Journal ·
Thursday, 6 August 2026
Regime Risk-onMarket regime
Risk-on is the model's read, the same regime as the prior published entry of 4 August 2026. This is the fourth consecutive risk-on read in the journal (n=4), since 30 July 2026. Breadth slipped: 65.3% of the universe (636/974) sits above its 50-day EMA, down from 69.2% but still scoring healthy. SPY closed 768.64, +9.2% over its 200-EMA of 704.02 a narrower cushion than the prior level carried. VIX at 15.15 remains in the calm band, lower than the last print and nowhere near its edge. The rates block moved in one direction and with size this time: the 10Y fell 12bps week over week to 4.63% and the 2Y fell 10bps to 4.18%, flattening the 10Y–2Y spread 2bps to 0.45%. Breakevens fell 6bps to 2.22% and the real 10Y fell 6bps to 2.41%, splitting the decline evenly between inflation compensation and real yield. HY tightened a further 10bps to 2.75%, a second consecutive week of tightening. Claims at 199K (+1K week over week, as of 1 August 2026) stay low.
Key numbers
| Metric | Level | Read |
|---|---|---|
| Regime | Risk-on | Same as prior published read (4 August 2026); n=4 consecutive |
| VIX | 15.15 | Calm band |
| Breadth >50-day EMA | 65.3% (636/974) | Healthy |
| SPY close | 768.64 | +9.2% vs 200-EMA (704.02) |
| 10Y Treasury | 4.63% | week over week −12bps (as of 5 August 2026) |
| 2Y Treasury | 4.18% | week over week −10bps (as of 5 August 2026) |
| 10Y–2Y spread | 0.45% | week over week −2bps (as of 5 August 2026) |
| 10Y breakeven | 2.22% | week over week −6bps (as of 5 August 2026) |
| Real 10Y rate | 2.41% | week over week −6bps (as of 5 August 2026) |
| HY credit spread | 2.75% | week over week −10bps, tightening (as of 5 August 2026) |
| Fed Funds | 3.63% | as of 1 July 2026 |
| Initial claims | 199K | week over week +1K (as of 1 August 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
Three inputs now point the same way. Credit has tightened in back-to-back weekly observations, breadth has scored healthy in both of the last two prints even after giving back roughly four points of participation, and the volatility input has not moved out of its band. The inputs agree with each other, which shifts the burden onto anyone arguing the read is early.
The rates move is the new information and it is genuinely ambiguous. A 12bp fall in the 10Y with breakevens down 6bps is not a growth-scare signature, but it is not a reflation one either half the move is lower inflation compensation, half is a lower real rate, and the curve barely changed at 0.45%. A bull-flattening of that size can be a bid for duration on easing expectations or an early demand signal, and this dataset does not distinguish between them. Nothing else on the sheet corroborates a slowdown: claims moved 1K.
What has not changed is the geometry. An index 9.2% above its long trend with VIX at 15.15 is a market paying little for insurance while standing well above its own mean, and the cushion narrowed only modestly this week. Four consecutive prints is still a short series, all of them since 30 July 2026. The read has held since 4 August 2026 and remains a small sample.
What would change the call
- HY at 2.75% has now tightened in two consecutive observations. A widening print would end the streak that the strongest corroboration for the current read.
- Breadth at 65.3% (636/974) scores healthy again, though below the prior print's 69.2%. A slip back toward a marginal score would mark the healthy readings as the exception rather than the trend.
- SPY at 768.64 is +9.2% above its 200-EMA of 704.02. Compression of that cushion alongside falling breadth removes the price leg the read carries.
- VIX at 15.15 sits in the calm band and eased from the prior print. Re-expansion out of the band would strip the volatility input from the risk-on read.
- The 10Y fell 12bps to 4.63% and the 2Y fell 10bps to 4.18%. Continued 10Y-led decline with the spread flattening below 0.45% would turn this week's bull-flattener into a growth signal instead of an ambiguous one.
- The 10Y breakeven fell 6bps to 2.22%. Further decline at that pace, with the real 10Y at 2.41% holding, would point at demand weakness rather than easier policy.
- Claims at 199K (as of 1 August 2026) rose 1K. A sustained climb across subsequent prints would give any breadth deterioration a labor-market cause.
What to watch
- Rates: whether the 12bp/10bp decline extends or reverses. It is the only input that changed character this week and the one the current dataset cannot interpret on its own.
- Credit: whether HY holds 2.75% or wider. Two tightening prints is the shortest possible confirming series.
- Breadth: whether the 636/974 count holds above the healthy threshold across coming reads, or whether the slippage from the prior print continues.
- Labor: the next ICSA prints against the 199K base, and the next UNRATE and PAYEMS releases both still stamped 1 June 2026 and now two months stale relative to the weekly series.
Status
Risk-on as of 6 August 2026; fourth consecutive read in the journal (n=4) since 30 July 2026, same regime as 4 August 2026.