How many of the six US market risk flags are on right now?

As of the US close on 6 Nov 2026, 3 of 6 flags are on (vol curve flat, credit widening, equity fear); off: trend, breadth, bond fear. Nearest to switching on: trend, S&P 500 7,377 is 0.7% above its 200-day average 7,325.

Do market risk flags predict stock market falls?

They raise the odds of a dip but do not predict direction. With 3 or more flags on, the S&P 500 fell 5% or more within 21 sessions 37.0% of the time, against 28.2% on a volatility-matched day and 17.9% on all days (+8.8 pp; 95% range +4.2 pp to +13.9 pp; validated, 29 separate episodes). After days with 3 flags on, the S&P 500 fell 5% or more within 21 sessions 37.0% of the time, against 28.2% on a volatility-matched day and 17.9% on all days (+8.8 pp; 95% range +4.2 pp to +13.9 pp; validated, 29 separate episodes). 6 pre-stated rules on 3-month returns found no edge.

What are the six US risk flags?

The flags are fixed round-number thresholds set before testing: Credit widening: HY spread up ≥ 0.30 pt in 21 sessions; Vol curve flat: VIX/VIX3M ≥ 0.95; Equity fear: VIX at or above its 3-year 80th percentile; Trend: S&P 500 below its 200-day average; Breadth: under half the S&P 500 above its 200-day average (S5TH < 50); Bond fear: MOVE at or above its 3-year 80th percentile.

Market risk gauges: credit, rates and volatility

Six fixed-threshold US risk flags, what they have meant for the odds of a 5% dip in the S&P 500 and the Nifty, and where volatility, credit spreads, yields and breadth stand against their own history.

Data as of 6 Nov 2026.

Open the risk gauges in the cockpit Instruments Evidence

As of the US close on 6 Nov 2026, 3 of 6 US risk flags are on (vol curve flat, credit widening, equity fear). The cockpit's read is STRESSED. The count is up from 2 yesterday (credit on).
Nearest to switching on: trend, S&P 500 7,377 is 0.7% above its 200-day average 7,325.
After days with 3 flags on, the S&P 500 fell 5% or more within 21 sessions 37.0% of the time, against 28.2% on a volatility-matched day and 17.9% on all days (+8.8 pp; 95% range +4.2 pp to +13.9 pp; validated, 29 separate episodes).
On days with 3 or more flags on, the S&P 500 fell 5% or more within 21 sessions 37.0% of the time, against 28.2% on a volatility-matched day and 17.9% on all days (+8.8 pp; 95% range +4.2 pp to +13.9 pp; validated, 29 separate episodes).
The flags speak to dip risk, not direction: 6 pre-stated rules on the S&P 500's 3-month return found no edge.
Credit: the high-yield spread (option-adjusted spread, OAS: the extra yield junk bonds pay over Treasuries) is 3.48 pt (26th percentile since 1996) as of 5 Nov; its 21-session change of +0.39 pt is above the flag's +0.30 pt trigger. Investment-grade OAS is 0.93 pt (22nd percentile since 1996).
Volatility: VIX 25.6 (85th percentile since 1991); VVIX 121.9 (95th percentile since 2006); MOVE 92.8 (64th percentile since 2002). The VIX/VIX3M ratio (30-day over 3-month implied volatility; above 1 means inverted) is 1.04 (95th percentile since 2007).
Curve: 10y minus 2y Treasury 0.35 pt (33rd percentile since 1998); 10y minus 3m 0.67 pt (33rd percentile since 1998).
Breadth: S5TH (share of S&P 500 stocks above their 200-day average) 56.0% (34th percentile since 1990); S5FI (above their 50-day) 61.5% (52nd percentile since 2006).

The six US risk flags: where each stands

As of US close 2026-11-06. Count 3/6. Thresholds are round numbers fixed before measurement. Inputs dated before the US close: the high-yield spread (5 Nov).
Flag	Now	Trigger	On?	Distance to trigger	× a typical monthly move
Credit widening: HY spread up ≥ 0.30 pt in 21 sessions	0.3900	0.3000	ON	HY OAS 21-session change +0.39 pt vs trigger +0.30 pt (0.09 pt above)	0.29
Vol curve flat: VIX/VIX3M ≥ 0.95	1.0420	0.9500	ON	1.042 vs trigger 0.95 (0.092, 9.7% above)	1.14
Equity fear: VIX at or above its 3-year 80th percentile	25.64	19.45	ON	25.6 vs trigger 19.4 (6.2 points, 31.8% above)	1.25
Trend: S&P 500 below its 200-day average	7,376.86	7,325.05	off	S&P 500 7,377 is 0.7% above its 200-day average 7,325	0.19
Breadth: under half the S&P 500 above its 200-day average (S5TH < 50)	55.97	50.00	off	56.0% vs trigger 50.0% (6.0 pp, 11.9% above)	0.59
Bond fear: MOVE at or above its 3-year 80th percentile	92.78	107.86	off	92.8 vs trigger 107.9 (15.1 points, 14.0% below)	1.02

Odds of a 5% dip within 21 sessions, by volatility third and flag count

DESCRIPTIVE cells from 2008. Overlapping daily samples; small cells (n under ~100) are noisy. The flags add most where volatility is already high; in the bottom third they add nothing. Odds shown are the share of days followed by a fall of 5% or more within 21 sessions.
Index	Recent volatility	Today	All days	0-1 flags	2 flags	3+ flags	Days, 0-1 flags	Days, 3+ flags	Separate months, 3+
Nifty 50	bottom third		14.8%	15.4%	7.3%	15.6%	2,338	237	33
Nifty 50	middle third	yes	27.4%	21.3%	28.8%	38.6%	671	350	37
Nifty 50	top third		35.7%	8.8%	41.5%	44.9%	171	468	30
S&P 500	bottom third		10.3%	10.3%	11.5%	0.0%	1,475	10	4
S&P 500	middle third		12.4%	10.8%	16.3%	23.4%	1,319	137	31
S&P 500	top third	yes	30.7%	16.9%	20.8%	39.4%	426	940	63

Gauge levels against their own history

Percentile = the share of the gauge's own history at or below today's level.
Gauge	Level	Percentile of own history	History	1-year range	As of
VIX S&P 500 30-day implied vol	25.6	85th	1991 on	13.5 to 31.1	6 Nov
VIX / VIX3M vol curve; >1 = inverted	1.04	95th	2007 on	0.76 to 1.10	6 Nov
VVIX volatility of VIX	121.9	95th	2006 on	82.0 to 140.4	6 Nov
MOVE Treasury implied vol	92.8	64th	2002 on	55.8 to 115.0	6 Nov
HY OAS junk-bond spread	3.48 pt	26th	1996 on	2.60 to 3.48	5 Nov
IG OAS investment-grade spread	0.93 pt	22nd	1996 on	0.73 to 0.94	5 Nov
10y - 2y Treasury	0.35 pt	33rd	1998 on	0.20 to 0.74	6 Nov
10y - 3m Treasury	0.67 pt	33rd	1998 on	0.08 to 1.09	6 Nov
S5TH: % of S&P 500 above 200-day	56.0	34th	1990 on	40.5 to 73.2	6 Nov
S5FI: % of S&P 500 above 50-day	61.5	52nd	2006 on	19.1 to 72.7	6 Nov
CBOE SKEW tail-hedge demand	153.6	98th	1990 on	126.4 to 168.6	6 Nov
Equity put/call, 10-day avg	0.74	31st	2007 on	0.60 to 0.89	6 Nov

Findings and the evidence behind them

3 of 6 risk flags on today Validated

The risk count adds one point for each of six warning lights (breadth, vol curve, credit spread, bond volatility, S&P trend, VIX level); today 3 is on (vol curve, credit, VIX), so the 3+ bucket applies. A vol-matched day is one whose past-month volatility sat in the same third of history. After such days the S&P 500 fell 5% or more within 21 sessions 37.0% of the time vs 28.2% on a vol-matched day and 17.9% on all days (+8.8 pp vol-matched, 95% range +4.2 pp to +13.9 pp); the Nifty 36.2% vs 28.2% (+8.0 pp). Nifty split-half: +11.01 pt in the first half, +2.42 pt in the second; the second half is weak (under a third of the full effect).

Evidence: +8.8 pp versus a volatility-matched day (28.2%; 17.9% on all days); 95% range +4.2 pp to +13.9 pp (81 separate windows, 29 episodes, both halves of history agree). Today: 3 flag(s): vol curve, credit, VIX. The condition holds today.

What 0-1 flags have meant Provisional

On days with 0-1 flags on, the S&P 500 fell 5% or more within 21 sessions 11.4% of the time vs 13.8% on a vol-matched day (-2.4 pp, 95% range -4.0 pp to -0.9 pp, 17 separate episodes; PROVISIONAL); the Nifty 16.3% vs 18.6% (PROVISIONAL). Nifty split-half: the halves disagree (-4.49 pt then +0.09 pt), so the effect is not stable.

Evidence: -2.4 pp versus a volatility-matched day (13.8%; 17.9% on all days); 95% range -4.0 pp to -0.9 pp (177 separate windows, 17 episodes, both halves of history agree). The condition does not hold today.

Junk-bond spread jump raised dip odds Validated

HY OAS is the extra yield investors demand to hold junk bonds instead of Treasuries (now 3.48 pt, up 0.39 pt over 21 sessions, as of 2026-11-05; FRED publishes a day late, so the test uses it one day late). When it rose 0.50 pt or more in 21 sessions, the S&P 500 fell 5%+ within a month 36.1% of the time vs 17.9% on all days and 27.0% on a vol-matched day (+9.2 pp vol-matched, 95% range +1.3 pp to +17.1 pp; 37 episodes; VALIDATED). Split-half: +7.66 pt in the first half, +10.88 pt in the second; both halves agree.

Evidence: +9.2 pp versus a volatility-matched day (27.0%; 17.9% on all days); 95% range +1.3 pp to +17.2 pp (58 separate windows, 37 episodes, both halves of history agree). Today: HY OAS 21-session change +0.39 pt. The condition does not hold today.

US rate spike, rupee drag follows Provisional

The US 10-year yield moved -3 bp over the last 2 sessions to 4.86% (bp = basis point, 0.01 pt); the last 20 bp+ two-session rise ended 2026-09-24. After such rises USD/INR went up 1.56% over the next 21 FX sessions vs 0.40% on all days (+1.16 pp, 95% range +0.3 pp to +1.9 pp; PROVISIONAL). It is PROVISIONAL because the two halves of the history disagree in sign; on separate, non-overlapping months alone the 95% range includes zero. USD/INR split-half: the halves disagree (+1.69 pt then -0.06 pt), so the effect is not stable. For a Singapore-dollar investor, SGD/INR (rupees per S$, now 73.25) rose 1.35% vs 0.45% (PROVISIONAL: target picked after the USD/INR result).

Evidence: +1.16% versus a baseline of 0.40%; 95% range +0.35% to +1.92% (29 separate windows, 27 episodes, the two halves of history disagree). Today: US10Y -3 bp in 2 sessions; 30 session(s) since the last spike. The condition does not hold today.

Bank Nifty lagged after US rate spikes Provisional

Bank Nifty is the index of Indian bank shares. After a 20 bp+ two-session rise in the US 10-year it trailed the Nifty by 2.6 pt over the next 21 sessions (95% range -5.0 pp to -0.3 pp; 25 episodes; PROVISIONAL). It is PROVISIONAL because on separate, non-overlapping months alone the 95% range includes zero. Split-half: -3.83 pt in the first half, -0.61 pt in the second; the second half is weak (under a third of the full effect). The same test on US financials, regional banks, utilities and REITs showed no edge.

Evidence: -2.63% versus a baseline of 0.32%; 95% range -5.02% to -0.25% (28 separate windows, 25 episodes, both halves of history agree). Today: spike not live. The condition does not hold today.

Terms used on this page

VIX: the market's expected 30-day volatility of the S&P 500, implied by option prices. VIX3M is the 3-month version; a VIX/VIX3M ratio above 1 means short-term fear exceeds longer-term fear.
MOVE: the same measure for US Treasury bonds. VVIX: the volatility of the VIX itself.
HY OAS / IG OAS: the extra yield (option-adjusted spread) high-yield or investment-grade corporate bonds pay over Treasuries.
S5TH / S5FI: the share of S&P 500 stocks trading above their 200-day or 50-day average.
Volatility-matched day: a day whose past-month volatility sat in the same third of history, so a flag is not credited for what high volatility alone would do.

Sources: CBOE and TradingView closes, FRED credit spreads (published a day late and used one day late in the tests). The rules that found no edge are on the Evidence page; the instruments are on the Instruments page.

Questions

How many of the six US market risk flags are on right now?: As of the US close on 6 Nov 2026, 3 of 6 flags are on (vol curve flat, credit widening, equity fear); off: trend, breadth, bond fear. Nearest to switching on: trend, S&P 500 7,377 is 0.7% above its 200-day average 7,325.
Do market risk flags predict stock market falls?: They raise the odds of a dip but do not predict direction. With 3 or more flags on, the S&P 500 fell 5% or more within 21 sessions 37.0% of the time, against 28.2% on a volatility-matched day and 17.9% on all days (+8.8 pp; 95% range +4.2 pp to +13.9 pp; validated, 29 separate episodes). After days with 3 flags on, the S&P 500 fell 5% or more within 21 sessions 37.0% of the time, against 28.2% on a volatility-matched day and 17.9% on all days (+8.8 pp; 95% range +4.2 pp to +13.9 pp; validated, 29 separate episodes). 6 pre-stated rules on 3-month returns found no edge.
What are the six US risk flags?: The flags are fixed round-number thresholds set before testing: Credit widening: HY spread up ≥ 0.30 pt in 21 sessions; Vol curve flat: VIX/VIX3M ≥ 0.95; Equity fear: VIX at or above its 3-year 80th percentile; Trend: S&P 500 below its 200-day average; Breadth: under half the S&P 500 above its 200-day average (S5TH < 50); Bond fear: MOVE at or above its 3-year 80th percentile.

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