Journal ·
Thursday, 2 July 2026
Regime Risk-onMarket regime
Risk-on prints again, the tenth consecutive read (n=10) and a continuation of the prior published entry on 1 July 2026. Vol eased: VIX slipped to 16.15, settling deeper in the calm zone. Breadth improved to 63.0% (616/977), widening further on the healthy side of the 50% line. SPY closed 744.86, +8.1% over its 200-EMA of 689.23, a shade less stretched than the prior print. The action this read was in rates, and it was a parallel lift: both ends firmed 10bps, the 10Y to 4.48% and the 2Y to 4.17%, leaving the 10Y–2Y spread flat at 0.31%. The breakeven added 3bps to 2.23%, but the real 10Y did the heavier work, up 7bps to 2.25%. Credit leaned the other way HY tightened 9bps to 2.74%, pressing back toward the tight end.
Key numbers
| Metric | Level | Read |
|---|---|---|
| Regime | Risk-on | Consecutive print #10, continuation from 07-01 |
| VIX | 16.15 | Calm, eased |
| Breadth >50-day EMA | 63.0% (616/977) | Healthy, broadened, well above 50% |
| SPY close | 744.86 | +8.1% vs 200-EMA (689.23) |
| 10Y Treasury | 4.48% | week over week +10bps |
| 2Y Treasury | 4.17% | week over week +10bps, front-end firmer |
| 10Y–2Y spread | 0.31% | week over week flat |
| 10Y breakeven | 2.23% | week over week +3bps, firmer |
| Real 10Y rate | 2.25% | week over week +7bps, higher |
| HY credit spread | 2.74% | week over week −9bps, tighter |
| Fed Funds | 3.63% | as of 1 June 2026 |
| Initial claims | 215K | week over week −1K (as of 27 June 2026) |
| Unemployment | 4.2% | as of 1 June 2026 |
| Nonfarm payrolls | 159.0M | as of 1 June 2026 |
| Housing starts | 1,177K | as of 1 May 2026 |
Regime assessment
The confirm and the caveat are pulling in opposite directions this read, and both deserve weight. Credit does the supportive lifting: HY tightening 9bps is the cleanest signal on the tape and keeps the risk appetite intact, arguing for holding cluster-confirmed leaders rather than trimming into a calm session. Vol easing to 16.15 does nothing to lower the sizing ceiling. The honest counterweight is the real 10Y, up 7bps the parallel rate lift is being led by the real leg, not just the breakeven, and that is the variable that quietly compresses long-duration multiples if it keeps climbing. Breadth broadening while healthy says the advance widened its base, but this is still not the read to reach for the most extended name. With the index still ~8% above trend, higher-conviction adds want a pullback or a fresh setup.
What would change the call
- VIX at 16.15 is deep in calm; a snap back above ~18 re-imposes the vol gate and drags the read toward caution.
- Breadth at 63.0% is healthy and improved this print; participation slipping under 50% flips the regime faster than any single macro number.
- HY at 2.74% just tightened; a reversal wider removes the cleanest confirm and pulls the read toward neutral.
- The real 10Y up 7bps to 2.25% is the duration tell; a further push here hits the longest-duration narratives first, breakeven or not.
What to watch
- Next CPI against a 2.23% breakeven: a hot print compounds the front-end firming and pressures duration through the real leg.
- Next payrolls and claims: claims at 215K (−1K week over week, as of 27 June 2026) is a firm labor read; the question is whether the 159.0M payroll trend and 4.2% unemployment hold into the next release.
- The HY path from 2.74%: whether this read's tightening sticks or unwinds is the fastest route to re-rating credit.
- Fed path against a 3.63% funds rate, with the curve at 0.31% as the market keeps pricing cuts not yet delivered.
Status
Risk-on since 18 June 2026; consecutive print #10 in the journal, continuation of the prior published read on 1 July 2026. Research only no positions, sizes, entries, stops, or P&L.