Finance Analyst Report: 2026-06-11 12:07:14 ET
Signal Alignment
SPY Direction: SPY -0.9% (3d) | Alignment: 33% (2 aligned, 4 divergent) Status: MODERATE DIVERGENCE β Moderate divergence β several structural signals disagree with price
| Category | Signal Says | vs SPY | Key Driver |
|---|---|---|---|
| Dark Pool | π΄ BEARISH | β ALIGNED | DIX 0.467 moderate, 0DTE PCR 1.30 put-heavy |
| Gamma | π’ BULLISH | β DIVERGENT | GEX +2.5B vol dampening |
| Credit | π’ BULLISH | β DIVERGENT | HY OAS 2.80% moderate, NFCI -0.506 loose |
| Breadth | βͺ NEUTRAL | β | Breadth 54% β mixed participation |
| Energy | βͺ NEUTRAL | β | Energy ELEVATED β watch for transmission but not yet bearish |
| growth_expectations | βͺ NEUTRAL | β | Copper/Gold +8.8% growth optimism Β· real yield 2.20% restrictive |
| news_sentiment | βͺ NEUTRAL | β | AI news sentiment unavailable |
| Correlations | π’ BULLISH | β DIVERGENT | SPY/VIX -0.84 normal, SPY/DXY -0.57 elevated, SPY/TNX -0.74 stretched, SPY/Oil -0.16 normal |
| Volatility | π΄ BEARISH | β ALIGNED | VIX 21.6 moderate Β· SKEW 143 firm Β· VVIX/VIX 5.02 dealer stress |
| Inflation | βͺ NEUTRAL | β | Stagflation score 28 β moderate, watching |
| carry_risk | π’ BULLISH | β DIVERGENT | USD/JPY 5d +0.3% stable, MOVE 74 calm |
| Liquidity | βͺ NEUTRAL | β | Liquidity Adequate, cut prob 11% β hawkish lean but no BS drain |
Divergence read: SPY slipping but gamma, credit, and correlations flash bullish against the risk-on tape β 4 structural signals refuse to confirm the dip. Watch for: breadth expansion above 55% (bullish resolution).
Market Status
Regime: RISK-ON | Score: 70/100 (Favorable) | Signal-price divergence detected: 4 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 21.6 (elevated-fear environment); seasonal pattern historically neutral.
What Changed
- No signal changes detected.
Key Levels
- SPY: $728.77 | 50 SMA $719.32 | 200 SMA $685.34 | +0.0% from 50d | ZGL $730.96
- QQQ: $702.55 | 50 SMA $676.27 | 200 SMA $623.90 | +0.0% from 50d | ZGL $700.62
- IWM: $286.16 | 50 SMA $276.54 | 200 SMA $256.27 | +0.0% from 50d | ZGL $285.98
- VIX: 21.61 β 20-30 (elevated)
- 10Y Yield: 4.528%
Equity & Derivatives Board
| Ticker | Price | RSI(14) | IVR | ZGL | Ξ³-Sent | PCR |
|---|---|---|---|---|---|---|
| SPY | $728.77 | 37.19 | 56.0 | $730.96 | Bearish | 1.91 |
| QQQ | $702.55 | 41.09 | 99.9 | $700.62 | Neutral | 1.19 |
| IWM | $286.16 | 52.52 | 77.0 | $285.98 | Neutral | 1.09 |
Macro Board
| Ticker | Price | RSI(14) | IVR | ZGL | Ξ³-Sent | PCR |
|---|---|---|---|---|---|---|
| VIX | 21.61 | 66.81 | 75.2 | $10.53 | Neutral | 0.64 |
| TNX | 45.28 | 45.74 | 60.8 | - | - | - |
| GLD | $375.47 | 19.71 | 29.6 | $290.00 | Bearish | 2.44 |
| DXY | 100.23 | 70.78 | 14.9 | - | - | - |
| SLV | $58.02 | 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: 53.9%
- Stocks Above 200-Day SMA: 59.8%
- Breadth Signal: Moderately Bullish
- Total Stocks Analyzed: 499
- Mag 7 Concentration: 30.9%
- Top 10 Concentration: 40.9%
Sector Breadth
| Sector | % > 50d SMA | Stocks |
|---|---|---|
| Real Estate | 85.7% | 0/0 |
| Consumer Staples | 64.7% | 0/0 |
| Financials | 62.7% | 0/0 |
| Technology | 56.9% | 0/0 |
| Health Care | 53.7% | 0/0 |
| Energy | 52.6% | 0/0 |
| Industrials | 50.7% | 0/0 |
| Consumer Discretionary | 49.2% | 0/0 |
| Utilities | 40.0% | 0/0 |
| Communication Services | 35.0% | 0/0 |
| Materials | 29.2% | 0/0 |
Energy & Commodities
- Energy Regime: ELEVATED
- WTI Crude: $90.91 (5d: +0.4%)
- Brent Crude: $93.56 | Spread: $2.65
- RBOB Gasoline: $3.1100/gal
- Heating Oil: $3.6200/gal
- 3-2-1 Crack Spread: $46.85/bbl (Very wide)
- XLE (Energy Sector): $58.40
- UNG (Nat Gas): $11.20
Correlations
| Pair | 20d Corr | Signal |
|---|---|---|
| SPY / VIX | -0.843 | normal |
| SPY / DXY | -0.573 | elevated |
| SPY / TNX | -0.738 | stretched |
| SPY / Oil | -0.158 | normal |
Volatility & Options
- Volatility Regime: Contango (Normal)
- MOVE Index (Bond Vol): 73.95
- VIX/MOVE Ratio: 0.30 (Equity Vol Elevated vs Rates)
- 0DTE Call Volume: 2,113,726.0
- 0DTE Put Volume: 2,747,326.0
- 0DTE Put/Call Ratio: 1.30 (Balanced 0DTE Flow)
- 0DTE Notional Dollar Volume: $354.3B
- Gamma Call Wall: $737 | Put Wall: $725 (Spot: $728.77)
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 -1.95Ο (extreme short))
Macro Fundamentals
- 10Y Yield: 4.53%
- Yield Curve (10Y-3M): 0.90 (Normal)
- DXY: 100.23
- 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: 28/100
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): $62,693 (Neutral)
Active Alerts
- [WARNING] VVIX spiked to 110.1 β volatility-of-volatility elevated, expect choppy conditions.
- [INFO] Full bullish alignment: DIX 0.467, GEX +2.5B, HY OAS 2.80%, breadth 54%.
- [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 $46.85/bbl β refining margins extremely elevated, consumer fuel price pressure.
- [WARNING] Oil spike alert: USO at $135.15 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.
- [INFO] SPY (732.08) reclaimed ZGL (713.36) β volatility dampening resumes.
Seasonality
- Current Month: June
- Average Return: +0.09%
- 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 (β0.1% vs 30d)
- GS (2026-07-14): EPS Est. $13.74 (β4.7% vs 30d)
- TSLA (2026-07-22): EPS Est. $0.45 (β0.4% vs 30d)
- GOOGL (2026-07-23): EPS Est. $2.87 (β0.2% vs 30d)
- MSFT (2026-07-29): EPS Est. $4.24 (β0.6% vs 30d)
- META (2026-07-29): EPS Est. $7.20 (β0.4% vs 30d)
- AAPL (2026-07-30): EPS Est. $1.90 (β0.0% vs 30d)
- AMZN (2026-07-30): EPS Est. $1.82 (β0.1% vs 30d)
- WMT (2026-08-20): EPS Est. $0.74 (β0.5% vs 30d)
- NVDA (2026-08-26): EPS Est. $2.08 (β6.5% vs 30d)
FX News Wire
No new articles found since last report.
Iran War News
Updates (2):
[1] Ghalibaf warns wrong decisions will create 'endless quagmire' Time: 2026-06-11T15:51:06.082Z
[2] EU's Kallas says attacks on states astride Persian Gulf unacceptable Time: 2026-06-11T15:43:19.829Z
Hormuz Strait Status
Strait of Hormuz Dashboard:
- Strait Status: CLOSED (since 2026-06-11, 0 days ago)
- Ships Transiting: 2 of 60 normal daily β 3.3% of normal
- Throughput: 3.0% of normal (0.3M / 10.3M DWT)
- Stranded Vessels: 265
- Oil Prices: Brent $97.46 (+0.17%)
- War Risk Insurance: EXTREME β 26.7x normal
- Tanker Rates: WS280 (+460% vs pre-crisis)
- Global Impact: 21% of world oil supply at risk; est. $8.5 billion/day economic cost