasury | 4.09% | week over week −8bps, front end led the easing |
| 10Y–2Y spread | 0.39% | week over week +1bps, a hair steeper |
| 10Y breakeven | 2.31% | week over week −5bps, inflation comp cooled |
| Real 10Y rate | 2.17% | week over week −2bps, marginally less restrictive |
| HY credit spread | 2.71% | week over week −5bps, tighter, credit confirming |
| 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
Three prints in, the two legs that matter both read clean: the vol tag holds calm and eased further, and participation widened instead of narrowing as the index extended. The rate backdrop pulls in the same direction a curve-wide easing with breakevens cooling keeps lifting the real-rate ceiling on the highest-multiple narratives, and HY tightening says credit is paying up for risk alongside equities rather than flashing a divergence. Positioning follows that: press the cleanest accelerating stories with cluster confirmation and let the broadening tape carry size, instead of rotating down into laggards. The standing discipline stays trailing risk; three prints is firmer footing than two, but a regime can still be handed back if the vol bid re-fires.
What would change the call
Breadth is the load-bearing leg, and at 63.7% it has room to give before it matters; the read turns toward neutral or risk-off if participation slides back under 50%. A VIX that re-firms off 16.20 instead of holding its calm tag puts the vol bid back into the tape. On credit, HY breaking meaningfully wider off 2.71% pulls the all-clear this week it tightened, so the cushion is real. On rates the relief runs the other way: a real 10Y climbing back above 2.17%, or the front end re-firming past this week's −8bps on the 2Y, hits the high-multiple names first.
What to watch
- Next CPI against a 2.31% breakeven a hot read reverses this week's −5bps cooling and pushes the real rate 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 16.20 whether it stays in the calm zone or the vol bid re-fires, still the fastest way to hand back the regime.
- Fed path against a 3.63% funds rate, with the curve at 0.39% and the front end leading the week's easing.
Status
Risk-on since 11 June 2026; third consecutive print (n=3), a continuation of the 12 June 2026 read. Research only no positions, sizes, entries, stops, or P&L.