Journal ·
Tuesday, 28 July 2026
Regime Risk-onMarket regime
Risk-on — the model's read, matching the prior published entry of 27 July 2026. Breadth did the work: 63.8% (622/975) of the universe sits above its 50-day EMA, up from the prior session's read, and firmly out of marginal territory. SPY closed 740.79, +6.0% over its 200-EMA of 698.99. Rates eased at the margin — the 10Y at 4.65% (−2bps week over week), the 2Y flat at 4.31%, the 10Y–2Y spread at 0.34% (−2bps week over week). Breakevens fell 7bps to 2.21%, which pushed the real 10Y up 5bps to 2.44% even as the nominal came in. HY credit went the other way: 2.81%, +13bps week over week, the widest weekly move among the readings we track. VIX at 18.21 reads elevated. Claims at 187K (−22K week over week, as of 18 July 2026) stayed firm.
Key numbers
| Metric | Level | Read |
|---|---|---|
| Regime | Risk-on | Same as the prior published read (27 July 2026, risk-on) |
| VIX | 18.21 | Elevated, not the calm band |
| Breadth >50-day EMA | 63.8% (622/975) | Healthy, widened from the prior session |
| SPY close | 740.79 | +6.0% vs 200-EMA (698.99) |
| 10Y Treasury | 4.65% | week over week −2bps |
| 2Y Treasury | 4.31% | week over week flat |
| 10Y–2Y spread | 0.34% | week over week −2bps, flatter |
| 10Y breakeven | 2.21% | week over week −7bps |
| Real 10Y rate | 2.44% | week over week +5bps, still climbing |
| HY credit spread | 2.81% | week over week +13bps, third widening read |
| Fed Funds | 3.63% | as of 1 June 2026 |
| Initial claims | 187K | week over week −22K (as of 18 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 third consecutive risk-on read in the journal arrives with firmer internals and widening credit. Participation at 63.8% is the strongest leg: a majority that wide means the index level is being supported by the population of stocks rather than by a shrinking cohort, which is what separates a broad advance from an index optically holding up while the median name rolls over. The credit read cuts against it. HY widening 13bps in a week is the largest single move in this block, and widening spreads alongside a rising real yield describe funding conditions tightening while equity breadth expands a divergence, and divergences resolve rather than persist. Note the composition of the rates move: nominal yields fell while the real yield rose, so the entire decline came out of inflation compensation. That is a growth-expectation story more than an easing story, and it does not relieve duration. What the model's read supports is treating broad strength as broad the participation is measured and real. What it does not supply is credit confirmation, and the honest framing is that this print rests on one strong leg and one deteriorating one.
What would change the call
- Breadth at 63.8% (622/975) is the main support. A retreat back below 60%, and below the mid-50s from there, removes what upgraded the internals.
- HY at 2.81% (+13bps week over week) is the loudest dissent. Further widening from here argues the credit market is pricing something breadth has not seen; a turn back to tightening supplies the confirmation this print lacks.
- The real 10Y at 2.44% (+5bps week over week) rose while the nominal 10Y fell to 4.65%. If breakevens keep dropping from 2.21% and the real rate keeps climbing, the read becomes a demand problem, not a benign rate move.
- The 10Y–2Y spread at 0.34% (−2bps week over week) is a few prints from inversion with the 2Y flat at 4.31%. Inversion alongside continued HY widening is the fastest exit from risk-on.
- SPY at 740.79 is +6.0% over its 200-EMA (698.99). Losing that stretch strips out the price leg while credit is already offside.
- VIX at 18.21 is elevated. A move higher from that base, rather than a settle toward calm, leaves the call with no volatility support.
What to watch
- Credit: HY at 2.81% after a 13bps weekly widening. The next two prints separate drift from stress; this is the single input most likely to break the current read.
- Rates: whether the 10Y's −2bps move to 4.65% extends, and whether the 0.34% spread inverts, with the 2Y anchored at 4.31%.
- Inflation: the next CPI against a 2.21% breakeven (−7bps week over week). A soft print that pushes breakevens lower again lifts the real 10Y from 2.44% without any nominal help the same squeeze arriving through the back door.
- Labor: claims at 187K (−22K week over week, as of 18 July 2026) are firm. The test is whether 159.0M payrolls and 4.2% unemployment hold into the next release with the funds rate at 3.63%.
- Breadth: 63.8% (622/975) is a wide pass, as was the prior read's. Whether it holds above 60% or fades back is the cleanest tell on whether this is a durable stretch.
Status
Risk-on as of 28 July 2026; third consecutive risk-on read in the journal (n=3), since 24 July 2026. Research only no positions, sizes, entries, stops, or P&L.