Finance Analyst Report: 2026-09-11 09:58:03 ET

Signal Alignment

SPY Direction: SPY +0.3% (3d) | Alignment: 80% (4 aligned, 1 divergent) Status: MIXED — Mixed — no clear signal consensus

Category	Signal Says	vs SPY	Key Driver
Dark Pool	⚪ NEUTRAL	—	DIX 0.489 moderate, 0DTE PCR 0.96 balanced
Gamma	🟢 BULLISH	✓ ALIGNED	GEX +5.7B strong suppression
Breadth	🔴 BEARISH	✗ DIVERGENT	Breadth 38% — narrow participation, rally is fragile
Energy	⚪ NEUTRAL	—	Energy ELEVATED — watch for transmission but not yet bearish
growth_expectations	⚪ NEUTRAL	—	Copper/Gold -0.9% neutral · real yield 2.46% restrictive
Correlations	🟢 BULLISH	✓ ALIGNED	SPY/VIX -0.91 normal, SPY/DXY -0.36 normal, SPY/TNX -0.47 elevated, SPY/Oil -0.59 stretched
Volatility	⚪ NEUTRAL	—	VIX 16.0 sub-20 in contango · SKEW 147 firm · VVIX/VIX 6.04 dealer fear
Inflation	⚪ NEUTRAL	—	Stagflation score 30 — moderate, watching
carry_risk	🟢 BULLISH	✓ ALIGNED	USD/JPY 5d -1.8% stable, MOVE 82 calm
Liquidity	⚪ NEUTRAL	—	Liquidity Adequate
Credit	🟢 BULLISH	✓ ALIGNED	HY OAS 2.71% moderate, NFCI -0.564 loose

Divergence read: Cautious regime but gamma, correlations, and carry are turning bullish — if breadth confirm, this becomes a legitimate lean.

Market Status

Regime: CAUTIOUS | Score: 73/100 (Favorable, with caution) | Score reads 73 (Favorable) but regime is CAUTIOUS — breadth at 38% keeps full risk-on classification at bay.

Leading indicators show DIX stable at 0.489; GEX positive at 5.7B (vol-suppressing); breadth rising to 38% (participation broadening). Lagging confirmation: VIX at 16.0 (low-fear environment); seasonal pattern historically neutral.

Screener Action Board

Screener Action Board not available this cycle.

Track Record

AI brief hit rate not available this cycle.
Screener board record not available this cycle.

What Changed

No signal changes detected.

Key Levels

SPY: $765.64 | 50 SMA $758.25 | 200 SMA $713.71 | +0.0% from 50d | ZGL $760.94
QQQ: $715.90 | 50 SMA $710.61 | 200 SMA $659.51 | +0.0% from 50d | ZGL $711.39
IWM: $290.15 | 50 SMA $296.49 | 200 SMA $273.57 | -0.0% from 50d | ZGL $290.59
VIX: 15.96 — sub-20 (low vol)
10Y Yield: 4.924%

Equity & Derivatives Board

Ticker	Price	RSI(14)	IVR	ZGL	γ-Sent	PCR
SPY	$765.64	45.14	15.5	$760.94	Neutral	0.82
QQQ	$715.90	48.14	17.6	$711.39	Neutral	0.63
IWM	$290.15	33.22	12.3	$290.59	Neutral	1.38

Macro Board

Ticker	Price	RSI(14)	IVR	ZGL	γ-Sent	PCR
VIX	15.96	64.13	24.2	$11.04	Neutral	1.31
TNX	49.24	74.12	36.7	-	-	-
GLD	$402.45	38.37	38.3	$400.71	Neutral	1.17
DXY	99.02	53.47	37.5	-	-	-
SLV	$58.64	37.81	13.5	$58.47	Neutral	0.94

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: 37.7%
Stocks Above 200-Day SMA: 59.3%
Breadth Signal: Moderately Bearish
Total Stocks Analyzed: 496
Mag 7 Concentration: 32.6%
Top 10 Concentration: 42.1%

Sector Breadth

Sector	% > 50d SMA	Stocks
Energy	84.2%	0/0
Communication Services	63.2%	0/0
Health Care	61.1%	0/0
Technology	53.8%	0/0
Financials	35.3%	0/0
Materials	33.3%	0/0
Consumer Staples	32.4%	0/0
Consumer Discretionary	32.2%	0/0
Industrials	17.9%	0/0
Real Estate	11.5%	0/0
Utilities	10.0%	0/0

Energy & Commodities

Energy Regime: ELEVATED
WTI Crude: $98.76 (5d: +8.0%)
Brent Crude: $104.09 | Spread: $5.33
RBOB Gasoline: $3.1300/gal
Heating Oil: $4.8300/gal
3-2-1 Crack Spread: $56.50/bbl (Very wide)
XLE (Energy Sector): $65.55
UNG (Nat Gas): $10.15

Correlations

Pair	20d Corr	Signal
SPY / VIX	-0.913	normal
SPY / DXY	-0.36	normal
SPY / TNX	-0.473	elevated
SPY / Oil	-0.588	stretched

Volatility & Options

Volatility Regime: Contango (Normal)
MOVE Index (Bond Vol): 82.09
VIX/MOVE Ratio: 0.20 (Normal Relationship)
0DTE Call Volume: 416,974.0
0DTE Put Volume: 398,989.0
0DTE Put/Call Ratio: 0.96 (Balanced 0DTE Flow)
0DTE Notional Dollar Volume: $62.5B
Gamma Call Wall: $770 | Put Wall: $760 (Spot: $765.64)

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: 4.92%
Yield Curve (10Y-3M): 1.05 (Normal)
DXY: 99.02
Growth vs Value: 0.93
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: ~$6,862B
BOJ Balance Sheet: ~$4,203B
Global Net Liquidity: $16,918B
BTC-USD (Liquidity Proxy): $77,680 (Neutral)

Active Alerts

[WARNING] Key correlation regime break detected — normal market relationships are shifting, increased unpredictability.
[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.
[CRITICAL] WTI crude at $98.76 — energy shock territory, stagflation risk rising.
[WARNING] Oil spike alert: USO at $153.22 (vs 20d avg 135.62, +2.0σ), 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: 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.
[WARNING] Data integrity: effr has printed the same value (3.63) for 42 consecutive trading days — publish cadence is daily (~1 trading day(s); freeze bar 5). The feed may be frozen: downstream lenses, grading, and analogues are consuming a stale copy.
[WARNING] Data integrity: sovereign_ath_count has printed the same value (2.0) for 5 consecutive trading days — publish cadence is daily (~1 trading day(s); freeze bar 5). The feed may be frozen: downstream lenses, grading, and analogues are consuming a stale copy.

Seasonality

Current Month: September
Average Return: -0.53%
Median Return: +0.30%
Hit Rate: 55%
Signal: Historically Neutral

Today's Events

Economic Releases:

Consumer Price Index (CPI): 334.131 | Prev: 332.813

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

Updates (1):

[1] Iran accuses IAEA chief of helping build case for war Time: 2026-09-11T13:00:08.269Z

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 — 7.1% 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 — 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