Finance Analyst Report: 2026-06-11 19:02:08 ET

Signal Alignment

SPY Direction: SPY +0.5% (3d) | Alignment: 83% (5 aligned, 1 divergent) Status: MIXED — Mixed — no clear signal consensus

Category	Signal Says	vs SPY	Key Driver
Dark Pool	🔴 BEARISH	✗ DIVERGENT	DIX 0.432 below 0.45 and falling — institutional buying drying up, 0DTE PCR 1.02 balanced
Gamma	🟢 BULLISH	✓ ALIGNED	GEX +4.5B strong suppression
Credit	🟢 BULLISH	✓ ALIGNED	HY OAS 2.80% moderate, NFCI -0.506 loose
Breadth	🟢 BULLISH	✓ ALIGNED	Breadth 56% — broad participation supports rally
Energy	⚪ NEUTRAL	—	Energy ELEVATED — watch for transmission but not yet bearish
growth_expectations	⚪ NEUTRAL	—	Copper/Gold +7.8% growth optimism · real yield 2.21% restrictive
news_sentiment	⚪ NEUTRAL	—	AI news sentiment unavailable
Correlations	⚪ NEUTRAL	—	SPY/VIX -0.84 normal, SPY/DXY -0.71 stretched, SPY/TNX -0.82 extreme, SPY/Oil -0.32 elevated
Volatility	⚪ NEUTRAL	—	VIX 19.4 sub-20 in contango · SKEW 143 firm · VVIX/VIX 5.18 dealer stress
Inflation	🟢 BULLISH	✓ ALIGNED	Stagflation score 24 — low inflation risk
carry_risk	🟢 BULLISH	✓ ALIGNED	USD/JPY 5d -0.2% stable, MOVE 69 calm
Liquidity	⚪ NEUTRAL	—	Liquidity Adequate, cut prob 11% — hawkish lean but no BS drain

Divergence read: Transitional regime with a bullish tilt (gamma, credit, and breadth) — but transitional is by definition unstable, so take the lean at a discount until regime settles.

Market Status

Regime: TRANSITIONAL | Score: 77/100 (Favorable, with caution) | Score reads 77 (Favorable) but regime is TRANSITIONAL — DIX below threshold (0.432) keeps full risk-on classification at bay.

Leading indicators show DIX falling to 0.432 (institutional buying fading); GEX positive at 4.5B (vol-suppressing); credit spreads widening (stress building). Lagging confirmation: VIX at 19.4 (low-fear environment); seasonal pattern historically neutral.

What Changed

No signal changes detected.

Key Levels

SPY: $739.37 | 50 SMA $719.32 | 200 SMA $685.34 | +0.0% from 50d | ZGL $731.0
QQQ: $719.16 | 50 SMA $676.27 | 200 SMA $623.90 | +0.1% from 50d | ZGL $704.43
IWM: $291.42 | 50 SMA $276.54 | 200 SMA $256.27 | +0.1% from 50d | ZGL $267.5
VIX: 19.44 — sub-20 (low vol)
10Y Yield: 4.463%

Equity & Derivatives Board

Ticker	Price	RSI(14)	IVR	ZGL	γ-Sent	PCR
SPY	$739.37	37.19	56.0	$731.00	Neutral	0.72
QQQ	$719.16	41.09	99.9	$704.43	Neutral	0.59
IWM	$291.42	52.52	77.0	$267.50	Neutral	0.57

Macro Board

Ticker	Price	RSI(14)	IVR	ZGL	γ-Sent	PCR
VIX	19.44	66.81	75.2	$10.50	Neutral	0.73
TNX	44.63	45.74	60.8	-	-	-
GLD	$389.44	19.71	29.6	$310.00	Bearish	1.58
DXY	99.68	59.72	17.1	-	-	-
SLV	$61.41	21.10	24.1	$35.22	Neutral	0.99

Dark Pool Activity

DIX (Dark Index): 0.432
DIX Signal: Neutral
GEX (Gamma Exposure): 4.47B

Credit Conditions

HY OAS Spread: 2.80% (Normal)
BBB Spread: 0.94%
2s10s Spread: 0.40% (Flat-ish)

Market Breadth

Stocks Above 50-Day SMA: 56.5%
Stocks Above 200-Day SMA: 61.0%
Breadth Signal: Strong Bullish
Total Stocks Analyzed: 499
Mag 7 Concentration: 30.9%
Top 10 Concentration: 41.2%

Sector Breadth

Sector	% > 50d SMA	Stocks
Real Estate	78.6%	0/0
Consumer Staples	67.6%	0/0
Industrials	64.2%	0/0
Financials	62.7%	0/0
Technology	58.5%	0/0
Consumer Discretionary	57.6%	0/0
Health Care	57.4%	0/0
Materials	45.8%	0/0
Communication Services	35.0%	0/0
Energy	31.6%	0/0
Utilities	26.7%	0/0

Energy & Commodities

Energy Regime: ELEVATED
WTI Crude: $85.92 (5d: -5.1%)
Brent Crude: $88.55 | Spread: $2.63
RBOB Gasoline: $3.0000/gal
Heating Oil: $3.4500/gal
3-2-1 Crack Spread: $46.38/bbl (Very wide)
XLE (Energy Sector): $57.12
UNG (Nat Gas): $11.16

Correlations

Pair	20d Corr	Signal
SPY / VIX	-0.844	normal
SPY / DXY	-0.714	stretched
SPY / TNX	-0.819	extreme
SPY / Oil	-0.323	elevated

Volatility & Options

Volatility Regime: Contango (Normal)
MOVE Index (Bond Vol): 69.45
VIX/MOVE Ratio: 0.28 (Equity Vol Elevated vs Rates)
0DTE Call Volume: 5,436,705.0
0DTE Put Volume: 5,572,102.0
0DTE Put/Call Ratio: 1.02 (Balanced 0DTE Flow)
0DTE Notional Dollar Volume: $812.2B
Gamma Call Wall: $739 | Put Wall: $730 (Spot: $739.37)

CTA Trend Stack

SMA Stack Score: 3/4 above
Position: Above 50,100,200d SMA(s) · 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 · CFTC specs Z -1.95σ (extreme short))

Macro Fundamentals

10Y Yield: 4.46%
Yield Curve (10Y-3M): 0.84 (Normal)
DXY: 99.68
Growth vs Value: 0.97
Fed Funds Rate: 3.50-3.75% | Next FOMC: 2026-07-29
Rate Probabilities: Hold 84.0% | Cut 11.0%

Inflation Expectations

5Y Breakeven: 2.40% (Near Target)
10Y Breakeven: 2.29%
5Y5Y Forward: 2.18%
Stagflation Risk Score: 24/100

Fed & Global Liquidity

Fed Balance Sheet (WALCL): $6725.4B
Treasury General Account (TGA): $828.1B
Reverse Repo (RRP): $0.5B
US Net Liquidity (WALCL - TGA - RRP): $5,897B
Liquidity Regime: Adequate
ECB Balance Sheet: ~$7,110B
BOJ Balance Sheet: ~$4,152B
Global Net Liquidity: $17,158B
BTC-USD (Liquidity Proxy): $63,492 (Neutral)

Active Alerts

[WARNING] SPY near gamma wall — expect increased resistance/support and potential pinning at key strike.
[WARNING] SKEW at 143 — elevated tail-risk hedging activity.
[WARNING] 10Y real yield at 2.21% — restrictive monetary conditions weighing on growth assets.
[WARNING] 3-2-1 crack spread at $46.38/bbl — refining margins extremely elevated, consumer fuel price pressure.
[WARNING] Oil spike alert: USO at $128.83 — potential geopolitical disruption or supply shock.
[WARNING] DIX dropped below 0.45 to 0.432 — institutional buying support fading.
[WARNING] Regime shifted from RISK-ON to TRANSITIONAL.
[INFO] SPY (733.00) reclaimed ZGL (730.97) — volatility dampening resumes.
[WARNING] Pack size threshold breach (refresh #2): max=146330B avg=100454B
[WARNING] SPY (729.59) dropped below ZGL (736.82) — expect amplified downside moves.

Seasonality

Current Month: June
Average Return: +0.15%
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 (3):

[1] Iran'destroyed' key asset in Strait of Hormuz as region builds bypass routes Time: 2026-06-11T22:47:53.567Z

[2] US military was hours from Iran strikes before Trump canceled action - NBC Time: 2026-06-11T22:33:46.552Z

[3] A 'violating tanker' denied entry into Strait of Hormuz - report Time: 2026-06-11T22:12:20.179Z

Hormuz Strait Status

Strait of Hormuz Dashboard:

Strait Status: CLOSED (since 2026-06-11, 0 days ago)
Ships Transiting: 0 of 60 normal daily — 3.3% of normal
Throughput: 3.0% of normal (0.3M / 10.3M DWT)
Stranded Vessels: 147
Oil Prices: Brent $97.46 (+0.17%)
War Risk Insurance: EXTREME — 4000.0x normal
Tanker Rates: WS200 (+300% vs pre-crisis)
Global Impact: 21% of world oil supply at risk; est. $3.2 billion/day economic cost