Live
Market Fragility Index
78.2
ELEVATED
0255075100

mfi_v2_rt · expanding percentile rank (live primary)

STATE:PRIMED — Watch

Primary MFI is elevated versus history available at that time. Structural fragility (valuation/concentration) is elevated while acute stress (credit/liquidity/macro) is relatively calm.

MFI mfi_v2_rt · expanding percentile rank (live primary) 78.2 (78th pct) ELEVATED
MFI Raw (Legacy) mfi_score 33.90 MODERATE

Primary MFI = mfi_v2_rt (expanding percentile, no lookahead). Archive mfi_score = linear operational composite. Full-sample mfi_v2 is research-only and is not the live decision series. If breadth is missing or components are incomplete, coverage is marked degraded and weights are renormalized explicitly — the score meaning changes.

Coverage: operational · provisional open month

Latest snapshot 2026-09-11 14:56
Total snapshots 10
Snapshot ID #139
MFI — Recent History (expanding rank + archive)

Default window anchors to the most recent entry into HIGH/EXTREME on mfi_v2_rt (percentile band ≥ p80), with a 3-month buffer.

MFI Component Breakdown
Valuation 20%
59
Credit 14%
9
Liquidity 14%
4
Sentiment 12%
42
Macro 12%
0
Breadth (composite) 10%
64
Earnings 10%
42
Concentration 8%
57
Breadth (composite): spx_equal_weight_vs_spx v2026.08.1. EW/CW native Yahoo overlap (~2007-01); % above 200-DMA from Wikipedia+yfinance (~late-1990s, gate ≥400). A/D line overlay uses same constituents (not MFI weight). Survivorship bias tagged. Pre-overlap months omit breadth and renormalize MFI weights.
Key Indicators
Shiller CAPE
40.7
hist avg ~17 | alert >42
Buffett Indicator
58%
hist avg ~75% | alert >250%
S&P 500 P/E
500.0x
hist avg ~16x
CBOE SKEW
147.0
hist avg ~130 | alert >155
AAII Bullish
38.0%
avg ~38% | danger >55%
Put/Call Ratio
0.850
normal ~0.85 | low<0.65=risk
Breadth Composite (MFI)
63.5
60/40 EW/CW + %200DMA · spx_equal_weight_vs_spx v2026.08.1
EW/CW Z-Score (12m)
-0.54
sub-input (60%)
% Above 200-DMA
—%
sub-input (40%) · n=—
EW/CW Ratio
1.1338
broad >0.28 · narrow <0.22
VIX
17.8
alert >30 | panic >40
Fed Balance Sheet
$6741B
peak $9,000B | QT ended
HY Spread
270bps
trigger >400bps
HY Spread
270.00bps
Alarm >= 400.0bps
Sahm Rule
-0.07
Alarm >= 0.5
A/D Diverg
FALSE
Alarm >= True
Repo SRF
0.00B
Alarm >= 200.0B
EPS Growth
1.50%
Alarm >= 0.0%
Historical Crash Comparison Current readings vs. indicator levels at market peak before each crash
Great Depression
1929-09-03 peak
-89.2%
drawdown
Valuation + Leverage
1 indicators at or beyond
pre-crash levels
CAPE 40.73 / 32.6
Fed rate hike Aug 1929 + tightened margin requirements + Smoot-Hawley tariff fears triggered forced liquidations of heavily margined positio…
Black Monday
1987-08-25 peak
-33.5%
drawdown
Structural / Mechanical
2 indicators at or beyond
pre-crash levels
CAPE 40.73 / 18.3
VIX (pre-crash) 17.84 / 20.0
Buffett Indicator 58.3% / 55.0%
AAII Bulls 38.0% / 65.0%
Portfolio insurance feedback loop: computer programs auto-sold into a declining market, causing more declines, triggering more selling. Trip…
Dot-Com Bubble
2000-03-10 peak
-49.1%
drawdown
Valuation Extreme
1 indicators at or beyond
pre-crash levels
CAPE 40.73 / 44.2
VIX (pre-crash) 17.84 / 24.0
HY Spread 270.0 bps / 400.0 bps
Buffett Indicator 58.3% / 140.0%
AAII Bulls 38.0% / 75.0%
SKEW 147.02 / 135.0
Put/Call Ratio 0.85 / 0.55
Japan recession news Mar 13 2000 triggered global sell-off. Fed raised rates 6x in 1999-2000. Barron's article 'Burning Up' exposed cash bur…
Global Financial Crisis
2007-10-09 peak
-56.8%
drawdown
Credit / Systemic Failure
4 indicators at or beyond
pre-crash levels
CAPE 40.73 / 27.2
VIX (pre-crash) 17.84 / 10.0
HY Spread 270.0 bps / 200.0 bps
Buffett Indicator 58.3% / 110.0%
AAII Bulls 38.0% / 55.0%
SKEW 147.02 / 118.0
Put/Call Ratio 0.85 / 0.72
Sahm Rule -0.07 / 0.03
Lehman Brothers bankruptcy Sep 15 2008 detonated the shadow banking system freeze. Bear Stearns hedge funds imploded July 2007 was the first…
COVID Crash
2020-02-19 peak
-33.9%
drawdown
Exogenous Shock
3 indicators at or beyond
pre-crash levels
CAPE 40.73 / 33.0
VIX (pre-crash) 17.84 / 12.5
HY Spread 270.0 bps / 310.0 bps
Buffett Indicator 58.3% / 150.0%
AAII Bulls 38.0% / 45.0%
SKEW 147.02 / 130.0
Put/Call Ratio 0.85 / 0.52
COVID-19 pandemic + government lockdowns. WHO declared pandemic Mar 11. Research shows underlying bubble had been forming since Sep 2018. CO…
Recent Snapshots
# Timestamp MFI Score Band
139 09-11 14:56 33.90 moderate
138 09-10 14:56 33.95 moderate
137 09-07 16:21 33.56 moderate
136 09-04 14:53 33.82 moderate
135 09-03 14:56 32.89 moderate
134 09-01 15:26 32.33 moderate
133 08-31 17:57 32.18 moderate
132 08-28 21:20 32.09 moderate
131 08-27 20:57 31.32 moderate
130 08-26 11:35 30.85 moderate
Recent Alerts
Event Severity Status Time
catalyst:valuation_extreme medium failed 05-09 00:44
trigger:ad_line_divergence high failed 05-08 21:00
Indicator Velocity & Time to Threshold
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Black Swan Catalyst Monitor
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