Mid-cycle · Cautious / Deteriorating

Known limitations

• PMI/ISM has no authorised source (recorded factor-registry exclusion)
• VIX term structure, VVIX and MOVE have no authorised source
• ICE BofA OAS series carry a three-year window on FRED, so credit percentiles are shallow by construction
• no market-implied FOMC path exists; policy-path readings are inferences
• no macro consensus history is registered, so no surprise index is computed
• US market holidays are not modelled in the event calendar

Data sources

• Alpha Vantage — macro + prices (daily) · sole market-data vendor
• FRED — macro series AV does not carry (daily) · documented source exception 2026-08-30; FRED® API, not endorsed by the St. Louis Fed
• authored — Fed stance, macro calendar (authored) · carried with its age

Validation status

Status SHADOW. Registered and awaiting evidence: H-CR-1, H-VOL-1, H-GR-1, H-IN-1, H-CR-2. Passed: none yet. Engine mrg-1.0.0, config mrg-1.0.0 / freg-1.0.0.

Glossary

OAS

Option-adjusted spread — the extra yield a corporate bond pays over government debt of the same maturity, after stripping out the value of any early-repayment options. It is the market’s price for the risk that the borrower does not pay.

HY

High yield — bonds from companies rated below investment grade. They pay more because they default more often, so their spread widens fastest when credit conditions turn.

IG

Investment grade — bonds from companies the ratings agencies judge unlikely to default. The safer half of the corporate bond market.

CCC

The lowest tier of high-yield credit ratings, one notch above default. Because these borrowers are closest to trouble, their spreads move first and furthest when stress arrives.

NFCI

National Financial Conditions Index — a weekly measure published by the Federal Reserve Bank of Chicago that combines over a hundred indicators of how easy or hard it is to borrow. Zero is average; positive is tighter than average.

SLOOS

Senior Loan Officer Opinion Survey — the Federal Reserve’s quarterly survey asking banks whether they are making it harder or easier to borrow. It measures the supply of credit directly, rather than inferring it from prices.

HYG

An exchange-traded fund holding high-yield corporate bonds. Widely traded, so its price reacts within the day to shifts in appetite for credit risk.

LQD

An exchange-traded fund holding investment-grade corporate bonds — the safer counterpart to HYG.

FOMC

Federal Open Market Committee — the Federal Reserve body that sets US interest rates. It meets roughly every six weeks.

Treasury

Debt issued by the US government. Treasury yields are the base interest rate everything else in markets is priced against.

real yield

The interest rate after subtracting expected inflation — what a lender actually earns in purchasing power. It is the honest measure of whether interest rates are restrictive, because a high rate during high inflation may not be restrictive at all.

breakeven

The inflation rate at which an ordinary government bond and an inflation-protected one would pay the same. It is the bond market’s own forecast of inflation, readable every day.

TIPS

Treasury Inflation-Protected Securities — US government bonds whose payments rise with inflation. Comparing them with ordinary bonds is what produces a breakeven rate.

2s10s

The gap between the 2-year and 10-year Treasury yields. Normally the 10-year pays more; when it does not, the curve is inverted, which has historically preceded recessions.

3m10y

The gap between the 3-month and 10-year Treasury yields — the same idea as 2s10s, measured from the very front of the curve.

yield curve

The line joining the interest rates on government debt of different maturities. Its shape says what the market expects interest rates and growth to do.

fed funds

The overnight interest rate US banks charge one another, and the rate the Federal Reserve targets directly. Every other US interest rate is anchored to it.

basis point

One hundredth of a percentage point. A move from 4.00% to 4.25% is twenty-five basis points.

bp

Basis points — hundredths of a percentage point. Twenty-five bp is a quarter of one percent.

pp

Percentage points — the plain difference between two percentages. Three percent rising to five percent is a move of two percentage points.

CPI

Consumer Price Index — the best-known measure of US inflation, tracking what a representative basket of goods and services costs.

core CPI

Consumer price inflation excluding food and energy, whose prices swing for reasons unconnected to the wider economy. It is the more reliable read on the underlying trend.

PCE

Personal Consumption Expenditures price index — the inflation measure the Federal Reserve actually targets. It differs from CPI mainly in how it weights what people buy.

core PCE

The Federal Reserve’s preferred inflation measure: the PCE index excluding food and energy.

IP

Industrial production — a monthly index of what US factories, mines and utilities actually produced. A direct read on the goods economy.

GDP

Gross domestic product — the total value of everything a country produces. The broadest measure of economic activity, and the slowest to arrive.

PMI

Purchasing Managers’ Index — a survey of business purchasing managers, widely used as an early read on activity. This engine does not use one: no authorised source is available.

ISM

Institute for Supply Management — the body that publishes the best-known US purchasing managers’ surveys. Not available to this engine from any authorised source.

claims

Initial jobless claims — the number of Americans filing for unemployment benefits for the first time each week. The fastest honest read on whether the labour market is turning.

YoY

Year on year — comparing a figure with the same month a year earlier, which removes seasonal effects.

annualized

A short-period rate scaled up to what it would be over a full year, so a three-month change can be compared with a twelve-month one.

VIX

The market’s expectation of how much the S&P 500 will move over the next thirty days, derived from option prices. Often called the fear gauge, though it measures expected movement in either direction.

VVIX

A measure of how much the VIX itself is expected to move — volatility of volatility. Not available to this engine from any authorised source.

MOVE

A measure of expected volatility in the US government bond market, the rates equivalent of the VIX. Not available to this engine from any authorised source.

realized vol

How much a price actually moved over a past window, as against how much it was expected to move. Comparing the two says whether volatility was over- or under-priced.

implied vol

How much a price is expected to move in future, as inferred from what people pay for options on it.

variance premium

The gap between expected and actual volatility. When it is positive, sellers of options were paid more than the movement that followed turned out to be worth.

contango

When contracts for later delivery cost more than nearer ones — the normal shape for volatility, reflecting greater uncertainty further out.

backwardation

When nearer contracts cost more than later ones — usually a sign of immediate stress.

drawdown

The fall from a peak to the following trough. It measures the loss an investor would actually have lived through, rather than the return between two chosen dates.

SPX

The S&P 500 index — the five hundred largest listed US companies, and the usual shorthand for the US stock market.

S&P 500

The index of the five hundred largest listed US companies, weighted by market value.

NDX

The Nasdaq-100 index — the hundred largest non-financial companies listed on the Nasdaq, dominated by large technology names.

SPY

The oldest and most heavily traded exchange-traded fund tracking the S&P 500. Used here as the index’s price series.

RSP

An exchange-traded fund holding the same S&P 500 companies but weighting each equally. Comparing it with SPY shows whether gains are broad or concentrated in the largest few.

IWM

An exchange-traded fund tracking the Russell 2000 index of smaller US companies, which are more sensitive to borrowing conditions.

XLY

An exchange-traded fund holding consumer discretionary companies — the things people buy when they feel comfortable.

XLP

An exchange-traded fund holding consumer staples companies — the things people buy regardless. Comparing XLY with XLP is a long-standing read on risk appetite.

ETF

Exchange-traded fund — a fund whose shares trade on an exchange like a single stock.

breadth

How many individual shares are participating in a market move. An index can rise on a handful of large companies while most shares fall, which breadth reveals and the index alone hides.

DMA

Day moving average — the average closing price over a set number of past trading days, used to judge trend. A price above its 200-day average is conventionally an uptrend.

200-day

The average closing price over the last two hundred trading days — the most widely watched measure of a market’s longer trend.

percentile

Where a reading sits in its own history. A ninetieth-percentile value is higher than ninety percent of everything that came before it.

LEAPS

Long-dated options, conventionally those expiring more than a year out. They give exposure to a view over a long horizon for a fraction of the capital.

DTE

Days to expiry — how long an option contract has left to run.

hedge sleeve

The portion of a portfolio held specifically to offset losses elsewhere, sized as a multiple of its normal level.

FRED

Federal Reserve Economic Data — the St. Louis Federal Reserve’s public database of economic statistics.

ALFRED

The archival version of FRED, which stores each statistic as it was originally published, before later revisions. It is what makes an honest historical test possible.

point-in-time

Using data exactly as it stood on the day being studied, rather than as later corrected. Without it, a historical test quietly uses knowledge nobody had at the time.

shadow

Running a model alongside the live system, recording what it would have said, while it drives no decision. It is how a claim earns trust before it is given any.

DATA HOLD

The engine refusing to publish a fresh reading because a required input is missing or stale. Showing yesterday’s answer with today’s date would be worse than showing nothing.

Snapshot history

2026-08-31 · 2026-08-31 · 2026-08-31 · 2026-08-31 · 2026-08-31 · 2026-08-31 · 2026-09-01 · 2026-09-02 · 2026-09-05 · 2026-09-08 · 2026-09-09