Journal ·
Monday, 20 July 2026
Regime Risk-onMarket regime
Risk-on holds, consecutive print #21 in the journal and a continuation of the 07-17 read. VIX printed 18.65, elevated and just above the ~18 gate, a touch lower than the prior session's 18.77. Breadth came in at 57.1% (557/975) above the 50-day EMA a majority, but a marginal one that thinned from the wider participation of the prior session. SPY closed 742.15, +6.6% over its 200-EMA of 696.38. The front end led lower again: the 2Y eased 3bps week over week to 4.18% and the 10Y slipped 1bp to 4.55%, nudging the 10Y–2Y spread 2bps week over week wider to 0.37%. Inflation expectations were quiet, breakeven flat at 2.24% while the real 10Y eased 1bp to 2.31%. The one visible give was credit: HY leaked 4bps week over week to 2.73%, the largest single move on the board, though still tight in absolute terms.
Key numbers
| Metric | Level | Read |
|---|---|---|
| Regime | Risk-on | Consecutive print #21, continuation from 07-17 |
| VIX | 18.65 | Elevated, just above the ~18 gate |
| Breadth >50-day EMA | 57.1% (557/975) | Healthy but unconfirmed, a slimmer majority |
| SPY close | 742.15 | +6.6% vs 200-EMA (696.38) |
| 10Y Treasury | 4.55% | week over week −1bps |
| 2Y Treasury | 4.18% | week over week −3bps, front-end easing |
| 10Y–2Y spread | 0.37% | week over week +2bps, mild steepening |
| 10Y breakeven | 2.24% | week over week flat |
| Real 10Y rate | 2.31% | week over week −1bps |
| HY credit spread | 2.73% | week over week +4bps, wider |
| Fed Funds | 3.63% | as of 1 June 2026 |
| Initial claims | 208K | week over week −8K (as of 11 July 2026) |
| Unemployment | 4.2% | as of 1 June 2026 |
| Nonfarm payrolls | 159.0M | as of 1 June 2026 |
| Housing starts | 1,427K | as of 1 June 2026 |
Regime assessment
The signal to track this week is participation quality, not the headline call. Breadth sitting at the healthy but unconfirmed band means the majority carrying the tape is thinner than it was, so the confirm under the index leaders is less robust even as the regime holds well clear of the 50% flip line. VIX at that level keeps volatility on the constraint list, so sizing stays cautious. Front-end easing keeps the cut narrative underneath the highest-multiple stories rather than working against them. The credit leak is the one input that earned a note: it is the widest week over week move and the first place a deteriorating read would show. Against a slightly less-stretched index SPY is off the +6.8% extension of the prior read there is marginally more room overhead, but that is not license to add on strength. The gate stands: fresh high-conviction adds clear behind a catalyst or a clean setup, never on price alone.
What would change the call
- VIX at 18.65 has no cushion left and sits above the ~18 gate; holding there keeps the vol gate armed and tilts the read to caution.
- Breadth at 57.1% thinned from 59.9% the prior session; a slip under 50% flips the regime faster than any single macro print.
- HY at 2.73% leaked 4bps week over week the largest give on the board; an accelerating widening strips out the cleanest credit confirm and drags the read toward neutral.
- The 0.37% spread is steepening on a falling 2Y; a reversal of the front-end move into bear-flattening unwinds the cut narrative that supports risk.
What to watch
- Next CPI against a 2.24% breakeven: a hot print reverses the quiet inflation leg and pressures duration with the real 10Y already near 2.31%.
- Labor: claims fell to 208K (−8K week over week, as of 11 July 2026), firm; the test is whether the 159.0M payroll trend and 4.2% unemployment hold into the next release.
- The HY path from 2.73%: whether this 4bps give extends or reverses is the fastest route to re-rating credit.
- Fed path against a 3.63% funds rate, with the 2Y at 4.18% still pricing cuts not yet delivered the front end is the pressure point.
Status
Risk-on since 18 June 2026; consecutive print #21 in the journal, continuation of the 17 July 2026 read. Research only no positions, sizes, entries, stops, or P&L.