Market Fragility Index
34.43
MODERATE
0255075100
STATE:PRIMED — Watch
Low current stress, but elevated vs history. Structural fragility (valuation/concentration/sentiment) is elevated while acute stress (credit/liquidity/macro) is calm.
STRESS LEVEL
mfi_score
34.43
MODERATE
HISTORICAL RANK
mfi_v2_rt
89.7
(90th pct)
ELEVATED
Stress Level = how much real fragility exists now. Historical Rank = how today compares to all months since 1990. They can differ — moderate stress can still rank high vs a calm past.
MFI Score — Recent History (absolute + percentile)
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%
61
Credit
14%
9
Liquidity
14%
4
Sentiment
12%
50
Macro
12%
10
Breadth (composite)
10%
46
Earnings
10%
40
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
41.7
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
149.6
hist avg ~130 | alert >155
AAII Bullish
44.9%
avg ~38% | danger >55%
Put/Call Ratio
0.850
normal ~0.85 | low<0.65=risk
Breadth Composite (MFI)
46.1
60/40 EW/CW + %200DMA · spx_equal_weight_vs_spx v2026.08.1
EW/CW Z-Score (12m)
0.15
sub-input (60%)
% Above 200-DMA
—%
sub-input (40%) · n=—
EW/CW Ratio
1.1564
broad >0.28 · narrow <0.22
VIX
16.4
alert >30 | panic >40
Fed Balance Sheet
$6736B
peak $9,000B | QT ended
HY Spread
275bps
trigger >400bps
HY Spread
275.00bps
Alarm >= 400.0bps
Sahm Rule
0.10
Alarm >= 0.5
A/D Diverg
FALSE
Alarm >= True
Repo SRF
0.00B
Alarm >= 200.0B
EPS Growth
2.10%
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
pre-crash levels
CAPE
41.72
/ 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
pre-crash levels
CAPE
41.72
/ 18.3
VIX (pre-crash)
16.45
/ 20.0
Buffett Indicator
57.9%
/ 55.0%
AAII Bulls
44.9%
/ 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
pre-crash levels
CAPE
41.72
/ 44.2
VIX (pre-crash)
16.45
/ 24.0
HY Spread
275.0 bps
/ 400.0 bps
Buffett Indicator
57.9%
/ 140.0%
AAII Bulls
44.9%
/ 75.0%
SKEW
149.6
/ 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
5
indicators at or beyond
pre-crash levels
pre-crash levels
CAPE
41.72
/ 27.2
VIX (pre-crash)
16.45
/ 10.0
HY Spread
275.0 bps
/ 200.0 bps
Buffett Indicator
57.9%
/ 110.0%
AAII Bulls
44.9%
/ 55.0%
SKEW
149.6
/ 118.0
Put/Call Ratio
0.85
/ 0.72
Sahm Rule
0.1
/ 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
pre-crash levels
CAPE
41.72
/ 33.0
VIX (pre-crash)
16.45
/ 12.5
HY Spread
275.0 bps
/ 310.0 bps
Buffett Indicator
57.9%
/ 150.0%
AAII Bulls
44.9%
/ 45.0%
SKEW
149.6
/ 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 |
|---|---|---|---|
| 112 | 07-01 17:30 | 34.43 | moderate |
| 111 | 06-27 21:00 | 39.14 | moderate |
| 110 | 06-25 21:00 | 33.14 | moderate |
| 109 | 06-20 05:12 | 35.50 | moderate |
| 108 | 06-20 05:12 | 35.50 | moderate |
| 107 | 06-20 04:37 | 36.06 | moderate |
| 106 | 06-20 04:26 | 36.06 | moderate |
| 105 | 06-20 04:14 | 36.06 | moderate |
| 104 | 06-20 03:58 | 36.06 | moderate |
| 103 | 06-20 03:50 | 36.06 | 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
Computing rate-of-change across all indicators…
Black Swan Catalyst Monitor
Fetching live news analysis…