Component Scores (0-100):

Regime Persistence:

Regimes typically last 3-18 months. Short regimes (<1 month) are often false signals.

Edge: Most traders react to regime changes after they're obvious. The GIL framework detects transitions early through leading indicators, allowing positioning before the crowd.

Calculation:

Breakeven = Nominal Treasury Yield − TIPS Yield

Example:

10Y Treasury = 4.50%

10Y TIPS = 2.00%

10Y Breakeven = 2.50% (market expects 2.5% avg inflation)

Forward 5Y5Y:

Expected 5-year inflation rate starting 5 years from now. This is what the Fed monitors for long-term inflation anchoring. Target: 2.0-2.5%.

Edge: Breakevens lead CPI prints by 2-3 months. Position before realized inflation confirms market expectations.

Key Spreads:

Inversion Timing:

Edge: Most traders only watch the inversion. The un-inversion (curve steepening after inversion) is the actual "sell everything" signal.

Calculation:

Spread = IV(30d ATM) − RV(20d)

Z-Score = (Spread − Mean) / StdDev [252-day lookback]

RV Calculation:

Realized Vol = sqrt(252) × StdDev(daily returns, 20d)

When to Sell Vol:

When to Buy Vol:

Edge: Retail traders are always net sellers of vol (income generation). Institutions are buyers at extremes. Fade retail when Z-score is extreme.

4-Factor Composite (25% each):

1. Price Momentum: 5-day return percentile vs 60-day lookback

2. Call OI Spike: Near-term call OI vs 20-day average

3. Call Volume Surge: Total call volume vs 20-day average

4. IV Rising With Price: Both IV and price rising (classic signature)

Dealer Mechanics:

Market makers are structurally short gamma (they sell options to retail).

When price rises toward heavily-owned call strikes:

Edge: Retail sees momentum. This signal shows you the OPTIONS-DRIVEN mechanics behind the momentum, letting you anticipate exhaustion.

4-Factor Composite (25% each):

1. Call Wave: Call vol/OI vs 20-day avg ratio

2. Put Wave: Put vol/OI vs 20-day avg ratio

3. Directional Bias: Call vs put wave skew (-1 to +1)

4. Concentration: Near-term + ATM share of total volume

Directional Bias Labels:

Edge: Volume alone doesn't tell you if positions are opening or closing. Volume/OI ratio distinguishes new conviction (high) from position management (low).

Calculation:

VIX Ratio = VIX / VIX1D (or front-month / second-month VIX futures)

Why It Matters:

Historical Context:

Edge: VIX level tells you fear exists. Term structure tells you if it's the RIGHT kind of fear to fade.

5-Pillar Composite:

1. CTA Alignment (25%): % of assets with aligned trend signals

2. Vol-Target Regime (20%): VIX level vs target volatility

3. Risk-Parity Stress (20%): SPY-TLT correlation (>0 = stress)

4. Options Skew (15%): Put/call OI ratio

5. COT Crowding (20%): Speculator positioning extremes

Cascade Mechanics:

When multiple systematic strategies become aligned:

Edge: By the time the cascade starts, it's too late. This signal warns you BEFORE the forced selling begins.

8 ETFs Tracked:

SPY, QQQ, IWM, TLT, GLD, USO, UUP, EFA

Moving Averages:

20-day, 60-day, 120-day (short, medium, long-term trends)

CTA Industry Context:

CTA funds manage ~$400B using systematic trend-following:

Edge: When alignment is extreme, you know the NEXT move will be the trend break. Position for reversal or at minimum, reduce exposure.

Report Types:

Key Categories:

Historical Hit Rate:

Extreme readings (>90th or <10th %ile) + price divergence = 70%+ win rate on 4-week time horizon.

Edge: COT data is free and updated weekly. Most retail traders ignore it. Institutions use it as a key input for contrarian timing.

Key Pairs Monitored:

Normal States:

Trading the Breakdown:

1. Detect: Z-score < -2 (correlation below normal)

2. Identify: Which asset deviated from relationship

3. Fade: The deviator will likely revert

4. Stop: If correlation continues breaking down

Edge: Correlation regimes are more stable than price regimes. When they break, the market hasn't fully priced it in yet.

Calculation:

Rate Differential = US 10Y Yield − Foreign 10Y Yield

Countries Tracked:

Japan, Germany, UK, Australia, Canada, Switzerland

Divergence Signals:

Carry Trade Risk:

High-yield currencies (AUD, NZD, MXN) attract capital in risk-on environments but crash in risk-off. The "carry trade unwind" happens suddenly.

Edge: Most FX traders watch price. Rate differentials CAUSE price moves. Trade the cause, not the effect.

VIX:

MOVE:

2022 Example:

Both VIX and MOVE elevated throughout the year — Fed hiking cycle created stress across ALL assets. Traditional stock-bond diversification failed.

Edge: Most traders only watch VIX. MOVE tells you if bonds will save you or not.

Calculation:

25Δ Skew = IV(25Δ Put) − IV(25Δ Call)

Why Skew Exists:

Skew Term Structure:

Trading the Skew:

Edge: Most traders watch VIX. Skew tells you WHERE the fear is concentrated — it's more actionable for options positioning.

Business Cycle Rotation:

Key Ratios:

Momentum Signals:

Dispersion:

Edge: Sector rotation signals lead index moves by 2-4 weeks. Rotate INTO strength early, rotate OUT before the crowd.