# Macro Stress — 9 November 2026

Cross-asset market stress report for 9 November 2026: Rates and inflation, Spreads and prices, Cross-asset stress confirmation are Elevated or Severe.

Historical reconstruction created 2026-11-10T11:59:13.561Z; evidence cutoff 2026-11-09T23:59:59Z. 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/2026-11-09.

Scores are research indicators, not loss probabilities.

## Desk read

Rates and inflation, Spreads and prices, Cross-asset stress confirmation are Elevated or Severe.

## Layer scores

| Layer | Score | State |
| --- | --- | --- |
| Rates and inflation | 59 | Elevated |
| Spreads and prices | 66 | Elevated |
| Funding transmission | 50 | Contained |
| Cross-asset stress confirmation | 60 | Elevated |

## Risk factors

| Factor | Score | State |
| --- | --- | --- |
| Credit spreads | 68 | Elevated |
| Price trend | 58 | Building |
| Volatility | 71 | Elevated |
| Rates | 73 | Elevated |
| Inflation | 52 | Contained |
| Oil stress | 39 | Contained |
| Funding | 60 | Building |
| Labour | 47 | 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 | 342 bp | 2026-11-06
| HY widening · 1 sessions | -6.000000000000005 bp | 2026-11-06
| HY widening · 5 sessions | -2.0000000000000018 bp | 2026-11-06
| HY widening · 20 sessions | 31.000000000000007 bp | 2026-11-06
| HY widening · 60 sessions | 71 bp | 2026-11-06
| HY widening · 63 sessions | 71.99999999999997 bp | 2026-11-06
| IG OAS | 93 bp | 2026-11-06
| IG widening · 1 sessions | 0 bp | 2026-11-06
| IG widening · 5 sessions | -0.9999999999999898 bp | 2026-11-06
| IG widening · 20 sessions | 10.000000000000009 bp | 2026-11-06
| IG widening · 60 sessions | 14.000000000000002 bp | 2026-11-06
| IG widening · 63 sessions | 15.000000000000002 bp | 2026-11-06
| HY minus IG | 248.99999999999997 bp | 2026-11-06
| HY–IG divergence · 20 sessions | 21 bp | 2026-11-06
| HY acceleration · 20 sessions | -14.999999999999991 bp | 2026-11-06
| C&I lending standards | 1.7 % | 2026-10-01
| C&I tightening · quarterly change | 1.7 pp | 2026-10-01
| S&P drawdown · 252 sessions | -3.440240544422324 % | 2026-11-09
| S&P return · 20 sessions | -3.295658901225018 % | 2026-11-09
| S&P return · 60 sessions | -3.02886294979553 % | 2026-11-09
| S&P distance from 50DMA | -1.6449652048386776 % | 2026-11-09
| S&P distance from 200DMA | 3.025495301051717 % | 2026-11-09
| 50DMA relative to 200DMA | 4.748572877450852 % | 2026-11-09
| VIX | 25.64 % | 2026-11-06
| VIX change · 5 sessions | 6.219999999999999 pp | 2026-11-06
| VIX change · 20 sessions | 10.8 pp | 2026-11-06
| S&P realized volatility · 20 sessions | 22.109829037445074 % | 2026-11-09
| VIX / VIX3M · implied maturity slope | Unavailable | Unknown
| VVIX · volatility of volatility | Unavailable | Unknown
| SKEW · tail pricing | Unavailable | Unknown
| VIX minus realized volatility | 5.558708915490982 pp | 2026-11-06
| 10Y real yield | 2.63 % | 2026-11-06
| 10Y Treasury | 4.86 % | 2026-11-06
| 2Y Treasury | 4.51 % | 2026-11-06
| 3M Treasury | 4.19 % | 2026-11-06
| 10Y breakeven | 2.22 % | 2026-11-09
| 10Y term premium · THREEFYTP10 | 0.9089 % | 2026-10-30
| 10Y real yield change · 63 sessions | 0.19999999999999973 pp | 2026-11-06
| 10Y yield change · 63 sessions | 0.14000000000000057 pp | 2026-11-06
| 10Y–3M curve | 0.64 pp | 2026-11-09
| Curve inversion pressure | 0 pp | 2026-11-09
| Effective Fed funds · monthly | 3.88 % | 2026-10-01
| Ex-post real policy rate · core PCE | 0.6288403970379797 pp | 2026-09-01
| 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 | -14.723926380368102 % | 2026-11-03
| Brent return · 63 sessions | 23.519907674552787 % | 2026-11-03
| Brent return · 252 sessions | 63.554400977995115 % | 2026-11-03
| US regular gasoline | 4.153 $/gallon | 2026-11-02
| US regular gasoline return · 4 weeks | -4.616444648599005 % | 2026-11-02
| US regular gasoline return · 13 weeks | 1.8141701397401233 % | 2026-11-02
| US regular gasoline return · 52 weeks | 37.5621066578337 % | 2026-11-02
| US diesel | 6.292 $/gallon | 2026-11-02
| US diesel return · 4 weeks | 1.5002419745120177 % | 2026-11-02
| US diesel return · 13 weeks | 17.651458489154813 % | 2026-11-02
| US diesel return · 52 weeks | 67.65254463096188 % | 2026-11-02
| Brent volatility · 20 available oil prints | 61.46354443873682 % | 2026-11-03
| Wednesday liquidity proxy · 1 weeks | 81.84500000000025 $bn | 2026-11-04
| Wednesday liquidity proxy · 4 weeks | -47.766999999999825 $bn | 2026-11-04
| Wednesday liquidity proxy · 13 weeks | -5.920000000000073 $bn | 2026-11-04
| SOFR minus IORB | -0.9999999999999787 bp | 2026-11-06
| Reserve balances | 2930.088 $bn | 2026-11-04
| NFCI | -0.459 index | 2026-10-30
| NFCICREDIT | 0.002 index | 2026-10-30
| NFCILEVERAGE | 0.169 index | 2026-10-30
| Claims 4w average above 52w low | 0 % | 2026-10-31
| Continuing claims · 13w slope | -7774.725274725275 claims/week | 2026-10-24
| Continuing claims increasing streak | 1 weeks | 2026-10-24
| Sahm rule | 0 pp | 2026-10-01
| Unemployment change · 3m | 0 pp | 2026-10-01
| Payroll growth · 3m | 0.25868254427814374 % | 2026-10-01
| Manufacturing hours change · 3m | 0 hours | 2026-10-01
| Temporary employment growth · 3m | 1.1411411411411443 % | 2026-10-01

## 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