Journal ·
Wednesday, 24 June 2026
Regime Risk-onMarket regime
Risk-on prints for the fourth consecutive read (n=4), since 18 June 2026, continuing the prior published entry on 23 June 2026. The wrinkle this read is a split tape: VIX at 18.63 carries the model's elevated tag, yet breadth above the 50-day EMA broadened to 59.1% (577/977), healthy but marginal and the strongest leg on the board. SPY closed 733.32, +6.8% over its 200-EMA (686.40), still extended. Rates pulled in two directions: the 10Y added 4bps to 4.50% while the 2Y eased 3bps to 4.16%, steepening the 10Y–2Y spread 7bps to 0.34%. Breakeven inflation slipped 4bps to 2.21%, and with the long end firming the real 10Y jumped 8bps to 2.29%, the most restrictive move of the session. HY widened 5bps to 2.71%, still tight but the first leg worth watching.
Key numbers
| Metric | Level | Read |
|---|---|---|
| Regime | Risk-on | Fourth consecutive print (n=4), continuation from 06-23 read |
| VIX | 18.63 | Elevated tag |
| Breadth >50-day EMA | 59.1% (577/977) | Healthy but marginal, broadest leg |
| SPY close | 733.32 | +6.8% vs 200-EMA (686.40) |
| 10Y Treasury | 4.50% | week over week +4bps |
| 2Y Treasury | 4.16% | week over week −3bps |
| 10Y–2Y spread | 0.34% | week over week +7bps, steeper |
| 10Y breakeven | 2.21% | week over week −4bps |
| Real 10Y rate | 2.29% | week over week +8bps, most restrictive |
| HY credit spread | 2.71% | week over week +5bps, wider, still confirming |
| Fed Funds | 3.63% | as of 1 May 2026 |
| Initial claims | 226K | week over week −4K (as of 13 June 2026) |
| Unemployment | 4.3% | as of 1 May 2026 |
| Nonfarm payrolls | 159.0M | as of 1 May 2026 |
| Housing starts | 1,177K | as of 1 May 2026 |
Regime assessment
The tension this read is between a vol tape that's still elevated, though easing, and a breadth tape that's broadening. An elevated VIX sitting alongside near-60% participation says the advance is being paid for rather than melting up on a handful of names; that is a better backdrop to press selectively than a narrow one. The real rate stepping to its most restrictive level of the run is the standing headwind on the longest-duration, highest-multiple narratives, the exact cohort this book leans on. The curve steepening off a falling 2Y reads growth-priced, not recession-priced, which keeps the read constructive. Credit is the leg drifting the wrong way, but 2.71% HY is a long way from a broken confirm. Net positioning: stay constructive, broaden conviction into names with cluster confirmation, and let elevated vol plus the real-rate drift cap any urge to chase the most stretched multiples.
What would change the call
- Breadth is now the load-bearing leg at 59.1%; participation sliding back under 50% pulls the read toward neutral faster than any single macro print.
- VIX already carries the elevated tag at 18.63; a push higher turns a vol bid into a vol regime.
- HY drifting further past 2.71% off this +5bps week removes the cleanest confirm.
- Real 10Y firming past 2.29% (+8bps), or the 2Y reversing and re-flattening the 0.34% spread, hits the high-multiple cohort first.
What to watch
- Next CPI against a 2.21% breakeven: a hot print pushes the real rate, already +8bps to 2.29%, further the wrong way for momentum multiples.
- Next payrolls and claims: claims firm at 226K (−4K); the question is whether the 159.0M payroll trend and 4.3% unemployment hold or the labor margin starts to give.
- The VIX path from an elevated 18.63: whether vol settles back toward calm or builds is the fastest route to handing the regime back.
- Fed path against a 3.63% funds rate, with the curve steepening to 0.34% as the market reprices cuts the Fed hasn't delivered.
Status
Risk-on, consecutive print #4 in the journal, since 18 June 2026; continuation of the prior published read on 23 June 2026. Research only no positions, sizes, entries, stops, or P&L.