Market Pulse — Daily Market Risk Score

Last Updated: Sep 04, 2026 2:18 PM ET

Today's Read
Heavy hedging (P/C 1.97) while VIX sleeps at 14.02 — smart money is quietly buying protection against a sideways tape on low-conviction volume. Defense first: trim beta, keep hedges on, let the score cool before adding.
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Current Market Risk Level

🟠 HIGH RISK
66 / 100
🟢 LOW (0-40) 🟡 ELEVATED (40-60) 🟠 HIGH (60-75) 🔴 EXTREME (75-100)

Backtested (May 2025–Aug 2026): LOW readings preceded the best 21-day SPY returns (73% positive); EXTREME readings historically marked capitulation — a contrarian zone, not an impending decline. Treat elevated readings as a stress snapshot, not a sell signal.

Last Updated: Sep 04, 2026 2:18 PM ET

Component Breakdown

Put Activity (P/C Ratio) 15/30 🔴
15
Score based on 0-30 DTE (matches VIX timeframe)
└─ 0-30 DTE: 1.97 - High fear - caution advised SCORING
└─ 0-7 DTE: 1.43 - Elevated fear
└─ 0-45 DTE: 2.13 - Extreme fear - danger zone!
└─ ALL: 1.96 - High fear - caution advised
What happened last time: P/C at or above 1.97 occurred on 108 days in the past 16 months — SPY was higher 30 days later 58% of the time (avg +0.9%), vs a 62% base rate (avg +1.3%) for all days. Forward returns at this level roughly matched the everyday base rate — the fear reading alone is not an edge.
VIX Stress 0/15 🟢
0
└─ VIX Level: 14.02 - Low volatility
Key Insight: When P/C ratio is high but VIX is low, it indicates smart money positioning before the crowd realizes danger. This divergence is often an early warning signal.
Sector Volatility as of 2026-09-06
VIX S&P 500 index 14.5 (-2.6% 5d)
VXN Nasdaq-100 index 20.0 (+0.6% 5d)
Semi IV SOXX 30d ATM computed 36.1
Semi IV SMH 30d ATM computed 31.7
Software IV IGV 30d ATM computed 29.6
VXN−VIX spread 5.5
Tech vol hot while VIX is calm — the weakest cohort for BOTH: QQQ and SMH each fall ~3-6pp below their own norm and drop to ~coin-flip odds. Hidden stress, not a dip-buy signal.
Spread QQQ 21d win% SMH 21d win%
< 2.8 +2.9% 77% +5.9% 80%
2.8 – 3.6 +3.3% 79% +7.1% 73%
3.6 – 4.9 +0.6% 50% +4.9% 70%
> 4.9 ◀ now −0.1% 45% +1.2% 50%
Avg forward 21-day return when entering at each spread level (Nov 2024 – Aug 2026). Compare each row against the same column — SMH's higher base reflects the semi bull run, not relative safety.
Annualized volatility points. IV rows are computed from options chains (30d ATM); index rows are official Cboe values. Spread read is backtested (Nov 2024–Aug 2026, 21-day forward returns). Informational only — not part of the risk score.
Market Breadth (20-Day Trendlines) 13/15 🔴
13
└─ Net Breadth: -9.6% — Mildly Bearish
└─ ↑ 6,387 (45.2%) ↓ 7,733 (54.8%)
Key Insight: Mildly bearish breadth — distribution underway. Pulse score raised to flag elevated downside risk even if indices look stable.

Market Breadth Trend

Full rotation clock →

SPY Price & Volume Context

Market Regime: Sideways

Interpretation: Choppy market with elevated hedging

  • SPY 5D Change: +0.61%
  • SPY 20D Change: +0.31%
  • 30D Drawdown: -1.04%
Volume Confirmation: LOW
  • Volume Ratio: 0.51x avg
  • Today's Volume: 18,563,571
  • 20D Avg Volume: 36,474,534
📊 Low volume = lack of conviction
🔔 Current Alert
⚠️ ELEVATED CAUTION: High hedging in sideways market
📋 Suggested Actions:
  • Wait for directional clarity
  • Light hedging (5-10% puts) recommended
  • Monitor for breakout/breakdown
  • Reduced position sizes advised

Live Trendline Breadth (Intraday)

Mildly Bearish
-8.6% Net Breadth
Uptrend: 6,450 (45.7%) Downtrend: 7,670 (54.3%)
45.7%
54.3%
14,120 stocks analyzed

Historical Risk Score (Last 90 Days)

Detailed Metrics

Timeframe P/C Ratio Put OI Call OI Signal
0-7 DTE 1.43 1,950,829 1,452,271 Elevated fear
0-30 DTE 1.97 7,484,707 4,659,042 High fear - caution advised (SCORING)
0-45 DTE 2.13 9,253,898 5,629,992 Extreme fear - danger zone!
ALL (incl. LEAPS) 1.96 16,919,789 11,287,942 High fear - caution advised

Note: 0-30 DTE is used for scoring because it matches the VIX's 30-day implied volatility timeframe. Different timeframes show different market positioning strategies (short-term vs long-term hedging).

Current VIX: 14.02 Low volatility
Score: 0/15 points
Why This Matters: VIX measures 30-day implied volatility. When VIX is low but P/C ratio is high, it suggests smart money is buying protection before the market recognizes the risk. This divergence is often an early warning signal of impending volatility.

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