Maguire Leverage Monitor

Maguire Leverage Monitor 22V Trading Desk

5.3/10

FRAGILE EQUILIBRIUM ▲ from 4.8

2026-05-25 (Pipeline (automated))

5.3/10

⚠ FRAGILE EQUILIBRIUM

Key tension: leverage at records but key dampeners holding. Financing direction: loosening. financing actively easing.

Layer Breakdown

L1: Leverage Levels 1.0/2 ⚠ STALE

Margin $1304.3B above $1T record (Jun 2025) | HF gross: GS 285%, JPM 298%

L2: Momentum 2/2

Margin YoY +53.3% (>20% threshold) | Debt/GDP 4.09% above 3.5% threshold

L3: Financing 0.0/2 ⚠ STALE

NFCI -0.523 — loose (loosening) | HY OAS 278bp (tighter) | SOFR 3.51%

L4: Crowding 0.8/1 ⚠ STALE

High concentration: AI Infra Concentration, Mag 7 % of HF Net, Semis Net Exposure, Multistrat Leverage | AI infra cluster + Mag7 rotation confirmed by Q4 13Fs

L5A: Vol Structure 0.0/1

VIX 16.66

L5B: Options Sentiment 0.5/1 YFINANCE BS CALC

P/C 1.26 — elevated fear

L6: Calendar 1/1

HIGH events within 30d: NFP (Employment Situation) (11d), CPI Release (est.) (18d), FOMC Meeting + Dot Plot (23d)

⚡ Score Update — 4.8 → 5.3 (2026-05-25)

L1: Margin $1304.3B above $1T record (Jun 2025) | HF gross: GS 285%, JPM 298%
L2: Margin YoY +53.3% (>20% threshold) | Debt/GDP 4.09% above 3.5% threshold
L3: NFCI -0.523 — loose (loosening) | HY OAS 278bp (tighter) | SOFR 3.51%
L4: High concentration: AI Infra Concentration, Mag 7 % of HF Net, Semis Net Exposure, Multistrat Leverage | AI infra cluster + Mag7 rotation confirmed by Q4 13Fs
L5A: VIX 16.66
L5B: P/C 1.26 — elevated fear
L6: HIGH events within 30d: NFP (Employment Situation) (11d), CPI Release (est.) (18d), FOMC Meeting + Dot Plot (23d)

Composite Score History

35 observations • Regime thresholds: 5 (Fragile), 7 (Active Deterioration), 9 (Cascade)

Real-Time Pulse

Turbulence

NORMAL

VIX 16.66 • SPX 7456.40

Regime

FRAGILE EQ

Score 5.3/10

Synthesis

TAPE DIVERGING

Fear in options, calm in financing

financing actively easing. leverage at records but key dampeners holding

Real-Time Readings

2026-05-25

Equity P/C

1.258

ELEVATED

GEX (Calc)

26.1B

Flip 6610 • Walls 7500

VIX

16.66

IV 14.3%

CBOE SKEW

137.39

MODERATE

HY OAS

278bp

Tighter from 280

NFCI

-0.523

Loose

FINRA Margin

$1.30T

1st consecutive record high Apr 2026

HF Gross (GS)

285%

JPM 298%

SOFR

3.51%

Stable

IV / HV

14.3% / 12.88%

IV Rank 4.8%

FINRA Margin Debt

$1304B — 1st consecutive record high (Apr 2026) • +6.8% MoM • +53.3% YoY

Debt/GDP: 4.09% (record)Margin YoY: +53.3%SPX YoY: +39.0%

Hedge Fund Gross Leverage

GS: 285% (record) • JPM: 298% (5yr high) • MS: top 99% of 15yr history • Multistrat: 645%

Normalization Divergence

Margin/GDP

4.09%

ALL-TIME RECORD

Margin YoY

+53.3%

SPX +39.0% = 1.4x gap

Leveraged ETFs

248B

HF gross leverage from GS/JPM/MS prime brokerage reports.

Leverage Gap (Margin YoY − SPX YoY)

Current: +14.3pp.

Margin YoY

+53.3%

SPX YoY

+39.0%

Gap

+14.3pp

Debt/GDP

4.09%

Financing: THE KEY LAYER — Actively Loosening

Financing conditions are easing, not tightening. NFCI moved from -0.504 → -0.523 (2026-05-15). HY OAS tightened from 280→278bp. SOFR rose to 3.51%. This is the key layer keeping the composite at 5 instead of 8-10. If HY > 350bp or NFCI > -0.30, score jumps to 8-10 (Active Deterioration → Cascade).

NFCI

-0.523

Loosening from -0.504

HY OAS

278bp

Tighter from 280

GS FCI

Loose

Rate cuts + end of QT

SOFR

3.51%

Stable

TRIP WIRES: HY OAS > 350bp • NFCI > -0.30 • SOFR > 4.50% • PB margin hikes • GS FCI → “tightening”

HY OAS History

HY OAS (bp) • Dots colored by L3 score • Trip wire: 350bp

— HY OAS (bp) • L3 = 0 (Loose) • L3 > 0 (Tightening) --- 350bp Trip Wire

NFCI History

Chicago Fed Financial Conditions Index • Trip wire: -0.30 (tightening threshold)

— NFCI (lower = looser) --- -0.30 Trip Wire --- 0 (historical avg)

Positioning & Crowding

⚡ AI infra cluster + Mag7 rotation confirmed by Q4 13Fs (2026-Q2)

Druckenmiller pivoting to equal-weight (RSP)

MAG-7 MARKET CAP CONCENTRATION

Mag-7 % of SPX

47.0%

Mag-7 Total

$23.5T

Layer 5B: Options Sentiment PIPELINE + BARCHART

ELEVATED

2026-05-25

Equity P/C

1.258

+0.50 pts

Threshold: > 0.85

GEX

+γ

0 pts

Flip 6610 • SPX above

VIX 30d RoC

-8%

0 pts

Threshold: > 25%

CBOE SKEW

137.39

MODERATE

Threshold: > 145

Layer 5B Score: 0.50 / 1.00

Vol Surface

14.3%

HV (30d)

12.88%

IV Rank

4.8%

IV Pctl

None%

GEX Flip

6610

SPX above → +γ

Put Wall

7300

Call Wall

7500

Source: Pipeline (automated) — 2026-05-25

VIX 30-Day Trend

Liquidity Calendar

2026-06-05

NFP (Employment Situation) HIGH

2026-06-12

CPI Release (est.) HIGH

2026-06-15

Estimated Tax Payments MED

2026-06-17

FOMC Meeting + Dot Plot HIGH

2026-06-19

Quad Witching OPEX HIGH

2026-06-30

Quarter-End Rebalancing HIGH

2026-07-03

NFP (Employment Situation) HIGH

2026-07-13

CPI Release (est.) HIGH

2026-07-17

Monthly OPEX MED

2026-07-29

FOMC Meeting MED

2026-08-05

Treasury Refunding Announcement MED

2026-08-07

NFP (Employment Situation) HIGH

2026-08-12

CPI Release (est.) HIGH

2026-08-21

Monthly OPEX MED

CLUSTER: 9 HIGH-severity events on calendar. Peak vulnerability window.

Cascade Vulnerability Chain

Margin calls→

Forced selling→

Gamma hedging amplification→

Leveraged ETF rebalancing→

Credit spread widening→

Prime broker margin hikes→

Second wave forced selling

ACTIVATION PROBABILITY LOW-MODERATE — STEPS 1-1 PRE-LOADED

Step 1 INACTIVE: Leverage below threshold | Step 2 ACTIVE: Momentum accelerating | Step 3 BLOCKED: Financing still loose (score 0.0/2) | Step 4 BLOCKED: Dealers long gamma, vol suppressed

Active Alerts

DATA STALE: HF Leverage (PB reports): 89d old (>60d threshold) — score discounted 50%

STALENESS ADJUSTMENT: Raw score 6.5 adjusted to 5.3 due to stale data. Refresh manual inputs to restore full scoring.

Sources: FINRA, OFR Form PF, GS/JPM/MS Prime, Chicago Fed NFCI, HY OAS, SOFR, Bloomberg OVME, Barchart GEX, Pipeline. Not investment advice. Maguire Leverage Monitor — 22V Trading Desk. Updated 2026-05-25.