macro-risk-check

name	macro-risk-check
description	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").

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)

1. VIX > 25 + MOVE > 100 same week = Volmageddon precedent
2. USD/JPY < 153 = Yen carry unwind 启动
3. HYG < 52W low + 30Y > 5.3% = Credit + duration 双杀
4. % S&P > 200DMA < 50% while SPX at ATH = 顶部分发
5. OPEC cut + Iran/Hormuz = 1973 重演
6. 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

1. Run all 8 indicators every time. Don't cherry-pick.
2. CRISIS in any one indicator overrides composite. Single point of failure principle.
3. Compare to historical analogs. 2018/2 (Volmageddon), 2020/3 (COVID), 2022 (rate shock), 2024/8/5 (yen carry), 2025/4 (DeepSeek+tariffs).
4. 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%."
5. Cite sources. WebSearch results need URL.
6. 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)