RED · Stage 3 — Distribution / stress-test (held 36 sessions) · confidence high
Distribution / stress-test: composite fragility 84.2/100 (red), easing over the past month.
The composite fragility score stands at 84.2 — distribution-risk territory (-5.1 points over 20 sessions). That includes a +12.0 synchronization add-on — multiple warnings are lining up at once, which is the pattern that matters more than any single signal. The cycle read is Stage 3 — Distribution / stress-test (held 36 sessions): Tape distribution elevated (tape 72) with composite 84 — selling pressure into a still-standing trend. The equal-weight AI basket sits 8.9% below its one-year high.
What is driving it: issuance activity is heavy: 59 weighted registration/offering filings across the universe in the past quarter (score 100). Also, leverage and speculation are elevated: FINRA margin debt is up 54% year-over-year (monthly, ~4-week publication lag); universe dollar-volume runs 62% above its one-year norm (score 96). Also, trend extension is stretched — the AI basket trades 32.9% above its 200-day average, with a 103% twelve-month return (score 92).
What is not confirming: rates and credit are not the problem — spreads and yields sit inside normal ranges (40).
What would change this read:
| Composite score | 84.2 (RED) |
| Base (before synchronization add-on) | 72.2 |
| Synchronization add-on applied | +12.0 |
| Bands | green <35 · amber 35–65 · red >65 |
| Pillars available | 6 / 6 |
| Pillar weights | Extension 10% · Tape: distribution & breadth 25% · Leverage & speculation 15% · Rates & credit 20% · Earnings reaction 20% · Supply & funding 10% |
| Formula | Availability-reweighted weighted mean of the six pillar scores (weights below), plus a synchronization add-on: +8 if ≥3 pillars score ≥65, +4 if ≥4 pillars score ≥50, capped at 100. Bands: green <35 · amber 35–65 · red >65. |
| Pillar | Score | Band | Weight | Source | Data through | Status |
|---|---|---|---|---|---|---|
| Extension | 92.1 | RED | 10% | Yahoo Finance — daily adjusted prices (equal-weight AI basket) | 2026-07-08 | live |
| Tape: distribution & breadth | 72.0 | RED | 25% | Yahoo Finance — daily prices & volume (SOXX, QQQ, SMH, universe members) | 2026-07-08 | live |
| Leverage & speculation | 95.5 | RED | 15% | FINRA margin statistics (monthly, ~4-week lag) + Yahoo Finance dollar-volume | 2026-05-01 | live |
| Rates & credit | 39.8 | AMBER | 20% | FRED (DGS10, DFII10, ICE BofA HY & IG OAS) + Yahoo ^TNX for the live 10-year yield | 2026-07-08 | live |
| Earnings reaction | 63.7 | AMBER | 20% | SEC EDGAR (8-K item 2.02 results filings) + Yahoo Finance next-session returns | 2026-06-24 | live |
| Supply & funding | 99.6 | RED | 10% | SEC EDGAR (S-1 / S-3 / 424B* / FWP issuance filings) | 2026-06-24 | live |
| Indicator | Raw value | Score (pctl 0–100) | Calculation | Note |
|---|---|---|---|---|
| AI basket vs 200-day average | 32.9% | 90 | basket ÷ 200-day average − 1, then percentile-ranked against its own history up to that date | |
| 12-month basket return | 102.8% | 93 | 252-session total return of the equal-weight basket, percentile-ranked | |
| 3-month trend slope | 0.0054 | 95 | OLS slope of the basket over 63 sessions ÷ mean level, percentile-ranked |
Caveats: Equal-weighted basket of the designated universe; SMH/SOXX act as cap-weighted proxies.
| Indicator | Raw value | Score (pctl 0–100) | Calculation | Note |
|---|---|---|---|---|
| Distribution days (SOXX+QQQ, 25 sessions) | 15 | 84 | count of sessions in the last 25 where SOXX or QQQ fell >0.2% on higher volume than the prior day (split-day-guarded), percentile-ranked | |
| Near-high breadth divergence | 0.00 | 47 | when the basket is within 2% of its 252-day high: (0.7 − share of members above their 50-day average) ÷ 0.7, else 0; percentile-ranked | 0 = none, 1 = severe |
| Equal-weight AI vs SMH, 3-month slope | -0.0005 | 81 | OLS slope of (equal-weight AI ÷ SMH) over 63 sessions, inverted so a falling ratio (narrowing leadership) = more fragile | |
| % of universe above 200-day average | 67.5% | 70 | share of universe members above their own 200-day average, inverted (weak breadth = more fragile) |
Caveats: Measures selling pressure in the tape; does not observe who is selling. · Institutional flow (13F aggregation / prime-broker / fund flows): no feed connected.
| Indicator | Raw value | Score (pctl 0–100) | Calculation | Note |
|---|---|---|---|---|
| FINRA margin debt, YoY growth | 53.7% | — | FINRA debit balances: latest month ÷ same month one year earlier − 1, percentile-ranked | monthly, ~4-week publication lag |
| FINRA margin debt, 6-month growth | 16.6% | — | FINRA debit balances: latest month ÷ six months earlier − 1, percentile-ranked | |
| Universe dollar-volume vs 1-year norm | 62.5% | 96 | 21-session average universe dollar-volume ÷ 252-session average − 1, percentile-ranked |
Caveats: Margin debt is market-wide, monthly, published ~4 weeks after month end — not AI-specific. · Options positioning (put/call, 0DTE): no reliable free feed — not scored.
| Indicator | Raw value | Score (pctl 0–100) | Calculation | Note |
|---|---|---|---|---|
| 10y yield, 3-month change (pp) | -388 bp | 0 | 10-year Treasury yield (DGS10) minus its level 63 sessions ago | |
| 10y real yield, 3-month change (pp) | +26 bp | 79 | 10-year real yield (DFII10) minus its level 63 sessions ago | |
| HY spread, 1-month change (pp) | -7 bp | 50 | ICE BofA US High-Yield OAS minus its level 21 sessions ago | |
| HY spread within 1-year range | 0.05 | 18 | (HY OAS − trailing-1-year min) ÷ (1-year max − min); 0 = tightest of the year, 1 = widest | 0 = tightest, 1 = widest |
| IG spread, 1-month change (pp) | +2 bp | 74 | ICE BofA US Investment-Grade OAS minus its level 21 sessions ago |
Caveats: FRED daily series applied with a T+1 knowability rule.
| Indicator | Raw value | Score (pctl 0–100) | Calculation | Note |
|---|---|---|---|---|
| Share of results sold next session (63-session window) | 56.8% | 77 | share of universe 8-K item 2.02 results in the last 63 sessions with a negative next-session return vs their layer benchmark (semis→SMH, software→IGV, else QQQ) | |
| Mean abnormal reaction to results | 1.1% | 47 | mean next-session abnormal return across those results, inverted (more negative = more fragile) |
Caveats: A reaction gauge, not consensus revisions — noisy by construction; reads best over full reporting seasons. · Excluded (6-K reporters, timing ambiguous): ARM, TSM, ASML, IREN, NBIS. · Consensus revision momentum: data unavailable — no estimates feed connected.
| Indicator | Raw value | Score (pctl 0–100) | Calculation | Note |
|---|---|---|---|---|
| Issuance filings, rolling quarter (weighted count) | 59 | 100 | weighted count of S-1/S-3/424B/FWP filings in the last ~63 sessions (neocloud filings ×2), percentile-ranked | neocloud filings ×2 |
Caveats: Counts, not dollars — a single mega-deal can matter more than many small filings. · Universe-only: does not capture market-wide AI issuance. · Deal sizes/pricing: data unavailable — no deals feed connected (deals.csv adapter ready).
| Series | Index level |
|---|---|
| Neoclouds (EW) | 5251.9 |
| AI infrastructure (EW) | 1203.9 |
| AI basket (equal-weight, all layers) | 825.3 |
| Semis & hardware (EW) | 694.5 |
| Power & grid (EW) | 608.8 |
| SMH | 533.9 |
| SOXX | 446.2 |
| AI software (EW) | 337.0 |
| Hyperscalers (EW) | 293.1 |
| AIQ | 290.1 |
| QQQ | 248.1 |
| SPY | 192.1 |
| IGV | 170.1 |
| BOTZ | 169.7 |
| IWM | 164.1 |
Active episode since 2026-05-05 · peak 92.6 · AI-basket drawdown -12.4% · pillars: Extension, Leverage & speculation, Supply & funding, Earnings reaction, Rates & credit, Tape: distribution & breadth
| Period | Peak | AI dd | Pillars flashed | Resolution | Recovered |
|---|---|---|---|---|---|
| 2026-05-05 → ongoing | 92.6 | -12.4% | Extension, Leverage & speculation, Supply & funding, Earnings reaction, Rates & credit, Tape: distribution & breadth | ongoing | — |
| 2026-01-02 → 2026-04-02 | 80.8 | -12.7% | Extension, Tape: distribution & breadth, Supply & funding, Leverage & speculation, Rates & credit | breadth repaired, reaction recovered | 2026-04-02 |
| 2025-10-31 → 2025-12-23 | 79.5 | -15.4% | Extension, Leverage & speculation, Supply & funding, Tape: distribution & breadth | rates relief, reaction recovered | 2026-01-06 |
| 2025-06-03 → 2025-08-26 | 76.6 | -5.4% | Extension, Earnings reaction, Supply & funding | rates relief, breadth repaired, reaction recovered | 2025-08-26 |
| 2025-02-24 → 2025-05-02 | 83.1 | -27.1% | Leverage & speculation, Earnings reaction, Supply & funding, Tape: distribution & breadth, Rates & credit | rates relief, breadth repaired | 2025-05-12 |
| 2025-01-17 → 2025-01-21 | 71.0 | -23.7% | Extension, Rates & credit, Earnings reaction, Supply & funding | rates relief, breadth repaired | 2025-01-21 |
| Name | URL |
|---|---|
| auditJson | /api/ai-audit |
| latest | /api/latest |
| history | /api/history |
| episodes | /api/episodes |
| benchmarks | /api/benchmarks |
| reports | /api/reports |
| health | /api/health |
| snapshotByDate | /api/snapshot/{YYYY-MM-DD} |