Journal ·
Wednesday, 1 July 2026
Regime Risk-onMarket regime
Risk-on prints again, the ninth consecutive read (n=9) and a continuation of the prior published entry on 30 June 2026. Vol ticked up: VIX edged to 16.59, still well inside calm. Breadth slipped to 61.0% (596/977), still a healthy read but a touch thinner than the last print. SPY closed 745.66, +8.2% over its 200-EMA of 688.88, a hair less extended than the prior print. The action this session sits at the front of the curve: the 2Y firmed 5bps to 4.14% and the 10Y 4bps to 4.44%, flattening the 10Y–2Y spread 1bp to 0.30%. The breakeven firmed 3bps to 2.24%, yet the real 10Y barely moved, up 1bp to 2.20%. HY tightened 3bps to 2.75%, unwinding the prior week's drift back toward the tight end.
Key numbers
| Metric | Level | Read |
|---|---|---|
| Regime | Risk-on | Consecutive print #9, continuation from 06-30 |
| VIX | 16.59 | Calm, edging up |
| Breadth >50-day EMA | 61.0% (596/977) | Healthy, slightly thinner |
| SPY close | 745.66 | +8.2% vs 200-EMA (688.88) |
| 10Y Treasury | 4.44% | week over week +4bps |
| 2Y Treasury | 4.14% | week over week +5bps, front-end firmer |
| 10Y–2Y spread | 0.30% | week over week −1bp, mild flatten |
| 10Y breakeven | 2.24% | week over week +3bps, firmer |
| Real 10Y rate | 2.20% | week over week +1bp, flat |
| HY credit spread | 2.75% | week over week −3bps, tighter |
| Fed Funds | 3.63% | as of 1 June 2026 |
| Initial claims | 215K | week over week −12K (as of 20 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 supportive reads hold. Vol staying calm keeps the sizing ceiling up, and breadth holding in healthy territory despite a slight thinning says the advance is still carried by a broad set of names, not a narrow few the backdrop for holding cluster-confirmed leaders instead of reaching for the narrowest extension. Credit does the heaviest lifting this read: HY tightening back in removes last week's asterisk and stands as the cleanest confirm on offer. The rate picture is the one place to stay honest. Front-end firming alongside a firmer breakeven is the reflation input, and while the real 10Y sat still this session, that is the variable that would quietly undo long-duration multiples if it turns. With the index still roughly 8% above trend, higher-conviction adds want a pullback or a fresh setup, not a chase at the top of the range.
What would change the call
- VIX at 16.59 is in calm; a snap back above ~18 re-imposes the vol gate and pulls the read toward caution.
- Breadth at 61.0% is healthy but not commanding; participation slipping under 50% flips the regime faster than any single macro print.
- HY at 2.75% just tightened; a reversal wider removes the cleanest confirm and drags the read toward neutral.
- The breakeven at 2.24% with the 2Y firming to 4.14% is the reflation tell; a further push that lifts the real 10Y off 2.20% hits the longest-duration narratives first.
What to watch
- Next CPI against a 2.24% breakeven: a hot print compounds the front-end firming and pressures duration.
- Next payrolls and claims: claims at 215K (−12K week over week, as of 20 June 2026) is a firm labor read; the question is whether the 159.0M payroll trend and 4.3% unemployment hold into the next print.
- The HY path from 2.75%: whether this week's tightening sticks or reverses is the fastest route to re-rating credit.
- Fed path against a 3.63% funds rate, with the curve at 0.30% as the market keeps pricing cuts not yet delivered.
Status
Risk-on since 18 June 2026; consecutive print #9 in the journal, continuation of the prior published read on 30 June 2026. Research only no positions, sizes, entries, stops, or P&L.