Finance Analyst Report: 2026-06-11 20:46:27 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 57% — broad participation supports rally
Energy	⚪ NEUTRAL	—	Energy ELEVATED — watch for transmission but not yet bearish
growth_expectations	⚪ NEUTRAL	—	Copper/Gold +7.9% growth optimism · real yield 2.21% restrictive
news_sentiment	⚪ NEUTRAL	—	AI news sentiment unavailable
Correlations	⚪ NEUTRAL	—	SPY/VIX -0.85 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 -0.1% 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: $739.48 | 50 SMA $719.32 | 200 SMA $685.34 | +0.0% from 50d | ZGL $731.0
QQQ: $719.38 | 50 SMA $676.27 | 200 SMA $623.90 | +0.1% from 50d | ZGL $704.43
IWM: $291.28 | 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	$739.48	37.19	56.0	$731.00	Neutral	0.72
QQQ	$719.38	41.09	99.9	$704.43	Neutral	0.59
IWM	$291.28	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	$387.34	19.71	29.6	$310.00	Bearish	1.58
DXY	99.76	61.85	15.8	-	-	-
SLV	$61.08	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: 56.6%
Stocks Above 200-Day SMA: 61.1%
Breadth Signal: Strong Bullish
Total Stocks Analyzed: 500
Mag 7 Concentration: 29.8%
Top 10 Concentration: 42.3%

Sector Breadth

Sector	% > 50d SMA	Stocks
Real Estate	78.6%	0/0
Consumer Staples	67.6%	0/0
Industrials	64.2%	0/0
Financials	63.2%	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: $86.33 (5d: -4.7%)
Brent Crude: $89.05 | Spread: $2.72
RBOB Gasoline: $3.0100/gal
Heating Oil: $3.4600/gal
3-2-1 Crack Spread: $46.39/bbl (Very wide)
XLE (Energy Sector): $57.12
UNG (Nat Gas): $11.16

Correlations

Pair	20d Corr	Signal
SPY / VIX	-0.847	normal
SPY / DXY	-0.715	stretched
SPY / TNX	-0.817	extreme
SPY / Oil	-0.32	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: $739.48)

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: 99.76
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: ~$7,101B
BOJ Balance Sheet: ~$4,147B
Global Net Liquidity: $17,146B
BTC-USD (Liquidity Proxy): $63,605 (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 $46.39/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:

Michigan Consumer Expectations(Jun): ⏳ Pending
Michigan Consumer Sentiment(Jun): ⏳ Pending

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

Unread articles (1):

[1] Euro strengthens as ECB hikes interest rates for first time since 2023 URL: https://www.fxstreet.com/news/euro-strengthens-as-ecb-hikes-interest-rates-for-first-time-since-2023-202606120006 Published: Fri, 12 Jun 2026 00:06:25 Z

Iran War News

Updates (1):

[1] Tit-for-tat under ceasefire: Experts warn of new normal in Mideast conflict Time: 2026-06-11T23:55:00.000Z

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 — 3.3% of normal
Throughput: 2.4% of normal (0.2M / 10.3M DWT)
Stranded Vessels: 287
Oil Prices: Brent $97.46 (+0.17%)
War Risk Insurance: EXTREME — 40.0x normal
Tanker Rates: WS120 (+140% vs pre-crisis)
Global Impact: 21% of world oil supply at risk; est. $1.2 billion/day economic cost