Immune System
Data Quality: DEGRADED
This report was generated with 5/7 data inputs. Missing: Hy Spread (Fred), Funding Spread (Fred). Scores for missing inputs may show as 0.0 or N/A.
STATUS: ELEVATED
Cross-asset turbulence is moderately above normal. This describes the current regime -- it does not predict forward drawdowns. Higher turbulence often coincides with market troughs, not onsets.
What does this mean?
The market is showing some mild stress — like a low-grade fever. Different investments are moving in slightly unusual ways compared to recent history. This doesn't predict a crash — in fact, mild stress often appears near the bottom of dips, not the start. Keep an eye on things, but no need to panic.
What's Driving It
- [CURRENT STATE] ● Turbulence ELEVATED -- cross-asset stress above normal Measures how many different investments are moving in unusual ways at the same time — like a fever thermometer for the whole market
- [CURRENT STATE] ○ Dispersion NORMAL -- names moving in line with the index Tracks whether individual stocks are moving together or going in wildly different directions. High dispersion under a calm surface is a hidden warning sign
- [CURRENT STATE] ○ Software NORMAL -- software stress in line with market Compares how much software/tech stocks are swinging versus the overall market. When this sector is stressed beyond normal, it often spreads
- [FORWARD-LOOK] ○ BKLN ABOVE 200-day MA -- leveraged loans stable Tracks risky corporate loans (the kind private equity firms use for buyouts). When this drops below its long-term average, it signals that stress is spreading from stocks into corporate debt — a serious escalation
- [CURRENT STATE] ○ Breadth NEUTRAL -- balanced participation Measures whether the whole market is moving together, or if gains are concentrated in just a few big stocks. Narrow breadth (only a few stocks going up) is a warning that the rally is fragile
INTERPRETATION
The market is in a mildly stressed regime. This does not predict forward drawdowns -- elevated readings historically coincide with market troughs. No defensive action required from this signal alone. Check credit stress for forward risk.
In plain English
In plain English: there's mild stress, but this signal alone doesn't mean trouble is coming. Historically, this level of stress shows up near market bottoms, not tops. Only worry if the Credit Stress report is also flashing warnings.
RECOMMENDED ACTIONS (ELEVATED)
- Monitor more frequently (every 2-3 days)
- Review stop-loss levels on open positions
- Avoid adding concentrated new positions
Detailed Metrics
Turbulence: 6.52 (69th percentile)How unusual is today's market behavior compared to the past year? Higher = more unusual.
Magnitude Surprise: 9.7How extreme are today's price moves in absolute size? A bigger number means larger-than-expected moves.
Correlation Surprise: 0.67xAre investments moving together in unusual ways? Above 1.0x means correlations are higher than normal (things are moving in lockstep).
Days Elevated: 0 daysHow many consecutive days has stress been above normal? Longer streaks suggest persistent stress, not a one-day blip.
Divergence Active: NOIs there a contradiction between what the market surface looks like and what's happening underneath? YES means the index looks calm but stress is building below the surface.
Dispersion Ratio: 2.14 (69th percentile)How spread out are individual stock returns? A high number means stocks are going in very different directions — the market can't agree on a direction.
Stealth Stress: NOIs stress hiding? This fires when individual stocks are diverging sharply but the overall index looks calm — a classic sign that trouble is building before it shows up in the headlines.
Breadth (RSP/SPY): 0.98 (neutral)Are most stocks going up, or just a few big ones? Below 0.97 = narrow (bad), above 1.03 = broad (good), in between = balanced.
BKLN Trend: ABOVE 200-day MAIs the risky loan market healthy? BELOW the 200-day average means loans are under pressure — a sign that stress is spreading beyond stocks.
Sector Stress Ratios:
How volatile is each sector compared to the overall market? Above 1.0x means that sector is more stressed than average. Above 1.5x is a red flag.
AI / Core: 0.16x
Software / Core: 0.74x
Consumer Credit / Core: 3.46x
HY OAS: N/AThe 'high yield spread' — the extra interest rate that risky companies must pay to borrow. Higher = more fear about corporate defaults. The percentile tells you where this sits versus the past 2 years.
Funding Spread: N/AThe cost of short-term borrowing between banks. Negative = cheaper than normal (good). Positive = more expensive than normal (stress in the financial plumbing).
SPX vs 50-day MA: 669.03 (BELOW 50-day MA)Is the S&P 500 above or below its 50-day trend line? Below = the market is in a short-term downtrend.
VIX: 23.5The 'fear index.' Measures expected market volatility over the next 30 days. Below 15 = calm. 15-25 = normal. 25-35 = elevated fear. Above 35 = extreme fear.
Charts
