Market Pulse — Daily Market Risk Score

Last Updated: Oct 27, 2026 12:18 PM ET

Today's Read
Heavy hedging (P/C 2.25) while VIX sleeps at 17.73 — smart money is quietly buying protection against a sideways tape on low-conviction volume. Similar readings resolved below the base rate — stay selective, favor dip-entries over chasing.
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Current Market Risk Level

🟡 ELEVATED RISK
42 / 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: Oct 27, 2026 12:18 PM ET

Component Breakdown

Put Activity (P/C Ratio) 20/30 🔴
20
Score based on 0-30 DTE (matches VIX timeframe)
└─ 0-30 DTE: 2.25 - Extreme fear - danger zone! SCORING
└─ 0-7 DTE: 1.92 - High fear - caution advised
└─ 0-45 DTE: 2.21 - Extreme fear - danger zone!
└─ ALL: 1.77 - High fear - caution advised
What happened last time: P/C at or above 2.25 occurred on 59 days in the past 17 months — SPY was higher 30 days later 47% of the time (avg +0.4%), vs a 61% base rate (avg +1.1%) for all days. Elevated hedging at this level has NOT been a contrarian buy signal — forward returns ran below the everyday base rate.
VIX Stress 3/15 🟢
3
└─ VIX Level: 17.73 - Normal 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 2026-10-27
VIX S&P 500 index 17.8 (+6.5% 5d)
VXN Nasdaq-100 index 24.8 (-1.8% 5d)
Semi IV SOXX 30d ATM computed 41.0
Semi IV SMH 30d ATM computed 37.2
Software IV IGV 30d ATM computed 32.9
VXN−VIX spread 7.0
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.
Credit Spreads as of 2026-10-23
High-yield OAS 3.38%
30d: +0.65pp · 91% of 1y range CCC: 13.56% (+2.63 30d)
HY spreads widening fast — credit is repricing risk. Historically precedes or confirms equity drawdowns; treat rallies with more skepticism while this persists.
ICE BofA option-adjusted spreads vs Treasuries (FRED, daily). Descriptive regime context only — not part of the risk score and not backtested.
Market Breadth (20-Day Trendlines) 6/15 🟡
6
└─ Net Breadth: -10.6% — Mildly Bearish
└─ ↑ 6,481 (44.7%) ↓ 8,032 (55.3%)
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 →

Mini-ThemesNew

A mini-theme fires when ≥4 stocks in the same curated sub-sector are each up ≥5% over 20 days with a ≥10pp gap vs their parent sector ETF. Strict fires (parent ETF flat or down — the group is moving while its sector isn't) are the validated signal: +2.13% median 20d alpha vs SPY, 62.5% win rate (n=40 backtest). Loose fires (parent also rising) decay to +0.84%. Trade the basket — chasing one member tested negative.
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SPY Price & Volume Context

Market Regime: Sideways

Interpretation: Choppy market with elevated hedging

  • SPY 5D Change: +1.35%
  • SPY 20D Change: -1.07%
  • 30D Drawdown: -1.14%
Volume Confirmation: LOW
  • Volume Ratio: 0.30x avg
  • Today's Volume: 11,822,381
  • 20D Avg Volume: 39,781,047
📊 Low volume = lack of conviction
✅ No Active Alerts

Market risk levels are within normal ranges. Continue monitoring for changes in put activity and VIX stress levels.

Live Trendline Breadth (Intraday)

Mildly Bearish
-10.6% Net Breadth
Uptrend: 6,481 (44.7%) Downtrend: 8,032 (55.3%)
44.7%
55.3%
14,513 stocks analyzed

Historical Risk Score (Last 90 Days)

Detailed Metrics

Timeframe P/C Ratio Put OI Call OI Signal
0-7 DTE 1.92 2,182,799 1,306,555 High fear - caution advised
0-30 DTE 2.25 5,100,389 3,095,248 Extreme fear - danger zone! (SCORING)
0-45 DTE 2.21 5,399,774 3,328,814 Extreme fear - danger zone!
ALL (incl. LEAPS) 1.77 12,890,377 8,827,456 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: 17.73 Normal volatility
Score: 3/15 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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