Risk Regime
Top-down risk-regime nowcast: stress gauges + systemic-crisis discriminators. Read-only overlay, not a positioning signal.
Current state
Rates/inflation risk-off (bonds sell too)
Systemic score (0 = no signs)
Out of 100; 55 or above is classed as systemic stress
Discriminators
Credit widening YesBonds as haven NoSystemic crisis NoVIX backwardation NoYields rising YesBreakevens rising YesFunding stress NoStress gauges
| Gauge | Last | 5d chg | 20d chg | Z | As of |
|---|---|---|---|---|---|
| VIX (spot) | 18.15 | +1.69 | +2.48 | +0.05 | 2026-10-22 |
| VIX (3-month) | 18.99 | +1.03 | +1.38 | -0.61 | 2026-10-20 |
| HY OAS | 3.33% | +0.17 | +0.65 | +2.48 | 2026-10-20 |
| IG OAS | 0.87% | +0.04 | +0.10 | +1.67 | 2026-10-20 |
| US 10Y | 5.13% | -0.06 | +0.17 | +2.10 | 2026-10-21 |
| US 2Y | 4.81% | -0.01 | +0.10 | +2.10 | 2026-10-21 |
| 10y breakeven | 2.37% | +0.02 | +0.04 | +0.83 | 2026-10-21 |
| Broad USD | 121.405 | -0.04 | +2.06 | +1.45 | 2026-10-16 |
| Gold vol (GVZ) | 21.36 | -1.42 | -1.41 | -1.12 | 2026-10-21 |
| 3M financial CP | 4.08% | -0.08 | +0.24 | +0.22 | 2026-10-20 |
| 3M T-bill | 4.08% | -0.01 | +0.06 | +2.71 | 2026-10-20 |
| SOFR | 3.88% | -0.01 | +0.03 | +0.93 | 2026-10-20 |
| IORB | 3.9% | +0.00 | +0.00 | +2.45 | 2026-10-22 |
Systemic score components
| Component | Contribution | Detail |
|---|---|---|
| HY OAS level | 0 | HY 3.33% vs 3.5% floor |
| HY widening (20d) | 26.0 | 20d change 0.65 |
| VIX level | 0.0 | VIX 18.15 vs 20 floor |
| VIX backwardation | 0 | term ratio 0.956 (>1 to trigger) |
| VIX z-score | 0.2 | z 0.05 |
| Funding stress | 0.0 | CP−bill 0.0bp (40 floor) · SOFR−IORB -2.0bp (15 floor) |