Latest Trade Recommendation
—
—
Trade Recommendation History
| Date | Signal | Regime | FDRI | Structure | PUT Strike | Expiry | Up | Down | Carry |
|---|
Max Drawdown
—
since inception
Capital
$1,000,000
hypothetical $1M
Rolling Sharpe Ratio (30-day — activates after 30 trading days)
Monthly Returns Heatmap (activates after first full month)
Full Track Record
| Date | Strat Ret | B&H Ret | Cumul. | Capital | Signal | Regime | FDRI |
|---|
■ Active
Macro Planet
FRED · Yield curve · Credit · Funding
■ Active
Narrative Planet
SEC EDGAR · Stress language drift
■ Active
Constraint Planet
CD3 divergence · VIX vs credit
○ Phase 2
Housing Planet
Bloomberg required
○ Phase 2
Credit Planet
Bloomberg required
○ Phase 2
Derivatives Planet
Bloomberg required
CD3 — Constraint Divergence (2008 Signal)
CD3 = (-VIX_momentum_13W + Credit_growth_13W) / 2
The 2008 pre-crisis signal: VIX momentum declining while bank credit growth accelerates. CD3 above 0.60 = constraint break.
Stress Level
—
Aggregate score
What These Signals Mean
VIX Term Structure
Contango — VIX3M > VIX Spot. Normal, calm market. Future uncertainty higher than present.
Backwardation — VIX Spot > VIX3M. Stress signal. Immediate fear elevated. Often precedes sharp moves.
SKEW Index
Measures cost of OTM puts vs calls. High SKEW = institutions buying tail protection aggressively.
> 140 = EXTREME — smart money hedging hard
120-140 = ELEVATED
< 110 = Complacency risk
VVIX
Volatility of VIX itself. Measures uncertainty about future volatility.
> 120 = Extreme uncertainty
90-120 = Elevated
< 90 = Calm
Derivatives Signal History
| Date | VIX | VIX 3M | SKEW | VVIX | Term Structure | Aggregate | Stress |
|---|
Banks Monitored
8
JPM BAC GS MS C WFC BK STT
Forms
10-Q · 8-K
Quarterly + Ad-hoc
Bank Stress Scores — Latest Filings
Category Breakdown — Stress Types
What We Monitor
Credit Stress
deterioration · delinquency · charge-off · provision · impairment · writedown · credit loss
Liquidity
liquidity concerns · funding pressure · repo · short-term funding · funding stress
Structural
covenant · restructuring · regulatory concern · capital requirement · stress test
Filing Analysis — All Banks
| Ticker | Form | Filing Date | Score | vs Baseline | Alert | Top Stress Words |
|---|
Signal Interpretation
The Narrative Planet monitors language drift in SEC filings from the 8 largest US banks. When financial institutions begin using more stress-related language in their regulatory filings — before problems appear in market prices — it is often a leading indicator of systemic pressure building.
Score interpretation:
0.00–0.30 = Normal baseline language · 0.30–0.45 = Elevated stress language · 0.45–0.60 = High stress · Above 0.60 = Critical — significant deviation from baseline
The delta (vs baseline) is often more meaningful than the absolute score — a sudden increase of +0.15 in a single quarter is a stronger signal than a persistently elevated score.