Finance Analyst Report: 2026-09-11 09:08:49 ET
Signal Alignment
SPY Direction: SPY +0.4% (3d) | Alignment: 57% (4 aligned, 3 divergent) Status: MIXED β Mixed β no clear signal consensus
| Category | Signal Says | vs SPY | Key Driver |
|---|---|---|---|
| Dark Pool | π΄ BEARISH | β DIVERGENT | DIX 0.489 moderate, 0DTE PCR 1.29 put-heavy |
| Gamma | π’ BULLISH | β ALIGNED | GEX +5.7B strong suppression |
| Breadth | π΄ BEARISH | β DIVERGENT | Breadth 34% β narrow participation, rally is fragile |
| Energy | π΄ BEARISH | β DIVERGENT | Energy RISING β oil climbing, margin pressure building |
| growth_expectations | βͺ NEUTRAL | β | Copper/Gold +0.1% stable Β· real yield 2.46% restrictive |
| Correlations | π’ BULLISH | β ALIGNED | SPY/VIX -0.90 normal, SPY/DXY -0.36 normal, SPY/TNX -0.42 elevated, SPY/Oil -0.51 stretched |
| Volatility | βͺ NEUTRAL | β | VIX 15.9 sub-20 in contango Β· SKEW 147 firm Β· VVIX/VIX 6.28 dealer fear |
| Inflation | βͺ NEUTRAL | β | Stagflation score 30 β moderate, watching |
| carry_risk | π’ BULLISH | β ALIGNED | USD/JPY 5d -1.8% stable, MOVE 82 calm |
| Liquidity | βͺ NEUTRAL | β | Liquidity Adequate |
| Credit | π’ BULLISH | β ALIGNED | HY OAS 2.71% moderate, NFCI -0.564 loose |
Divergence read: Signals are mixed with no strong directional consensus against price.
Market Status
Regime: CAUTIOUS | Score: 69/100 (Mixed) |
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 15.9 (low-fear environment); seasonal pattern historically neutral.
Screener Action Board
- Regime: low β Calm regime β 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%) Β· 151 open
What Changed
- No signal changes detected.
Key Levels
- SPY: $765.92 | 50 SMA $758.25 | 200 SMA $713.71 | +0.0% from 50d | ZGL $760.97
- QQQ: $717.00 | 50 SMA $710.61 | 200 SMA $659.51 | +0.0% from 50d | ZGL $711.45
- IWM: $291.10 | 50 SMA $296.49 | 200 SMA $273.57 | -0.0% from 50d | ZGL $290.62
- VIX: 15.94 β sub-20 (low vol)
- 10Y Yield: 4.906%
Equity & Derivatives Board
| Ticker | Price | RSI(14) | IVR | ZGL | Ξ³-Sent | PCR |
|---|---|---|---|---|---|---|
| SPY | $765.92 | 45.14 | 15.5 | $760.97 | Bearish | 2.04 |
| QQQ | $717.00 | 48.14 | 17.6 | $711.45 | Neutral | 1.36 |
| IWM | $291.10 | 33.22 | 12.3 | $290.62 | Bearish | 2.13 |
Macro Board
| Ticker | Price | RSI(14) | IVR | ZGL | Ξ³-Sent | PCR |
|---|---|---|---|---|---|---|
| VIX | 15.94 | 64.13 | 24.2 | $11.05 | Neutral | 0.91 |
| TNX | 49.06 | 74.12 | 36.7 | - | - | - |
| GLD | $402.31 | 38.37 | 38.3 | $400.76 | Bearish | 2.78 |
| DXY | 99.05 | 53.96 | 37.5 | - | - | - |
| SLV | $58.69 | 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: $99.30 (5d: +8.6%)
- Brent Crude: $104.54 | Spread: $5.24
- RBOB Gasoline: $3.1500/gal
- Heating Oil: $4.8200/gal
- 3-2-1 Crack Spread: $56.38/bbl (Very wide)
- XLE (Energy Sector): $64.93
- UNG (Nat Gas): $10.19
Correlations
| Pair | 20d Corr | Signal |
|---|---|---|
| SPY / VIX | -0.902 | normal |
| SPY / DXY | -0.364 | normal |
| SPY / TNX | -0.423 | elevated |
| SPY / Oil | -0.514 | stretched |
Volatility & Options
- Volatility Regime: Contango (Normal)
- MOVE Index (Bond Vol): 82.09
- VIX/MOVE Ratio: 0.20 (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: $765.92)
CTA Trend Stack
- SMA Stack Score: 2/4 above
- Position: Above 100,200d SMA(s) Β· 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 Β· no triggers active)
- Fragility Flags: Air Pocket elevated Β· Re-entry none
Macro Fundamentals
- 10Y Yield: 4.91%
- Yield Curve (10Y-3M): 1.04 (Normal)
- DXY: 99.05
- 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: ~$6,863B
- BOJ Balance Sheet: ~$4,179B
- Global Net Liquidity: $16,874B
- BTC-USD (Liquidity Proxy): $77,761 (Neutral)
Active Alerts
- [WARNING] Leading indicator divergence: 3/5 leading signals disagree with SPY's bullish trend β historically precedes repricing within 3-5 days.
- [WARNING] VVIX/VIX ratio at 6.3 β vol-of-vol outpacing VIX, uncertainty about uncertainty rising.
- [INFO] DIX at 0.489 β strong dark pool buying activity.
- [WARNING] Key correlation regime break detected β normal market relationships are shifting, increased unpredictability.
- [CRITICAL] WTI crude at $99.30 β energy shock territory, stagflation risk rising.
- [WARNING] Oil spike alert: USO at $158.38 (vs 20d avg 135.62, +2.6Ο), floor $75.00 β potential geopolitical disruption or supply shock.
- [WARNING] SKEW at 147 β elevated tail-risk hedging activity.
- [INFO] SPY (762.45) reclaimed ZGL (761.87) β 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 β 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 β 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 (β0.3% vs 30d)
- GS (2026-10-13): EPS Est. $16.43 (β16.6% vs 30d)
- TSLA (2026-10-21): EPS Est. $0.45 (β0.5% vs 30d)
- MSFT (2026-10-28): EPS Est. $4.72 (β0.1% vs 30d)
- GOOGL (2026-10-28): EPS Est. $3.01 (β0.2% vs 30d)
- META (2026-10-28): EPS Est. $6.53 (β3.4% vs 30d)
- AAPL (2026-10-29): EPS Est. $1.98 (β0.0% vs 30d)
- AMZN (2026-10-29): EPS Est. $1.95 (β0.2% vs 30d)
- NVDA (2026-11-17): EPS Est. $2.47 (β5.3% vs 30d)
- WMT (2026-11-19): EPS Est. $0.64 (β6.8% vs 30d)
FX News Wire
Unread articles (4):
[1] Euro steadies against US Dollar after volatile reaction to US CPI URL: https://www.fxstreet.com/news/euro-steadies-against-us-dollar-after-volatile-reaction-to-us-cpi-202609111302 Published: Fri, 11 Sep 2026 13:02:26 GMT
[2] Russia Foreign Trade climbed from previous $12.461B to $13.594B in July URL: https://www.fxstreet.com/news/russia-foreign-trade-climbed-from-previous-12461b-to-13594b-in-july-202609111300 Published: Fri, 11 Sep 2026 13:00:58 GMT
[3] Markets stabilize ahead of US CPI URL: https://www.fxstreet.com/analysis/markets-stabilize-ahead-of-us-cpi-202609111300 Published: Fri, 11 Sep 2026 13:00:53 GMT
[4] Oil: Gradual easing as dark transits grow - Commerzbank URL: https://www.fxstreet.com/news/oil-gradual-easing-as-dark-transits-grow-commerzbank-202609111244 Published: Fri, 11 Sep 2026 12:44:29 GMT
Iran War News
No new Iran International updates since last report.
Hormuz Strait Status
Strait of Hormuz Dashboard:
- Strait Status: CLOSED (since 2026-02-28, 195 days ago)
- Ships Transiting: 6 of 60 normal daily β 7.1% of normal
- Throughput: 7.1% of normal (0.7M / 10.3M DWT)
- Stranded Vessels: 436
- Oil Prices: Brent $109.51 (+3.19%)
- War Risk Insurance: EXTREME β 56.7x normal
- Tanker Rates: WS145 (+190% vs pre-crisis)
- Global Impact: 21% of world oil supply at risk; est. $3.8 billion/day economic cost