Finance Analyst Report: 2026-09-11 08:37:47 ET

Signal Alignment

SPY Direction: SPY -0.1% (3d) | Alignment: 43% (3 aligned, 4 divergent) Status: MODERATE DIVERGENCE — Moderate divergence — several structural signals disagree with price

Category	Signal Says	vs SPY	Key Driver
Dark Pool	🔴 BEARISH	✓ ALIGNED	DIX 0.489 moderate, 0DTE PCR 1.29 put-heavy
Gamma	🟢 BULLISH	✗ DIVERGENT	GEX +5.7B strong suppression
Breadth	🔴 BEARISH	✓ ALIGNED	Breadth 34% — narrow participation, rally is fragile
Energy	🔴 BEARISH	✓ ALIGNED	Energy RISING — oil climbing, margin pressure building
growth_expectations	⚪ NEUTRAL	—	Copper/Gold -0.4% neutral · real yield 2.46% restrictive
Correlations	🟢 BULLISH	✗ DIVERGENT	SPY/VIX -0.90 normal, SPY/DXY -0.38 normal, SPY/TNX -0.45 elevated, SPY/Oil -0.51 stretched
Volatility	⚪ NEUTRAL	—	VIX 16.9 sub-20 in contango · SKEW 147 firm · VVIX/VIX 6.04 dealer fear
Inflation	⚪ NEUTRAL	—	Stagflation score 30 — moderate, watching
carry_risk	🟢 BULLISH	✗ DIVERGENT	USD/JPY 5d -1.4% stable, MOVE 82 calm
Liquidity	⚪ NEUTRAL	—	Liquidity Adequate
Credit	🟢 BULLISH	✗ DIVERGENT	HY OAS 2.71% moderate, NFCI -0.564 loose

Divergence read: Moderate divergence — several structural signals disagree with price.

Market Status

Regime: CAUTIOUS | Score: 69/100 (Mixed) | Signal-price divergence detected: 4 signals disagree with SPY's 5d trend.

Leading indicators show energy RISING (WTI at $99, watch for margin compression); DIX stable at 0.489; GEX positive at 5.7B (vol-suppressing). Lagging confirmation: VIX at 16.9 (low-fear environment); seasonal pattern historically neutral.

Screener Action Board

Regime: low — Calm regime — balanced board
Longs: DLR, ARWR, HRB
Shorts: VTRS, RJF

Track Record

AI Brief Hit Rate (decayed): 1d 13% (n=159) | 3d 39% (n=159) | 5d 33% (n=159)
Screener Board Record: 375 closed (hit rate 47%) · 151 open

What Changed

No signal changes detected.

Key Levels

SPY: $762.02 | 50 SMA $758.25 | 200 SMA $713.71 | +0.0% from 50d | ZGL $760.97
QQQ: $713.04 | 50 SMA $710.61 | 200 SMA $659.51 | +0.0% from 50d | ZGL $711.45
IWM: $289.57 | 50 SMA $296.49 | 200 SMA $273.57 | -0.0% from 50d | ZGL $290.62
VIX: 16.92 — sub-20 (low vol)
10Y Yield: 4.967%

Equity & Derivatives Board

Ticker	Price	RSI(14)	IVR	ZGL	γ-Sent	PCR
SPY	$762.02	45.14	15.5	$760.97	Bearish	2.04
QQQ	$713.04	48.14	17.6	$711.45	Neutral	1.36
IWM	$289.57	33.22	12.3	$290.62	Bearish	2.13

Macro Board

Ticker	Price	RSI(14)	IVR	ZGL	γ-Sent	PCR
VIX	16.92	64.13	24.2	$11.05	Neutral	0.91
TNX	49.67	74.12	36.7	-	-	-
GLD	$396.37	38.37	38.3	$400.76	Bearish	2.78
DXY	99.16	55.65	37.8	-	-	-
SLV	$57.69	37.81	13.5	$45.37	Neutral	1.08

Dark Pool Activity

DIX (Dark Index): 0.489
DIX Signal: Strong buying
GEX (Gamma Exposure): 5.71B

Credit Conditions

HY OAS Spread: 2.71% (Normal)
BBB Spread: 0.99%
2s10s Spread: 0.39% (Flat-ish)

Market Breadth

Stocks Above 50-Day SMA: 33.5%
Stocks Above 200-Day SMA: 57.3%
Breadth Signal: Moderately Bearish
Total Stocks Analyzed: 496
Mag 7 Concentration: 32.5%
Top 10 Concentration: 41.9%

Sector Breadth

Sector	% > 50d SMA	Stocks
Energy	84.2%	0/0
Communication Services	63.2%	0/0
Health Care	55.6%	0/0
Technology	52.3%	0/0
Financials	33.8%	0/0
Materials	29.2%	0/0
Consumer Staples	26.5%	0/0
Consumer Discretionary	25.4%	0/0
Industrials	11.9%	0/0
Utilities	10.0%	0/0
Real Estate	3.8%	0/0

Energy & Commodities

Energy Regime: RISING
WTI Crude: $99.25 (5d: +8.5%)
Brent Crude: $104.35 | Spread: $5.10
RBOB Gasoline: $3.1300/gal
Heating Oil: $4.8100/gal
3-2-1 Crack Spread: $55.73/bbl (Very wide)
XLE (Energy Sector): $64.93
UNG (Nat Gas): $10.19

Correlations

Pair	20d Corr	Signal
SPY / VIX	-0.896	normal
SPY / DXY	-0.376	normal
SPY / TNX	-0.454	elevated
SPY / Oil	-0.514	stretched

Volatility & Options

Volatility Regime: Contango (Normal)
MOVE Index (Bond Vol): 82.09
VIX/MOVE Ratio: 0.21 (Normal Relationship)
0DTE Call Volume: 0.0
0DTE Put Volume: 0.0
0DTE Put/Call Ratio: 1.29 (No 0DTE Flow Yet)
0DTE Notional Dollar Volume: $101.7B
Gamma Call Wall: $770 | Put Wall: $760 (Spot: $762.02)

CTA Trend Stack

SMA Stack Score: 2/4 above
Position: Above 100,200d SMA(s) · below 20,50d

Positioning & Sentiment

CFTC E-mini Specs Net: -75,941 contracts (Z +0.70, as of 2026-09-01)
AAII Bull-Bear Spread: -1.3% (as of 2026-09-09)
Squeeze Setup: none (0/4 triggers · no triggers active)
Fragility Flags: Air Pocket watch · Re-entry none

Macro Fundamentals

10Y Yield: 4.97%
Yield Curve (10Y-3M): 1.07 (Normal)
DXY: 99.16
Growth vs Value: 0.94
Fed Funds Rate: 3.50-3.75% | Next FOMC: 2026-09-16
Rate Probabilities: Hold N/A | Cut N/A

Inflation Expectations

5Y Breakeven: 2.46% (Near Target)
10Y Breakeven: 2.40%
5Y5Y Forward: 2.34%
Stagflation Risk Score: 30/100

Fed & Global Liquidity

Fed Balance Sheet (WALCL): $6740.6B
Treasury General Account (TGA): $883.3B
Reverse Repo (RRP): $4.7B
US Net Liquidity (WALCL - TGA - RRP): $5,853B
Liquidity Regime: Adequate
ECB Balance Sheet: ~$6,843B
BOJ Balance Sheet: ~$4,179B
Global Net Liquidity: $16,874B
BTC-USD (Liquidity Proxy): $76,432 (Neutral)

Active Alerts

[WARNING] VVIX/VIX ratio at 6.0 — vol-of-vol outpacing VIX, uncertainty about uncertainty rising.
[INFO] DIX at 0.489 — strong dark pool buying activity.
[WARNING] Key correlation regime break detected — normal market relationships are shifting, increased unpredictability.
[WARNING] SPY near gamma wall — expect increased resistance/support and potential pinning at key strike.
[CRITICAL] WTI crude at $99.25 — energy shock territory, stagflation risk rising.
[WARNING] Oil spike alert: USO at $158.38 (vs 20d avg 135.62, +2.6σ), floor $75.00 — potential geopolitical disruption or supply shock.
[WARNING] SKEW at 147 — elevated tail-risk hedging activity.
[INFO] SPY (762.45) reclaimed ZGL (761.87) — volatility dampening resumes.
[WARNING] Data integrity: zero_dte_pcr is STALE (~0h old vs an expected max of ~0h) and it feeds the drawdown-risk lens and/or the health score — those surfaces are running on stale input.
[WARNING] Data integrity: hy_oas is STALE (~55h old vs an expected max of ~49h) and it feeds the drawdown-risk lens and/or the health score — those surfaces are running on stale input.

Seasonality

Current Month: September
Average Return: -0.58%
Median Return: +0.30%
Hit Rate: 55%
Signal: Historically Neutral

Today's Events

Economic Releases:

Consumer Price Index (CPI): 332.813 | Prev: 332.568

Upcoming Calendar (30 Days)

Economic Releases:

Retail Sales: 2026-09-16
Industrial Production: 2026-09-18
Philadelphia Fed Mfg Index: 2026-09-22
Gross Domestic Product (GDP): 2026-09-30
Employment Situation (Payrolls): 2026-10-02

Earnings & EPS Estimates:

JPM (2026-10-13): EPS Est. $5.89 (↓0.3% vs 30d)
GS (2026-10-13): EPS Est. $16.43 (↑16.6% vs 30d)
TSLA (2026-10-21): EPS Est. $0.45 (↓0.5% vs 30d)
MSFT (2026-10-28): EPS Est. $4.72 (↑0.1% vs 30d)
GOOGL (2026-10-28): EPS Est. $3.01 (↑0.2% vs 30d)
META (2026-10-28): EPS Est. $6.53 (↓3.4% vs 30d)
AAPL (2026-10-29): EPS Est. $1.98 (↑0.0% vs 30d)
AMZN (2026-10-29): EPS Est. $1.95 (↑0.2% vs 30d)
NVDA (2026-11-17): EPS Est. $2.47 (↑5.3% vs 30d)
WMT (2026-11-19): EPS Est. $0.64 (↓6.8% vs 30d)

FX News Wire

No new articles found since last report.

Iran War News

No new Iran International updates since last report.

Hormuz Strait Status

Hormuz Strait: no change since last report.

Strait of Hormuz Dashboard:

Strait Status: CLOSED (since 2026-02-28, 195 days ago)
Ships Transiting: 6 of 60 normal daily — 7.0% of normal
Throughput: 7.0% of normal (0.7M / 10.3M DWT)
Stranded Vessels: 0
Oil Prices: Brent $109.51 (+3.19%)
War Risk Insurance: EXTREME — 56.7x normal
Tanker Rates: WS375 (+650% vs pre-crisis)
Global Impact: 21% of world oil supply at risk; est. $3.2 billion/day economic cost