# Macro Stress — 27 October 2026

Cross-asset market stress report for 27 October 2026: Rates and inflation is Elevated.

Historical reconstruction created 2026-11-10T11:59:10.424Z; evidence cutoff 2026-10-27T23:59:59Z. This was not published on the historical date. Economic vintages and cross-checked equity closes have different revision-history coverage. Source details: https://www.macrostress.com/reports/2026-10-27.

Scores are research indicators, not loss probabilities.

## Desk read

Rates and inflation is Elevated or Severe.

## Layer scores

| Layer | Score | State |
| --- | --- | --- |
| Rates and inflation | 65 | Elevated |
| Spreads and prices | 51 | Building |
| Funding transmission | 50 | Contained |
| Cross-asset stress confirmation | 47 | Contained |

## Risk factors

| Factor | Score | State |
| --- | --- | --- |
| Credit spreads | 56 | Building |
| Price trend | 48 | Contained |
| Volatility | 47 | Contained |
| Rates | 74 | Elevated |
| Inflation | 52 | Contained |
| Oil stress | 59 | Building |
| Funding | 61 | Elevated |
| Labour | 48 | Contained |

## Limits

Downturn probabilities are unavailable pending sufficient historical validation.

- Constituent breadth, A/D and highs/lows: historical membership and price feed required.
- Earnings revisions: consistent consensus estimates and revision history required; direction unknown.
- Private credit: filings extraction and representative issuer coverage required.
- Forced selling: dealer gamma, CTA and vol-control exposure feeds unavailable.
- VIX3M, VVIX and SKEW are diagnostics only; futures contango, relative indices and equity correlation still require data.
- Credit comparisons have limited historical coverage.
- Liquidity is a balance-sheet proxy; historical release timing is unverified.
- Cboe-only diagnostic vintage archives were not collected; no present-day Cboe history was substituted.

## Published inputs

| Input | Reading | Observation date |
| --- | --- | --- |
| HY OAS | 318 bp | 2026-10-27
| HY widening · 1 sessions | -11.999999999999966 bp | 2026-10-27
| HY widening · 5 sessions | -14.999999999999991 bp | 2026-10-27
| HY widening · 20 sessions | 10.000000000000009 bp | 2026-10-27
| HY widening · 60 sessions | 40.000000000000036 bp | 2026-10-27
| HY widening · 63 sessions | 31.000000000000007 bp | 2026-10-27
| IG OAS | 88 bp | 2026-10-27
| IG widening · 1 sessions | -2.0000000000000018 bp | 2026-10-27
| IG widening · 5 sessions | 1.0000000000000009 bp | 2026-10-27
| IG widening · 20 sessions | 4.0000000000000036 bp | 2026-10-27
| IG widening · 60 sessions | 9.999999999999998 bp | 2026-10-27
| IG widening · 63 sessions | 6.999999999999995 bp | 2026-10-27
| HY minus IG | 230.00000000000003 bp | 2026-10-27
| HY–IG divergence · 20 sessions | 6 bp | 2026-10-27
| HY acceleration · 20 sessions | -35.00000000000001 bp | 2026-10-27
| C&I lending standards | 0 % | 2026-07-01
| C&I tightening · quarterly change | -8.1 pp | 2026-07-01
| S&P drawdown · 252 sessions | -1.2320100064842632 % | 2026-10-27
| S&P return · 20 sessions | 0.6747631289402589 % | 2026-10-27
| S&P return · 60 sessions | 1.6064732583382701 % | 2026-10-27
| S&P distance from 50DMA | 0.33246676306772915 % | 2026-10-27
| S&P distance from 200DMA | 5.805375706633087 % | 2026-10-27
| 50DMA relative to 200DMA | 5.454773634230947 % | 2026-10-27
| VIX | 17.52 % | 2026-10-27
| VIX change · 5 sessions | 0.21000000000000085 pp | 2026-10-27
| VIX change · 20 sessions | 1.4800000000000004 pp | 2026-10-27
| S&P realized volatility · 20 sessions | 10.121653322962308 % | 2026-10-27
| VIX / VIX3M · implied maturity slope | Unavailable | Unknown
| VVIX · volatility of volatility | Unavailable | Unknown
| SKEW · tail pricing | Unavailable | Unknown
| VIX minus realized volatility | 7.398346677037692 pp | 2026-10-27
| 10Y real yield | 2.66 % | 2026-10-26
| 10Y Treasury | 5 % | 2026-10-26
| 2Y Treasury | 4.68 % | 2026-10-26
| 3M Treasury | 4.22 % | 2026-10-26
| 10Y breakeven | 2.35 % | 2026-10-27
| 10Y term premium · THREEFYTP10 | 0.9358 % | 2026-10-23
| 10Y real yield change · 63 sessions | 0.25 pp | 2026-10-26
| 10Y yield change · 63 sessions | 0.3899999999999997 pp | 2026-10-26
| 10Y–3M curve | 0.77 pp | 2026-10-27
| Curve inversion pressure | 0 pp | 2026-10-27
| Effective Fed funds · monthly | 3.75 % | 2026-09-01
| Ex-post real policy rate · core PCE | 0.6224040238143935 pp | 2026-08-01
| CPI YoY | 3.7172508442689933 % | 2026-09-01
| CPI · 3m annualized | 4.562342321211887 % | 2026-09-01
| Core CPI YoY | 2.565840844021827 % | 2026-09-01
| Core CPI · 3m annualized | 3.4124037788220596 % | 2026-09-01
| PPI commodities YoY | 12.842391262869501 % | 2026-09-01
| Brent return · 21 sessions | -0.8006887645286342 % | 2026-10-20
| Brent return · 63 sessions | 22.418189545261356 % | 2026-10-20
| Brent return · 252 sessions | 88.1757308508901 % | 2026-10-20
| US regular gasoline | 4.269 $/gallon | 2026-10-26
| US regular gasoline return · 4 weeks | -4.389697648376256 % | 2026-10-26
| US regular gasoline return · 13 weeks | 4.2236328125 % | 2026-10-26
| US regular gasoline return · 52 weeks | 40.658978583196046 % | 2026-10-26
| US diesel | 6.352 $/gallon | 2026-10-26
| US diesel return · 4 weeks | -0.4700720777185752 % | 2026-10-26
| US diesel return · 13 weeks | 19.555806512328267 % | 2026-10-26
| US diesel return · 52 weeks | 70.84454007530931 % | 2026-10-26
| Brent volatility · 20 available oil prints | 78.90834631671858 % | 2026-10-20
| Wednesday liquidity proxy · 1 weeks | -61.40099999999984 $bn | 2026-10-21
| Wednesday liquidity proxy · 4 weeks | 8.288000000000466 $bn | 2026-10-21
| Wednesday liquidity proxy · 13 weeks | -103.37099999999919 $bn | 2026-10-21
| SOFR minus IORB | 3.000000000000025 bp | 2026-10-26
| Reserve balances | 2962.607 $bn | 2026-10-21
| NFCI | -0.496 index | 2026-10-16
| NFCICREDIT | -0.03 index | 2026-10-16
| NFCILEVERAGE | 0.215 index | 2026-10-16
| Claims 4w average above 52w low | 0 % | 2026-10-17
| Continuing claims · 13w slope | -8291.208791208792 claims/week | 2026-10-10
| Continuing claims increasing streak | 1 weeks | 2026-10-10
| Sahm rule | 0 pp | 2026-09-01
| Unemployment change · 3m | 0 pp | 2026-09-01
| Payroll growth · 3m | 0.0956624625531699 % | 2026-09-01
| Manufacturing hours change · 3m | 0.29999999999999716 hours | 2026-09-01
| Temporary employment growth · 3m | -0.8255234297108616 % | 2026-09-01

## Sources

AWHMAN, BAMLC0A0CM, BAMLH0A0HYM2, CBOE_SKEW, CBOE_VIX3M, CBOE_VVIX, CCSA, CPIAUCSL, CPILFESL, DCOILBRENTEU, DFII10, DGS10, DGS2, DGS3MO, DRTSCILM, FEDFUNDS, GASDESW, GASREGW, IC4WSA, IORB, NFCI, NFCICREDIT, NFCILEVERAGE, PAYEMS, PCEPILFE, PPIACO, RRPONTSYD, SAHMREALTIME, SOFR, SP500, T10Y3M, T10YIE, TEMPHELPS, THREEFYTP10, UNRATE, VIXCLS, WALCL, WDTGAL, WRESBAL