CROSS·ASSET

liquidity cockpit note 2026-09-28 · emitted 2026-09-28T14:50:49.179479+00:00
Cycle phase
Calm conf: divergent
ReboundCalmSpeculationTurbulence
Global liquidity index
49.6
0-100 index, 50 midline · as of 2026-09-25
Risk appetite
16.4
R/S scale (0 mean, 20pts = 1sd) · as of 2026-08-24
Data freshness
16 sources overdue
2 >90d 5 ≥60d 9 minor

This week — auto-picked, ranked by decision impact, capped at 5

  1. Phase changed: Speculation → Calm — The regime driving every stance in the table just shifted.
    phase Δ
  2. Bonds stance moved UW → OW — The cycle's read on bonds shifted this run.
    stance Δ
  3. Commodities stance moved OW → UW→N — The cycle's read on commodities shifted this run.
    stance Δ
  4. Gold stance moved N→UW → N — The cycle's read on gold shifted this run.
    stance Δ
  5. Crypto stance moved OW→N → OW — The cycle's read on crypto shifted this run.
    stance Δ

Stance — decision date 2026-09-28

Asset classStanceRationale
EquitiesOWThis is historically where equities bottom — the best risk/reward entry point in the cycle.
BondsOWLiquidity conditions are most supportive for bonds here — longest duration of the cycle.
CommoditiesUW→NMoving from underweight toward neutral as the cycle matures.
GoldNNo debasement or stress signal active.
CryptoOWLiquidity is rising and crypto's ~13-week lead argues for exposure now.
CashNNo longer need a heavy cash buffer, but not fully deployed either.

Data flags — from the weekly note's staleness section

SourceFeedsAgeStatus
ICI MMF shareTier-1 voter5038dcritical (pit_store pull due)
China FX reservesGLI cross-border leg119dcritical (pit_store pull due)
China M2GLI private leg, non-US M290dwarn (tv_data pull due)
Euro area M3GLI private leg, non-US M290dwarn (tv_data pull due)
Japan M2GLI private leg, non-US M290dwarn (tv_data pull due)
PBoC balance sheetGLI CB leg90dwarn (tv_data pull due)
TIC flowsGLI cross-border leg89dwarn (pit_store pull due)
PBoC operations basketGLI CB leg59dminor (pit_store pull due)
BoJ balance sheetGLI CB leg58dminor (pit_store pull due)
US M2GLI private leg58dminor (pit_store pull due)
BoE balance sheetGLI CB leg54dminor (tv_data pull due)
MOVE indexGLI collateral multiplier + F3 vol structure49dminor (tv_data pull due)
VIX3MF3 vol structure49dminor (tv_data pull due)
VVIXF3 vol structure49dminor (tv_data pull due)
carry-crowding—48dminor (tv_data pull due)
DXY/EM-FXGLI cross-border leg10dminor (pit_store pull due)
Stretched — catalog majors
12
past gate, review candidates
Building
2
near gate, slope outward
Tail extremes
46
liquidity/relevance unscreened

Stretched catalog majors, past gate

MarketFamilyPositionz-score%ile13w slopeWks at extreme
Sofr-3M regime-shiftLeveraged FundsSHORT 20.0% OI-1.843.05unwinding18
5 Year Eris Sofr SwapLeveraged FundsLONG 1.3% OI+2.09100.0extending8
Wheat-HrspringManaged MoneyLONG 26.6% OI+2.0896.13extending4
Russell E-Mini regime-shiftLeveraged FundsSHORT 26.0% OI-1.940.5extending1
Gasoline RbobManaged MoneyLONG 26.6% OI+2.0198.21extending1
Ust Bond regime-shiftLeveraged FundsSHORT 8.6% OI+2.7754.11unwinding1
Soybean Meal regime-shiftManaged MoneyLONG 29.1% OI+1.9795.75extending1
Corn regime-shiftManaged MoneyLONG 21.8% OI+2.1192.82extending1
Msci Eafe regime-shiftLeveraged FundsLONG 6.0% OI+2.3265.04extending1
Crude Oil, Light Sweet-Wti regime-shiftManaged MoneySHORT 0.7% OI+2.2233.26unwinding1
Ust 2Y Note regime-shiftLeveraged FundsSHORT 29.8% OI+2.2221.72unwinding1
Wheat-Hrw regime-shiftManaged MoneyLONG 13.0% OI+2.2166.48extending1

Building near gate, slope outward

MarketFamilyPositionz-score%ile13w slopeWks at extreme
Copper- #1Managed MoneyLONG 27.4% OI+1.3493.11extending0
SoybeansManaged MoneyLONG 23.8% OI+1.7692.54extending0
Full-sweep tail — 46 extremes total, 10 shown here, 36 below the fold
MarketFamilyPositionz-score%ile13w slopeWks at extreme
Nyiso Zone J Da Off-Pk FixedManaged MoneySHORT 22.4% OI-3.370.22extending17
Pjm.Aep-Dayton Hub_Mo_Off_RtpManaged MoneySHORT 9.0% OI-3.313.49extending14
Malin (Basis)Managed MoneySHORT 7.6% OI-3.580.62extending10
Nyiso Zone J Da PeakManaged MoneySHORT 23.4% OI-3.331.04extending11
Crude Diff-Tmx Wcs 1A IndexManaged MoneySHORT 28.5% OI-3.010.89extending37
Pjm.Bge_Month_On_Dap regime-shiftManaged MoneyLONG 10.2% OI+1.8699.84extending49
Tetco M2 Basis (Receipts) regime-shiftManaged MoneyLONG 5.6% OI+1.8199.83extending16
Pjm.Bge_Month_Off_Dap regime-shiftManaged MoneyLONG 10.2% OI+1.8899.82extending49
Nj Srecs regime-shiftManaged MoneySHORT 0.8% OI-0.810.26flat24
Lean Hogs regime-shiftManaged MoneySHORT 14.6% OI-1.990.28extending17

Coverage gaps — what this scanner does not yet scan

  • volatility term structure (Cboe settle pages) — not built
  • FINRA short interest + margin stats — not built (this scanner; see main lane's F23 for the voting-side route)
  • surveys (AAII/II/BofA FMS) — not built (this scanner; see main lane's F7/F24 for the voting-side AAII route)
  • ICI weekly flows — not built (this scanner; see main lane's F7 for the voting-side route)
  • crypto funding/CME-basis/SSR — not built (beyond the 4 CME futures CoT rows above, which are [GATED])
  • Brent — no free/keyless route found (ICE access required)
  • NAAIM — dropped, went paid 2026-08-01 (lane/PLAN.md operator decision)