Systemic Volatility Shock Early Warning System

KRUPP CAPITAL

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SPX—|NDX—|SPY—|QQQ—|IWM—|DIA—|VIX—|VIX1D—|VVIX—|TLT—|HYG—|DXY—|EURUSD—|BTCUSDT—|ETHUSDT—|SOLUSDT—|USO—|GLD—|XLK—|XLF—|XLE—|XLY—|XLP—|XLV—|XLI—|XLB—|XLRE—|XLU—|XLC—|XBI—|KRE—|SOXX—|AAPL—|MSFT—|NVDA—|AMZN—|GOOGL—|META—|TSLA—|MSTR—|SPX—|NDX—|SPY—|QQQ—|IWM—|DIA—|VIX—|VIX1D—|VVIX—|TLT—|HYG—|DXY—|EURUSD—|BTCUSDT—|ETHUSDT—|SOLUSDT—|USO—|GLD—|XLK—|XLF—|XLE—|XLY—|XLP—|XLV—|XLI—|XLB—|XLRE—|XLU—|XLC—|XBI—|KRE—|SOXX—|AAPL—|MSFT—|NVDA—|AMZN—|GOOGL—|META—|TSLA—|MSTR—|SPX—|NDX—|SPY—|QQQ—|IWM—|DIA—|VIX—|VIX1D—|VVIX—|TLT—|HYG—|DXY—|EURUSD—|BTCUSDT—|ETHUSDT—|SOLUSDT—|USO—|GLD—|XLK—|XLF—|XLE—|XLY—|XLP—|XLV—|XLI—|XLB—|XLRE—|XLU—|XLC—|XBI—|KRE—|SOXX—|AAPL—|MSFT—|NVDA—|AMZN—|GOOGL—|META—|TSLA—|MSTR—|
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Data:
KC Data Warehousesources…
Data Quality: 0% (NO DATA)| 0/7 assets| Price freshness: ∞

Asset Overview

14 assets · tab 1 / 3
Anchors · Indices · Rates · Credit · Crypto ETFs
SPX
S&P 500 IndexData unavailable
NDX
NDXData unavailable
SPY
SPDR S&P 500 ETFData unavailable
QQQ
Invesco QQQ TrustData unavailable
VIX
CBOE Volatility IndexData unavailable
VVIX
VVIXData unavailable
VIX1D
VIX1DData unavailable
IWM
iShares Russell 2000Data unavailable
DIA
SPDR Dow Jones Industrial Average ETFData unavailable
TLT
iShares 20+ Year Treasury Bond ETFData unavailable
HYG
iShares High Yield CorpData unavailable
IBIT
iShares Bitcoin Trust ETFData unavailable
XLF
SPDR Financial Select Sector ETFData unavailable
XLE
SPDR Energy Select Sector ETFData unavailable

Regime Probability Distribution

Risk-On
81.5%
Transitioning
17.6%
Risk-Off
0.9%
Crisis
0.0%

Volatility & Sentiment (Intermarket Regime)

simulating diagnostics
Regime Diagnosis
INFLATIONARY WARNING · SMART vs DUMB MONEY DIVERGING
Trigger-Status: CAUTION: Institutional hedging / retail FOMO. Single-stock dispersion high, equity-index vol compressed.
SMART VS. DUMB MONEY SPREAD
• PCCE (Retail Single-Stocks)0.48🔴 [Retail Call-Heavy < 0.50]

Retailer jagen Call-Optionen auf Momentum-Aktien — extremes Gier-Setup am empfindlichsten Ende des Marktes.

• PCCI (Institutional Indexes)1.35🟢 [Institutional Put-Heavy > 1.40]

Institutionelle sichern Gesamtportfolio über Index-Puts ab — strukturelle Absicherung in der Pipeline.

• VIXEQ-to-VIX Ratio2.80⚠️ [High Dispersion > 2.50]

Einzelaktien entkoppeln untereinander (Dispersion) — der Index wird künstlich stabil gehalten.

BLACK SWAN & TAIL RISK WATCH
• SKEW-to-VIX Ratio (SKEW 146 / VIX 13)11.23🟢 [Tail-Risk Range 7-12]

Aggressive Nachfrage nach Out-of-the-Money Puts (Krisen-/Crash-Schutz). Markt wirkt oberflächlich ruhig.

• VVIX-to-VIX Ratio (VVIX 85 / VIX 13)6.54🔴 [VVIX Compression < 7]

VIX-Option-Pricing komprimiert — Marktteilnehmer kaufen billigen Schutz für spätere Fat-Tail-Events, keine sofortige Volatilitätsexplosion.

VOLATILITY TERM STRUCTURE
• VIX1D / VIX Ratio (VIX1D 12.74 / VIX 13)0.98🟢 [Intraday vs. 30d Vola]

Kontango / gesunder Markt — kurzfristige Intraday-Gammaschocks eingepreist, kein Spillover in Folge-Volas.

• VIX / VXV Ratio (VIX 13 / VXV 14.560000000000002)0.89🟢 [Standard Term Structure ~0.9]

Standard Term Structure — kein kurzfristiges Stress-Signal in der Vola-Kurve.

VOLATILITY INDEXES
• VIX (30d S&P 500 Vola)[13.00]
↳ Neutral 15-18 | Panik >25
• VIX1D (1-Day / 0DTE Vola)[12.74]
↳ Misst Intraday-Gammaschocks
• VIXEQ (S&P Individual Vol)[36.40]
↳ Misst implizite Einzelaktienvola
• VXV / FIX3M (3-Month Vola)[14.56]
↳ Gradmesser für die Vola-Kurve
• VVIX (Volatility of VIX)[85.00]
↳ Angstbarometer der Profis
• MOVE (Bond Market Vola)[102.05]
↳ Liquiditätsstress im Rentenmarkt
• VXN (Nasdaq 100 Volatility)[16.51]
↳ Tech-Sektor-Angstindikator
• SKEW (Out-of-the-Money Puts)[146.00]
↳ Black-Swan-Index (100-150)
PUT-CALL RATIOS
• PCSPX (S&P 500 Index PCR)[0.82]
↳ Neutral 0.90 | Bearish >1.20
• PCCE (Cboe Equity PCR)[0.48]
↳ Neutral 0.60 | Call-Heavy <0.50
• PCCI (Cboe Index PCR)[1.35]
↳ Neutral 1.10 | Put-Heavy >1.40
• PCC (Cboe Total PCR)[0.91]
↳ Gesamtmarkt-Sentiment-Mittelwert
• CPCS (Equity Open Interest)[0.65]
↳ Langfristiges Kapital-Commitment
• CPCE (Equity Vol. 5d-MA)[0.52]
↳ Geglätteter Retail-Indikator
• PCR-NDX (Nasdaq 100 PCR)[0.75]
↳ Tech-Sentiment (institutionell)
• ISEE (Index Select PCR)[145.00]
↳ Nur Eröffnungs-Longs (High = Bullish)

👉 Diagnose: Starke intermarket-Divergenzen unter der Oberfläche. Während Retailer Calls auf Momentum-Stocks kaufen (PCCE niedrig), sichern Institutionelle das Gesamtportfolio über Index-Puts ab (PCCI hoch). Die hohen SKEW/VIX- und VVIX/VIX-Ratios bestätigen aggressiven Tail-Schutz-Kauf — typisches Setup vor einer späten Volatilitätsexpansion.

Institutional Macro Regime & Transition Matrix

Master Regime Diagnosis
QUAD 1: RISK-ON REGIME
Current Regime Leader: 🟢 RISK-ON LAYER
Regime Transition Velocity
🟡 MEDIUM · WEIGHTING SHIFT
Verteilung verlagert sich zwischen Quadranten — Regime-Shift wahrscheinlich innerhalb 24-72h.
Probability Vector
Risk-On
81.5%
Transition
17.6%
Risk-Off
0.9%
Crisis
0.0%
⚡ Core Market Condition

The mathematical vector indicates systemic capital de-risking. High-beta growth assets are facing institutional distribution, while liquidity is rotating into defensive havens.

⚡ Volatility Regime Shift

With Crisis probability at 0.0% and a medium · weighting shift velocity, the market is on the verge of a Volatility Expansion. The probability of an abrupt Gamma Squeeze is elevated.

⚡ Tactical Trading Implication (Options & Delta)
  • 👉 Delta Exposure: Aggressively reduce Long Delta. Hedging required.
  • 👉 Volatility Strategy: Implement Long Vega structures (Long Put Spreads) or high-strike Tail-Hedges.

Die regime transitions Probability basiert auf gewichteter Kombination aus Composite-Score, Intermarket-Divergenzen, VIX-Term-Structure und Smart/Dumb-Money-Spread. Vier-Quadranten-Modell mit Markov-Übergängen.

Signal Dependency Graph

GEX Flow Macro Structural
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1. Net GEX Regime

GREEN●
Anchors · Indices · Rates · Credit · Crypto ETFs
AssetNet GEXTotal GEXNeg SkewStatus
SPXNo data
NDXNo data
SPYNo data
QQQNo data
VIXNo data
VVIXNo data
VIX1DNo data
IWMNo data
DIANo data
TLTNo data
HYGNo data
IBITNo data
XLFNo data
XLENo data
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2. Put/Call GEX Ratio Escalation

GREEN●
Anchors · Indices · Rates · Credit · Crypto ETFs
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3. Gamma-Wall Proximity

GREEN●
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4. Expiry Clustering / Gamma-Cliff Calendar

GREEN●

No expiry data loaded

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5. IV vs HV Spread

GREEN●
AssetIVHVSpread (bp)IV-RankFlag
SPXNo data
SPYNo data
QQQNo data
IWMNo data
DIANo data
HYGNo data
VIXNo data
MSTRNo data
IBITNo data
TLTNo data
XLKNo data
XLFNo data
XLENo data
XLYNo data
XLPNo data
XLVNo data
XLINo data
XLBNo data
XLRENo data
XLUNo data
XLCNo data
AAPLNo data
MSFTNo data
NVDANo data
AMZNNo data
GOOGLNo data
METANo data
TSLANo data
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6. Correlation Snap Detector

GREEN●
PC1 Variance:
0.0%
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7. GEX Acceleration

GREEN●
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8. Net DEX Monitor

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QQQ
No data
SPY
No data
SPX
No data
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9. OTM Put Volume Explosion

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1.2x Yellow1.5x Red / TOXIC
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10. Composite Shock Score

GREEN●
Overall Recommendation:Awaiting data input...
Risk Regime:RISK-ON — Risk-friendly. Maintain beta. Sell vol on upticks.
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11. VIX Term Structure

GREEN●
CurveSimulated
Slope (VIX→3M)
10.00%
Curve Shape
CONTANGO (normal)

Slope: 10.0% | Contango (normal) [sim]

Simulated from VIX spot. Real Yahoo Finance data will load shortly or is unavailable.

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12. Inter-Asset Correlation Matrix

GREEN●
Anchors · Indices · Rates · Credit · Crypto ETFs
Color scale:-10+1

Returns-based Pearson correlation over the last ~60 1-min bars for the active tab group (14 assets). Diagonal = 1.0 (self). High positive correlations signal systemic deleveraging risk.

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13. Dealer Aggregate Positioning

GREEN●
Net GEX (sum)
0
Net DEX (sum)
0
Net Skew
0.0%

Aggregated dealer gamma/delta exposure across all 7 monitored assets. Negative skew >25% indicates broad dealer short-gamma regime — amplifies realized volatility on any downside move.

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14. GEX Distribution by Strike

GREEN●
Anchors · Indices · Rates · Credit · Crypto ETFs
Asset:

Synthetic GEX profile by strike for SPX. Spot price marked with cyan dashed line. Gamma wall (red) = price magnet on downside. Gamma ceiling (cyan) = resistance on upside.

Distribution is derived deterministically from net GEX, put/call ratio, and spot. In production, would use real per-strike GEX from options chain data.

15. Multi-Asset Comparison Matrix

All 47 assets · grouped · full-width
No GEX data loaded. Load demo data or a scenario to populate the comparison matrix.

Alarm History

No alarms recorded