Market Monitor
Generated 2026-06-05.
Summary — 1-year focus, with multi-year regime context
⏸ NO ACTION. Late-cycle backdrop only (FINRA Margin Debt YoY, Breadth Rotation (RSP / SPY)). Informational — these can persist for years. Wait for AAII euphoria or short-term signals to act.
ST (1-yr): 0 buy · 1 trim |
LT (multi-yr): 0 high-lift peak · 2 context · 0 bottom
| Indicator | State | Reading (ST + LT views) |
|---|---|---|
| VIX ST: 2th %ile (bearish) | LT: 15.4 (neutral) |
bearish | VIX in 2th %ile of last 90d (level 15.4) — calm/complacent, opportunistic trim setup. |
| VIX / VIX3M Term Structure ST: 0.801 (neutral) |
neutral | VIX/VIX3M = 0.801 — normal contango, no extreme. |
| Nasdaq Drawdown (60d high) ST: -2.9% (neutral) |
neutral | Nasdaq -2.9% from 60d high — moderate, no extreme. |
| HYG Drawdown (60d high) ST: -1.3% (neutral) |
neutral | HYG -1.3% from 60d high — moderate. |
| Breadth (% S&P 500 > 50DMA) ST: 56% (neutral) |
neutral | 56% above 50DMA — middling participation. |
| AAII Bull-Bear Spread ST: 50th %ile (neutral) | LT: Bull 36.3% / Bear 37.0% (spread -0.7pp) (neutral) |
neutral | AAII spread at 50th %ile (-0.7pp) — middling sentiment. |
| FINRA Margin Debt YoY LT: $1,304B (YoY +53.3%) (bearish) |
bearish | Excess leverage building (YoY > +30%) — same setup as Q4 1999 / Q4 2007 / Q4 2021. Loudest single peak-warning indicator. |
| Breadth Rotation (RSP / SPY) LT: RSP/SPY 0.280 (3-mo -5.1%) (bearish) |
bearish | Mega-cap concentration deepening (RSP/SPY falling) — narrow leadership, fragile market structure. |
VIX
15.4
What it is: 30-day options-implied S&P 500 volatility — the market's "fear gauge".
How to read: Spikes above 25 = fear (often contrarian buy zones); sustained below 15 = complacency. Watch for spikes that don't quickly mean-revert — those mark regime shifts.
How to read: Spikes above 25 = fear (often contrarian buy zones); sustained below 15 = complacency. Watch for spikes that don't quickly mean-revert — those mark regime shifts.
VIX / VIX3M Term Structure
0.801
What it is: Ratio of front-month VIX to 3-month VIX (FRED `VIXCLS` / `VXVCLS`). Above 1.0 = inverted term structure = front-end stress.
How to read: Inversions (>0.95) coincide with short-term bottoms (8/8 in 10-yr backtest). Deep contango (<0.80, ~10th %ile) marks extreme complacency. Threshold tightened from 0.85 (which sat at 25th %ile, too loose).
How to read: Inversions (>0.95) coincide with short-term bottoms (8/8 in 10-yr backtest). Deep contango (<0.80, ~10th %ile) marks extreme complacency. Threshold tightened from 0.85 (which sat at 25th %ile, too loose).
Nasdaq Drawdown from 60-day High
-2.9%
What it is: Nasdaq Composite (^IXIC) percent below its rolling 60-trading-day high. A simple but powerful technical pullback gauge for the tech-heavy growth index.
How to read: Below −7% = oversold, classic dip-buy threshold. Near 0% = at recent highs (extended). Used by short-term mode to flag actionable pullbacks. Nasdaq tends to drawdown more than SPX in risk-off, making this signal more sensitive.
How to read: Below −7% = oversold, classic dip-buy threshold. Near 0% = at recent highs (extended). Used by short-term mode to flag actionable pullbacks. Nasdaq tends to drawdown more than SPX in risk-off, making this signal more sensitive.
HYG Drawdown from 60-day High
-1.3%
What it is: iShares iBoxx High-Yield Corporate Bond ETF (HYG) — drawdown from rolling 60-day peak. Replaces BAA Spread for short-term credit signal (BAA had lift 0.96× = noise; HYG has 8.66× lift at -5% bottom signal).
How to read: Below −5% = credit stress washout (5/5 backtest hits at recent bottoms; lift 8.66×). Near 60d high (>−0.5%) = very extended risk-on (lift 2.87× as peak signal). Daily, free, no licensing risk.
How to read: Below −5% = credit stress washout (5/5 backtest hits at recent bottoms; lift 8.66×). Near 60d high (>−0.5%) = very extended risk-on (lift 2.87× as peak signal). Daily, free, no licensing risk.
Breadth (% S&P 500 > 50DMA)
56% > 50DMA / 58% > 200DMA
What it is: Percent of S&P 500 stocks trading above their 50-day moving average. The cleanest "breadth" measure — true participation, distinct from RSP/SPY which measures cap-weight concentration.
How to read: Below 30% = washout (5-yr backtest lift 7.66×). Below 20% = capitulation (lift 17.94×). Below 10% = extreme (lift 69.78×, off the charts). Peak signal modest — broad strength persists in healthy uptrends.
How to read: Below 30% = washout (5-yr backtest lift 7.66×). Below 20% = capitulation (lift 17.94×). Below 10% = extreme (lift 69.78×, off the charts). Peak signal modest — broad strength persists in healthy uptrends.
AAII Bull-Bear Spread
Bull 36.3% / Bear 37.0% (spread -0.7pp)
What it is: Weekly retail-investor sentiment poll: % bullish minus % bearish.
How to read: Contrarian. Spread > +15pp = retail euphoria (often near tops); < −15pp = capitulation (often near bottoms). Threshold loosened from ±20pp per LT backtest — at ±15pp catches 100% of recent bottoms and 50% of recent peaks (vs 67% / 25% at ±20pp).
How to read: Contrarian. Spread > +15pp = retail euphoria (often near tops); < −15pp = capitulation (often near bottoms). Threshold loosened from ±20pp per LT backtest — at ±15pp catches 100% of recent bottoms and 50% of recent peaks (vs 67% / 25% at ±20pp).
FINRA Margin Debt YoY
$1,304B (YoY +53.3%)
What it is: 12-month % change in total customer borrowings against US brokerage accounts. Plotted as YoY % rather than absolute $ because the absolute level grows decade-over-decade and the cycle signal lives in the change.
How to read: > +30% YoY = leverage building (late-cycle warning, tops). < -20% YoY = deleveraging done (bottoms). Major peaks in 1999, 2007, 2021 preceded equity drawdowns; major troughs in 2002, 2009, 2022 marked bottoms.
How to read: > +30% YoY = leverage building (late-cycle warning, tops). < -20% YoY = deleveraging done (bottoms). Major peaks in 1999, 2007, 2021 preceded equity drawdowns; major troughs in 2002, 2009, 2022 marked bottoms.
Breadth Rotation (RSP / SPY)
RSP/SPY 0.280 (3-mo -5.1%)
What it is: S&P 500 equal-weight / cap-weight ratio — measures how much of the market's move comes from a few mega-caps.
How to read: Falling = mega-cap concentration risk (e.g. 2023-24 Mag 7 era). Rising = broader participation. A sustained turn higher after a long fall is a major regime-change signal — "rotation out of big tech".
How to read: Falling = mega-cap concentration risk (e.g. 2023-24 Mag 7 era). Rising = broader participation. A sustained turn higher after a long fall is a major regime-change signal — "rotation out of big tech".
Data sources: FRED (VIX `VIXCLS`, VIX3M `VXVCLS`), AAII (`sentiment.xls`), FINRA margin xlsx, Yahoo Finance (Nasdaq `^IXIC`, HYG, RSP/SPY, S&P 500 constituents for breadth).