1. Market Regime Snapshot

VIX Term Structure

Tenor Level vs. Spot
VIX Spot 17.7 —
VIX 3M 20.5 +2.8 (Contango)

Realized vs. Implied Vol: SPY 20D RV = 15.1%, VIX = 17.7. Spread = -2.6pp (realized vol below implied — calmer than feared).

Cross-Asset Momentum (1-Month)

Asset 1M Return Signal
SPY (Equity) -0.9% 📉 Negative
TLT (Bonds) +1.4% 📈 Positive
GLD (Gold) -9.5% 📉 Negative
UUP (US Dollar) +1.2% 📈 Positive

Regime: Mixed/transitional regime

Last updated: 2026-06-13 14:54 UTC

2. Factor Performance Dashboard

Source: ETF Proxies (MTUM, VLUE, QUAL, USMV, IWM vs SPY)

Note: ETF proxy returns include market beta and are not directly comparable to factor-neutral French library returns.

Factor Weekly 1M 3M Mean (52W wkly) Std (52W wkly) Z
Momentum 🚨 +5.85% +6.22% +33.38% +0.67% 2.42% +2.14
Value +3.37% +7.90% +37.70% +1.18% 2.47% +0.89
Quality +1.77% +2.82% +11.39% +0.38% 1.61% +0.86
Low Volatility +0.43% +1.84% +1.45% +0.10% 1.12% +0.30
Size 🚨 +3.44% +3.81% +6.16% +0.22% 1.43% +2.25

🚨 Factor Stress: Momentum (z=+2.14), Size (z=+2.25) — weekly return ≥ 2σ from trailing mean.

Last updated: 2026-06-13 14:54 UTC

3. Macro Signal Tracker

Indicator Current 1W Change Signal
HY Spread (OAS) 278bps +4bps ⚠️ Widening
IG Spread (OAS) 75bps +1bps ⚠️ Widening
2s10s Yield Curve 0.39% +0.01% Normal
3M10Y Yield Curve 0.70% -0.07% Normal
Fed Funds Rate 3.63% N/A →
HY − IG Spread 203bps — Risk sentiment proxy

Macro Summary: Neutral macro backdrop — credit spreads ticking wider but still historically tight; yield curve normal and steepening at the short end.

Last updated: 2026-06-13 14:54 UTC

4. Quant Research Digest

Three papers I found worth reading this week:

Non-Spanning Identification of Scheduled Event Risk in Option Pricing — Zhong | arXiv There’s a subtle bug in how a lot of people estimate event risk around FOMC/CPI/NFP: if your “no-event” baseline surface is fit using quotes that span the event, it ends up eating part of the jump premium without you noticing. Zhong’s fix is to just not let that happen — fit the two surfaces on non-overlapping quotes. Obvious in hindsight, but I haven’t seen it done cleanly before.

The Mathematics of Heuristic Portfolio Optimization — Noguer i Alonso | arXiv Basically a proof of why “just use risk parity” isn’t lazy — it’s a defensible projection of the Markowitz solution under estimation uncertainty. I liked this because it gives a real answer to “when does it actually pay to forecast returns vs. just use a heuristic,” instead of the usual hand-wavy answer.

Realtime Price Impact Detection — Zovko | arXiv Treats “am I moving the market right now” as a live statistical test instead of something you check after the fact. Feels like the obvious way to do it once you read it, which is usually a good sign.

Last updated: 2026-06-13 14:54 UTC

5. Stat of the Week

Stat Value Context
CBOE Skew Index 143 Elevated tail risk (>130)
Momentum / Low Vol 20D correlation 0.24 No crowding signal (< 0.6)

Skew at 143, VIX at 17.7 — that gap is the story

VIX itself is unremarkable, sitting near 18. But Skew at 143 is the highest it’s been in a while, and that combination is the interesting part — vol is cheap, but tail protection isn’t. Someone out there is paying for a specific bad outcome without believing the average week is going to be rough. Worth keeping an eye on whether VIX catches up to that pricing or the skew just bleeds off.

Last updated: 2026-06-13 14:54 UTC

Generated: 2026-06-13 14:54 UTC