Macro Risk Check — Daily/Weekly Radar
Goal
Catch the next 2024/8/5 (yen carry) or 1973 (oil + inflation) event BEFORE it happens. Provide a binary "go / slow / stop" signal for adding risk.
The 8 Indicators (run all in parallel)
1. Volatility Indices
| Indicator |
Healthy |
Warning |
Crisis |
Action |
| VIX |
<18 |
18-22 |
>22 |
>22 → reduce risk 25% |
| VVIX (VIX of VIX) |
<90 |
90-105 |
>105 |
>105 → tail risk rising |
| MOVE (bond vol) |
<80 |
80-100 |
>100 |
>100 → bond market panic, equity follows |
Tools:
mcp__yfmcp__yfinance_get_ticker_info for ^VIX, ^VVIX, ^MOVE- WebSearch: "VIX MOVE current level"
2. Treasury Yields
| Indicator |
Healthy |
Warning |
Crisis |
Action |
| 10Y yield |
<4.5% |
4.5-5.0% |
>5.0% |
>5% → growth stocks 杀估值 |
| 30Y yield |
<5.0% |
5.0-5.3% |
>5.3% |
>5.3% = term premium unwind |
| 10Y-2Y spread |
>0 (steepener) |
flat |
inverted |
Bear steepener (long up, short flat) = stagflation警报 |
| 3M-10Y spread |
positive |
inverted |
deeply inverted |
Inversion = recession 6-12mo |
Tools: ^TNX, ^TYX, ^FVX, ^IRX via yfmcp
3. Currency / Carry Trade
| Indicator |
Healthy |
Warning |
Crisis |
Action |
| USD/JPY |
<155 |
155-160 |
>160 (干预红线) |
<153 = yen carry unwind 启动 |
| DXY |
95-100 |
<95 or >102 |
>105 |
>105 = EM 危机 |
| CNH/USD |
<7.30 |
7.30-7.35 |
>7.40 |
>7.40 = 中国资本外流 |
Tools: JPY=X, DX-Y.NYB, WebSearch
4. Credit Spreads
| Indicator |
Healthy |
Warning |
Crisis |
Action |
| HYG (High Yield ETF) |
rising or flat |
falling |
<52W low |
<52W low = credit panic |
| JNK |
same |
same |
same |
同上 |
| HY-IG OAS spread |
<300 bps |
300-400 |
>450 |
>450 = recession risk |
| CDX HY |
<400 |
400-500 |
>500 |
同上 |
Tools: HYG, JNK, LQD via yfmcp
5. Market Breadth
| Indicator |
Healthy |
Warning |
Crisis |
Action |
| % S&P > 200DMA |
>70% |
50-70% |
<50% |
<60% with SPX at ATH = 顶部背离 |
| % S&P > 50DMA |
>65% |
40-65% |
<40% |
同上 |
| NYSE A/D line |
rising |
flat |
falling |
Falling A/D + index up = distribution |
| New highs vs lows |
>2:1 |
1:1 |
<1:1 |
<1:1 = breadth dying |
| RSP/SPY ratio |
rising |
flat |
falling |
Falling = mega-cap concentration |
Tools: WebSearch "S&P 500 percent above 200DMA today"
6. Positioning / Flows
| Indicator |
Healthy |
Warning |
Crisis |
Action |
| CTA SPX exposure |
<60th %ile |
60-85th %ile |
>85th %ile |
>85th = forced unwind risk |
| HF gross leverage |
<290% |
290-310% |
>310% |
GS PB metric, >310% = 拥挤 |
| HF net leverage |
<50th %ile |
50-90th %ile |
>90th %ile |
同上 |
| NAAIM Exposure |
<80 |
80-95 |
>95 |
>95 = manager all-in |
| AAII Bull |
25-45% |
<25% or 45-60% |
>60% |
>60% = 散户 euphoria |
| CBOE Put/Call |
0.7-1.0 |
<0.5 or >1.3 |
<0.4 |
<0.4 = call buying euphoria |
Tools: WebSearch (CTA + HF data are private, dealers publish weekly)
7. Specific Asset-Class Crowding
- SOXL AUM (3x semi ETF): >$10B = 散户进场 verge
- TQQQ AUM: 同上
- NVDA single-stock weight in ETFs: >20% in QQQ/SMH
- Mag 7 % S&P: >32% = 1999 类似集中
8. Geopolitical / Event Risk Calendar
This week / next 30 days:
- Fed FOMC meeting
- BOJ policy meeting (yen carry trigger)
- ECB meeting
- OPEC+ meeting
- Trump-Xi summits, G20
- Major elections (Taiwan, US states)
- Iran/Hormuz tension
- Major earnings (NVDA, AAPL, MSFT, GOOGL, META, AMZN, AMD, AVGO, ORCL)
Tools: WebSearch: "Fed meeting [next month]", "BOJ meeting [next month]"
Composite Score & Action
Count how many indicators are in WARNING or CRISIS:
| Warning + Crisis count |
Regime |
Action |
| 0-2 |
🟢 GREEN |
Normal allocation, can add |
| 3-5 |
🟡 YELLOW |
Slow, no new adds, trim leverage |
| 6-9 |
🟠 ORANGE |
Active reduce 20%, raise cash to 30% |
| 10+ |
🔴 RED |
Crisis stance, cash 50%+, hedge with puts |
| Any in CRISIS |
🔴 RED |
Override above |
The "Trigger" hierarchy (in order of severity)
- VIX > 25 + MOVE > 100 same week = Volmageddon precedent
- USD/JPY < 153 = Yen carry unwind 启动
- HYG < 52W low + 30Y > 5.3% = Credit + duration 双杀
- % S&P > 200DMA < 50% while SPX at ATH = 顶部分发
- OPEC cut + Iran/Hormuz = 1973 重演
- CTA at 95th %ile + breadth dying = 强制平仓 setup
Output format
# Macro Risk Check — [Date]
## Verdict: [🟢/🟡/🟠/🔴]
[One paragraph: regime + recommended action]
## 8-Indicator Dashboard
| # | Indicator | Value | Status | Triggered? |
| 1 | VIX | XX.XX | 🟢/🟡/🔴 | |
| ... | ... | ... | ... | ... |
## Triggers Activated
- [List any specific triggers from the hierarchy]
## Macro Events Next 30 Days
| Date | Event | Why it matters |
## Recommended Action
- Cash level: X%
- Hedges: [SPY puts? Yen call? Gold?]
- Don't add: [list sectors]
- Can add: [list sectors if any]
## Watch list (next 7 days)
- [Specific levels to watch]
Hard rules
- Run all 8 indicators every time. Don't cherry-pick.
- CRISIS in any one indicator overrides composite. Single point of failure principle.
- Compare to historical analogs. 2018/2 (Volmageddon), 2020/3 (COVID), 2022 (rate shock), 2024/8/5 (yen carry), 2025/4 (DeepSeek+tariffs).
- Be specific. "Macro looks bad" ≠ analysis. "VIX 22.5 + MOVE 95 + USD/JPY 156 + CTA 87th %ile = 3 yellow + 1 orange = ORANGE regime, raise cash to 30%."
- Cite sources. WebSearch results need URL.
- Don't anchor to bull narrative. If 6+ indicators flash, the answer is RED regardless of how good the AI story is.
Schedule recommendation
This skill should run automatically every Monday morning via schedule skill. Cadence:
- Daily: if any indicator was ORANGE+ last check
- Weekly: default
- Pre-event: 24h before Fed/BOJ/major earnings
- Pre-Trump-Xi summit / OPEC / major catalyst: 24h before
Historical regime examples
| Date |
Regime |
What happened |
| 2018/2/5 |
🔴 RED |
Volmageddon, S&P -10% in 1 week |
| 2020/2/24 |
🟠→🔴 |
COVID, S&P -34% over 5 weeks |
| 2022/1 |
🔴 RED |
Tech crash, NDX -33% over year |
| 2024/8/5 |
🔴 RED |
Yen carry unwind, NDX -13% in 3 weeks |
| 2025/4 |
🟠 |
DeepSeek + tariffs, NVDA -27% |
| 2026/5 (now) |
? |
(compute fresh) |
1---2name: macro-risk-check3description: Daily/weekly macro risk radar. Checks VIX, MOVE, yields, USD/JPY, market breadth, CTA positioning, credit spreads. Outputs red/yellow/green regime signal with specific action thresholds. Triggers in English ("macro check", "regime read", "is the market safe", "risk on or off", "should I add now") or Chinese ("看一下宏观", "市场风险怎么样", "现在能加仓吗", "regime", "宏观扫一下").4---56# Macro Risk Check — Daily/Weekly Radar78## Goal910Catch the next **2024/8/5 (yen carry)** or **1973 (oil + inflation)** event BEFORE it happens. Provide a binary "go / slow / stop" signal for adding risk.1112## The 8 Indicators (run all in parallel)1314### 1. Volatility Indices15| Indicator | Healthy | Warning | Crisis | Action |16|---|---|---|---|---|17| **VIX** | <18 | 18-22 | >22 | >22 → reduce risk 25% |18| **VVIX** (VIX of VIX) | <90 | 90-105 | >105 | >105 → tail risk rising |19| **MOVE** (bond vol) | <80 | 80-100 | >100 | >100 → bond market panic, equity follows |2021**Tools:**22- `mcp__yfmcp__yfinance_get_ticker_info` for `^VIX`, `^VVIX`, `^MOVE`23- WebSearch: "VIX MOVE current level"2425### 2. Treasury Yields26| Indicator | Healthy | Warning | Crisis | Action |27|---|---|---|---|---|28| **10Y yield** | <4.5% | 4.5-5.0% | >5.0% | >5% → growth stocks 杀估值 |29| **30Y yield** | <5.0% | 5.0-5.3% | >5.3% | >5.3% = term premium unwind |30| **10Y-2Y spread** | >0 (steepener) | flat | inverted | Bear steepener (long up, short flat) = stagflation警报 |31| **3M-10Y spread** | positive | inverted | deeply inverted | Inversion = recession 6-12mo |3233**Tools:** `^TNX`, `^TYX`, `^FVX`, `^IRX` via yfmcp3435### 3. Currency / Carry Trade36| Indicator | Healthy | Warning | Crisis | Action |37|---|---|---|---|---|38| **USD/JPY** | <155 | 155-160 | >160 (干预红线) | <153 = yen carry unwind 启动 |39| **DXY** | 95-100 | <95 or >102 | >105 | >105 = EM 危机 |40| **CNH/USD** | <7.30 | 7.30-7.35 | >7.40 | >7.40 = 中国资本外流 |4142**Tools:** `JPY=X`, `DX-Y.NYB`, WebSearch4344### 4. Credit Spreads45| Indicator | Healthy | Warning | Crisis | Action |46|---|---|---|---|---|47| **HYG (High Yield ETF)** | rising or flat | falling | <52W low | <52W low = credit panic |48| **JNK** | same | same | same | 同上 |49| **HY-IG OAS spread** | <300 bps | 300-400 | >450 | >450 = recession risk |50| **CDX HY** | <400 | 400-500 | >500 | 同上 |5152**Tools:** `HYG`, `JNK`, `LQD` via yfmcp5354### 5. Market Breadth55| Indicator | Healthy | Warning | Crisis | Action |56|---|---|---|---|---|57| **% S&P > 200DMA** | >70% | 50-70% | <50% | <60% with SPX at ATH = 顶部背离 |58| **% S&P > 50DMA** | >65% | 40-65% | <40% | 同上 |59| **NYSE A/D line** | rising | flat | falling | Falling A/D + index up = distribution |60| **New highs vs lows** | >2:1 | 1:1 | <1:1 | <1:1 = breadth dying |61| **RSP/SPY ratio** | rising | flat | falling | Falling = mega-cap concentration |6263**Tools:** WebSearch "S&P 500 percent above 200DMA today"6465### 6. Positioning / Flows66| Indicator | Healthy | Warning | Crisis | Action |67|---|---|---|---|---|68| **CTA SPX exposure** | <60th %ile | 60-85th %ile | >85th %ile | >85th = forced unwind risk |69| **HF gross leverage** | <290% | 290-310% | >310% | GS PB metric, >310% = 拥挤 |70| **HF net leverage** | <50th %ile | 50-90th %ile | >90th %ile | 同上 |71| **NAAIM Exposure** | <80 | 80-95 | >95 | >95 = manager all-in |72| **AAII Bull** | 25-45% | <25% or 45-60% | >60% | >60% = 散户 euphoria |73| **CBOE Put/Call** | 0.7-1.0 | <0.5 or >1.3 | <0.4 | <0.4 = call buying euphoria |7475**Tools:** WebSearch (CTA + HF data are private, dealers publish weekly)7677### 7. Specific Asset-Class Crowding78- **SOXL AUM** (3x semi ETF): >$10B = 散户进场 verge79- **TQQQ AUM**: 同上80- **NVDA single-stock weight in ETFs**: >20% in QQQ/SMH81- **Mag 7 % S&P**: >32% = 1999 类似集中8283### 8. Geopolitical / Event Risk Calendar84**This week / next 30 days:**85- Fed FOMC meeting86- BOJ policy meeting (yen carry trigger)87- ECB meeting88- OPEC+ meeting89- Trump-Xi summits, G2090- Major elections (Taiwan, US states)91- Iran/Hormuz tension92- Major earnings (NVDA, AAPL, MSFT, GOOGL, META, AMZN, AMD, AVGO, ORCL)9394**Tools:** `WebSearch`: "Fed meeting [next month]", "BOJ meeting [next month]"9596## Composite Score & Action9798Count how many indicators are in **WARNING** or **CRISIS**:99100| Warning + Crisis count | Regime | Action |101|---|---|---|102| 0-2 | 🟢 GREEN | Normal allocation, can add |103| 3-5 | 🟡 YELLOW | Slow, no new adds, trim leverage |104| 6-9 | 🟠 ORANGE | Active reduce 20%, raise cash to 30% |105| 10+ | 🔴 RED | Crisis stance, cash 50%+, hedge with puts |106| Any in CRISIS | 🔴 RED | Override above |107108## The "Trigger" hierarchy (in order of severity)1091101. **VIX > 25 + MOVE > 100 same week** = Volmageddon precedent1112. **USD/JPY < 153** = Yen carry unwind 启动1123. **HYG < 52W low + 30Y > 5.3%** = Credit + duration 双杀1134. **% S&P > 200DMA < 50% while SPX at ATH** = 顶部分发1145. **OPEC cut + Iran/Hormuz** = 1973 重演1156. **CTA at 95th %ile + breadth dying** = 强制平仓 setup116117## Output format118119```markdown120# Macro Risk Check — [Date]121122## Verdict: [🟢/🟡/🟠/🔴]123124[One paragraph: regime + recommended action]125126## 8-Indicator Dashboard127128| # | Indicator | Value | Status | Triggered? |129| 1 | VIX | XX.XX | 🟢/🟡/🔴 | |130| ... | ... | ... | ... | ... |131132## Triggers Activated133- [List any specific triggers from the hierarchy]134135## Macro Events Next 30 Days136| Date | Event | Why it matters |137138## Recommended Action139- Cash level: X%140- Hedges: [SPY puts? Yen call? Gold?]141- Don't add: [list sectors]142- Can add: [list sectors if any]143144## Watch list (next 7 days)145- [Specific levels to watch]146```147148## Hard rules1491501. **Run all 8 indicators every time.** Don't cherry-pick.1512. **CRISIS in any one indicator overrides composite.** Single point of failure principle.1523. **Compare to historical analogs.** 2018/2 (Volmageddon), 2020/3 (COVID), 2022 (rate shock), 2024/8/5 (yen carry), 2025/4 (DeepSeek+tariffs).1534. **Be specific.** "Macro looks bad" ≠ analysis. "VIX 22.5 + MOVE 95 + USD/JPY 156 + CTA 87th %ile = 3 yellow + 1 orange = ORANGE regime, raise cash to 30%."1545. **Cite sources.** WebSearch results need URL.1556. **Don't anchor to bull narrative.** If 6+ indicators flash, the answer is RED regardless of how good the AI story is.156157## Schedule recommendation158159This skill should run **automatically every Monday morning** via `schedule` skill. Cadence:160- Daily: if any indicator was ORANGE+ last check161- Weekly: default162- Pre-event: 24h before Fed/BOJ/major earnings163- Pre-Trump-Xi summit / OPEC / major catalyst: 24h before164165## Historical regime examples166167| Date | Regime | What happened |168|---|---|---|169| 2018/2/5 | 🔴 RED | Volmageddon, S&P -10% in 1 week |170| 2020/2/24 | 🟠→🔴 | COVID, S&P -34% over 5 weeks |171| 2022/1 | 🔴 RED | Tech crash, NDX -33% over year |172| 2024/8/5 | 🔴 RED | Yen carry unwind, NDX -13% in 3 weeks |173| 2025/4 | 🟠 | DeepSeek + tariffs, NVDA -27% |174| 2026/5 (now) | ? | (compute fresh) |
ssurmic