Market Pulse — Daily Market Risk Score

Last Updated: Sep 25, 2026 2:18 PM ET

Today's Read
Heavy hedging (P/C 1.84) while VIX sleeps at 14.93 — smart money is quietly buying protection against a sideways tape on low-conviction volume. No clear edge from fear alone — trade setups, not the headline.
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Current Market Risk Level

🟡 ELEVATED RISK
41 / 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 25, 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: 1.84 - High fear - caution advised SCORING
└─ 0-7 DTE: 1.77 - High fear - caution advised
└─ 0-45 DTE: 1.9 - High fear - caution advised
└─ ALL: 1.76 - High fear - caution advised
What happened last time: P/C at or above 1.84 occurred on 132 days in the past 16 months — SPY was higher 30 days later 61% of the time (avg +1.2%), vs a 61% base rate (avg +1.2%) 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: 14.93 - 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 2026-09-26
VIX S&P 500 index 14.9 (0.0% 5d)
VXN Nasdaq-100 index 20.9 (+8.2% 5d)
Semi IV SOXX 30d ATM computed 39.0
Semi IV SMH 30d ATM computed 34.6
Software IV IGV 30d ATM computed 32.3
VXN−VIX spread 6.0
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.
Market Breadth (20-Day Trendlines) 13/15 🔴
13
└─ Net Breadth: -33.6% — Strong Bearish
└─ ↑ 4,743 (33.2%) ↓ 9,547 (66.8%)
Key Insight: Strong bearish breadth — broad downtrend across the market. Maximum risk contribution to pulse score. Consider hedging or reducing exposure.

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: +0.37%
  • SPY 20D Change: +0.61%
  • 30D Drawdown: -0.37%
Volume Confirmation: LOW
  • Volume Ratio: 0.49x avg
  • Today's Volume: 21,437,796
  • 20D Avg Volume: 43,716,018
📊 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)

Strong Bearish
-31.2% Net Breadth
Uptrend: 4,911 (34.4%) Downtrend: 9,384 (65.6%)
34.4%
65.6%
14,295 stocks analyzed

Historical Risk Score (Last 90 Days)

Detailed Metrics

Timeframe P/C Ratio Put OI Call OI Signal
0-7 DTE 1.77 4,510,698 2,609,399 High fear - caution advised
0-30 DTE 1.84 7,543,344 4,818,475 High fear - caution advised (SCORING)
0-45 DTE 1.9 8,077,785 5,027,396 High fear - caution advised
ALL (incl. LEAPS) 1.76 17,163,601 12,032,665 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: 14.93 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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