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2026-W24

Finance Analyst Report: 2026-06-11 11:58:53 ET

Signal Alignment

SPY Direction: SPY -1.0% (3d) | Alignment: 29% (2 aligned, 5 divergent) Status: MODERATE DIVERGENCE β€” Moderate divergence β€” several structural signals disagree with price

Category Signal Says vs SPY Key Driver
Dark Pool πŸ”΄ BEARISH βœ“ ALIGNED DIX 0.467 moderate, 0DTE PCR 1.29 put-heavy
Gamma 🟒 BULLISH βœ— DIVERGENT GEX +2.5B vol dampening
Credit 🟒 BULLISH βœ— DIVERGENT HY OAS 2.80% moderate, NFCI -0.506 loose
Breadth 🟒 BULLISH βœ— DIVERGENT Breadth 55% β€” broad participation supports rally
Energy βšͺ NEUTRAL β€” Energy ELEVATED β€” watch for transmission but not yet bearish
growth_expectations βšͺ NEUTRAL β€” Copper/Gold +8.9% growth optimism Β· real yield 2.20% restrictive
news_sentiment βšͺ NEUTRAL β€” AI news sentiment unavailable
Correlations 🟒 BULLISH βœ— DIVERGENT SPY/VIX -0.84 normal, SPY/DXY -0.61 stretched, SPY/TNX -0.74 stretched, SPY/Oil -0.16 normal
Volatility πŸ”΄ BEARISH βœ“ ALIGNED VIX 21.8 moderate Β· SKEW 143 firm Β· VVIX/VIX 5.04 dealer stress
Inflation βšͺ NEUTRAL β€” Stagflation score 27 β€” moderate, watching
carry_risk 🟒 BULLISH βœ— DIVERGENT USD/JPY 5d +0.3% stable, MOVE 74 calm
Liquidity βšͺ NEUTRAL β€” Liquidity Adequate, cut prob 11% β€” hawkish lean but no BS drain

Divergence read: SPY slipping but gamma, credit, and breadth flash bullish against the risk-on tape β€” 5 structural signals refuse to confirm the dip.

Market Status

Regime: RISK-ON | Score: 72/100 (Favorable) | Signal-price divergence detected: 5 signals disagree with SPY's 5d trend.

Leading indicators show DIX stable at 0.467; GEX positive at 2.5B (vol-suppressing); credit spreads widening (stress building). Lagging confirmation: VIX at 21.8 (elevated-fear environment); seasonal pattern historically neutral.

What Changed

  • No signal changes detected.

Key Levels

  • SPY: $728.24 | 50 SMA $719.32 | 200 SMA $685.34 | +0.0% from 50d | ZGL $730.97
  • QQQ: $701.84 | 50 SMA $676.27 | 200 SMA $623.90 | +0.0% from 50d | ZGL $700.63
  • IWM: $285.92 | 50 SMA $276.54 | 200 SMA $256.27 | +0.0% from 50d | ZGL $287.64
  • VIX: 21.77 β€” 20-30 (elevated)
  • 10Y Yield: 4.528%

Equity & Derivatives Board

Ticker Price RSI(14) IVR ZGL Ξ³-Sent PCR
SPY $728.24 37.19 56.0 $730.97 Bearish 2.03
QQQ $701.84 41.09 99.9 $700.63 Neutral 1.23
IWM $285.92 52.52 77.0 $287.64 Neutral 1.13

Macro Board

Ticker Price RSI(14) IVR ZGL Ξ³-Sent PCR
VIX 21.77 66.81 75.2 $10.53 Neutral 0.63
TNX 45.28 45.74 60.8 - - -
GLD $375.10 19.71 29.6 $290.00 Bearish 2.47
DXY 100.21 70.56 14.7 - - -
SLV $57.90 21.10 24.1 $20.00 Neutral 1.42

Dark Pool Activity

  • DIX (Dark Index): 0.467
  • DIX Signal: Moderate buying
  • GEX (Gamma Exposure): 2.48B

Credit Conditions

  • HY OAS Spread: 2.80% (Normal)
  • BBB Spread: 0.94%
  • 2s10s Spread: 0.42% (Flat-ish)

Market Breadth

  • Stocks Above 50-Day SMA: 55.1%
  • Stocks Above 200-Day SMA: 60.2%
  • Breadth Signal: Strong Bullish
  • Total Stocks Analyzed: 499
  • Mag 7 Concentration: 30.8%
  • Top 10 Concentration: 40.8%

Sector Breadth

Sector % > 50d SMA Stocks
Real Estate 85.7% 0/0
Consumer Staples 67.6% 0/0
Financials 62.7% 0/0
Technology 55.4% 0/0
Industrials 55.2% 0/0
Health Care 53.7% 0/0
Energy 52.6% 0/0
Consumer Discretionary 49.2% 0/0
Utilities 43.3% 0/0
Communication Services 35.0% 0/0
Materials 33.3% 0/0

Energy & Commodities

  • Energy Regime: ELEVATED
  • WTI Crude: $90.99 (5d: +0.5%)
  • Brent Crude: $93.59 | Spread: $2.60
  • RBOB Gasoline: $3.1100/gal
  • Heating Oil: $3.6200/gal
  • 3-2-1 Crack Spread: $46.77/bbl (Very wide)
  • XLE (Energy Sector): $58.44
  • UNG (Nat Gas): $11.20

Correlations

Pair 20d Corr Signal
SPY / VIX -0.842 normal
SPY / DXY -0.607 stretched
SPY / TNX -0.743 stretched
SPY / Oil -0.158 normal

Volatility & Options

  • Volatility Regime: Contango (Normal)
  • MOVE Index (Bond Vol): 73.95
  • VIX/MOVE Ratio: 0.29 (Equity Vol Elevated vs Rates)
  • 0DTE Call Volume: 2,038,192.0
  • 0DTE Put Volume: 2,627,534.0
  • 0DTE Put/Call Ratio: 1.29 (Balanced 0DTE Flow)
  • 0DTE Notional Dollar Volume: $339.7B
  • Gamma Call Wall: $737 | Put Wall: $725 (Spot: $728.24)

CTA Trend Stack

  • SMA Stack Score: 3/4 above
  • Position: Above 50,100,200d SMA(s) Β· below 20d

Positioning & Sentiment

  • CFTC E-mini Specs Net: -220,768 contracts (Z -1.95, as of 2026-06-02)
  • AAII Bull-Bear Spread: -17.3% (as of 2026-06-10)
  • Squeeze Setup: none (1/4 triggers Β· CFTC specs Z -1.95Οƒ (extreme short))

Macro Fundamentals

  • 10Y Yield: 4.53%
  • Yield Curve (10Y-3M): 0.90 (Normal)
  • DXY: 100.21
  • Growth vs Value: 0.96
  • Fed Funds Rate: 3.50-3.75% | Next FOMC: 2026-07-29
  • Rate Probabilities: Hold 84.0% | Cut 11.0%

Inflation Expectations

  • 5Y Breakeven: 2.44% (Near Target)
  • 10Y Breakeven: 2.34%
  • 5Y5Y Forward: 2.24%
  • Stagflation Risk Score: 27/100

Fed & Global Liquidity

  • Fed Balance Sheet (WALCL): $6711.5B
  • Treasury General Account (TGA): $875.7B
  • Reverse Repo (RRP): $0.4B
  • US Net Liquidity (WALCL - TGA - RRP): $5,835B
  • Liquidity Regime: Adequate
  • ECB Balance Sheet: ~$7,074B
  • BOJ Balance Sheet: ~$4,140B
  • Global Net Liquidity: $17,049B
  • BTC-USD (Liquidity Proxy): $62,631 (Neutral)

Active Alerts

  • [WARNING] SPY near gamma wall β€” expect increased resistance/support and potential pinning at key strike.
  • [WARNING] Leading indicator divergence: 3/5 leading signals disagree with SPY's bearish trend β€” historically precedes repricing within 3-5 days.
  • [INFO] Full bullish alignment: DIX 0.467, GEX +2.5B, HY OAS 2.80%, breadth 55%.
  • [WARNING] SKEW at 143 β€” elevated tail-risk hedging activity.
  • [WARNING] 10Y real yield at 2.20% β€” restrictive monetary conditions weighing on growth assets.
  • [WARNING] 3-2-1 crack spread at $46.77/bbl β€” refining margins extremely elevated, consumer fuel price pressure.
  • [WARNING] Oil spike alert: USO at $135.29 β€” potential geopolitical disruption or supply shock.
  • [WARNING] Regime shifted from CAUTIOUS to RISK-ON.
  • [WARNING] Pack size threshold breach (refresh #2): max=146330B avg=100454B
  • [WARNING] SPY (729.59) dropped below ZGL (736.82) β€” expect amplified downside moves.

Seasonality

  • Current Month: June
  • Average Return: +0.08%
  • Median Return: +0.46%
  • Hit Rate: 55%
  • Signal: Historically Neutral

Today's Events

Economic Releases:

  • Initial Jobless Claims: 229 vs Est. 220 (BEAT) | Prev: 225
  • PPI(MoM)(May): 1.1% vs Est. 0.7% (BEAT) | Prev: 1.1%
  • Continuing Jobless Claims: 1,795 vs Est. 1,780 (BEAT) | Prev: 1,771
  • Core PPI(MoM)(May): 0.4% vs Est. 0.5% (MISS) | Prev: 0.7%

Upcoming Calendar (30 Days)

Economic Releases:

  • Industrial Production: 2026-06-15
  • Retail Sales: 2026-06-17
  • Philadelphia Fed Mfg Index: 2026-06-23
  • Gross Domestic Product (GDP): 2026-06-25
  • Employment Situation (Payrolls): 2026-07-02

Earnings & EPS Estimates:

  • JPM (2026-07-14): EPS Est. $5.39 (↑0.1% vs 30d)
  • GS (2026-07-14): EPS Est. $13.74 (↓4.7% vs 30d)
  • TSLA (2026-07-22): EPS Est. $0.45 (↑0.4% vs 30d)
  • GOOGL (2026-07-23): EPS Est. $2.87 (↓0.2% vs 30d)
  • MSFT (2026-07-29): EPS Est. $4.24 (↑0.6% vs 30d)
  • META (2026-07-29): EPS Est. $7.20 (↓0.4% vs 30d)
  • AAPL (2026-07-30): EPS Est. $1.90 (↑0.0% vs 30d)
  • AMZN (2026-07-30): EPS Est. $1.82 (↓0.1% vs 30d)
  • WMT (2026-08-20): EPS Est. $0.74 (↓0.5% vs 30d)
  • NVDA (2026-08-26): EPS Est. $2.08 (↑6.5% vs 30d)

FX News Wire

No new articles found since last report.

Iran War News

Updates (1):

[1] Ghalibaf adviser says Iran in no hurry to reach deal with US Time: 2026-06-11T15:31:37.935Z

Hormuz Strait Status

Hormuz Strait: no change since last report.

Strait of Hormuz Dashboard:

  • Strait Status: CLOSED (since 2026-03-04, 99 days ago)
  • Ships Transiting: 2 of 60 normal daily β€” 3.3% of normal
  • Throughput: 2.0% of normal (0.2M / 10.3M DWT)
  • Stranded Vessels: 265
  • Oil Prices: Brent $97.46 (+0.17%)
  • War Risk Insurance: EXTREME β€” 26.7x normal
  • Tanker Rates: WS95 (+90% vs pre-crisis)
  • Global Impact: 21% of world oil supply at risk; est. $5.7 billion/day economic cost