EventCOT commercial percentile (GBPUSD) invalidation
Level69.06
TimeNext weekly observation
Why it matters
Crossing this published level invalidates the current market lean.
Thesis effectDaily Thesis
SourceCFTC Legacy Futures-Only
T01TodayState vector · Sep 07, 2026
What matters in the market today?
Start with the short version. Then inspect the anomaly, signal votes, historical analogs, and the level that would invalidate the read.
- Anomaly
- -2.55σ
- Analogs
- n=50
- Falsifier
- z=0.00
The market, in one view.
Start with posture, disagreement, history, and the exact level that breaks the read. The full evidence and calculation remain below.
- Market posture
- More defensiveThe largest unusual signal currently reads risk-off, while supportive votes remain visible.
- Most unusual signal
- COT commercial percentile (GBPUSD) · -2.55σPercentile 1.9 · n=52
- Evidence balance
- 2 support · 4 oppose3 no vote under the published threshold.
- Key risk
- Credit spread proxy · +2.19σThe strongest standardized vote against the current posture.
- Historical context
- 48% positive · n=50Median SPX return after 21 sessions: -0.09%. Context, not a forecast.
- Falsification condition
- COT commercial percentile (GBPUSD) ≥ 69.06Evaluated on the next weekly observation.
- Latest complete observation
- Sep 3, 2026Newest constituent: Sep 7, 2026.
- Anomaly
- Far from recent history
- Confluence
- How many signals agree
- Analog
- A similar past setup
- Falsifier
- The level that breaks the read
Since the prior thesis
What changed?
10 observable changes since the prior completed thesis.
- directionMarket lean changed
Risk-on became risk-off.
- anomalyMost unusual signal changed
HYG/LQD was replaced by COT commercial percentile (GBPUSD).
- reversal5s30s reversed
The component changed from contradictory to supportive.
- reversal2s10s reversed
The component changed from contradictory to supportive.
- reversalVIX term structure slope reversed
The component changed from supportive to contradictory.
- reversalBroad dollar reversed
The component changed from supportive to contradictory.
- reversalRegime composite reversed
The component changed from supportive to contradictory.
- deactivationBreadth lost its vote
The component moved below the published vote threshold or lost sufficient coverage.
- agreementEvidence balance changed
4 agree, 2 disagree, 3 no vote became 2 agree, 4 disagree, 3 no vote.
- coverageComplete observation window advanced
2026-08-10 became 2026-09-03.
Latest complete cross-asset observationSep 03, 2026
Newer constituent coverage through Sep 07, 2026. Published Sep 07, 2026. Captured Sep 7, 7:46 PM CDT.
COT commercial percentile (GBPUSD) printed 38.0 percentile, 2.55 standard deviations below its prior 52-observation mean, the largest absolute state-vector z-score.
- Direction
- Risk-off
- Percentile
- 1.9 · n=52
- Observation date
- Sep 01, 2026
02 · Confluence
2 components agree with the risk-off direction, 4 disagree, and 3 have no vote.
Transform each mapped component z-score into risk direction and count absolute component z-scores below 0.50 as no vote. Cross-asset COT has no single risk-direction mapping and receives no vote. Formula · Source
Agree
n=2- 5s30s-1.76σ5s30s Treasury curve · n=1 dimensions
- 2s10s-1.12σ2s10s Treasury curve · n=1 dimensions
Disagree
n=4- Credit spread proxy+2.19σHYG/LQD · n=1 dimensions
- VIX term structure slope+0.95σVIX3M/VIX slope · n=1 dimensions
- Broad dollar+0.90σBroad dollar index · n=1 dimensions
- Regime composite+0.66σRegime composite · n=1 dimensions
No vote
n=3- Breadth+0.28σRSP/SPY breadth · n=1 dimensions
- Net GEX·No standardized history · n=0 dimensions
- Max pain distance·No standardized history · n=0 dimensions
03 · Analog
Across n=50 analogs, SPX +21-session returns had a -0.09% median, 48.0% positive hit rate, and -4.14% worst decile; ES had a -0.23% median, 48.0% positive hit rate, and -4.03% worst decile.
Derived artifact · n=50 · Formula · Cosine distance over shared finite dimensions after each date is standardized against only its prior 252 sessions.
SPX · +21 sessionsn=50
1-8.86% to -7.05%
2-7.05% to -5.23%
3-5.23% to -3.41%
9-3.41% to -1.60%
12-1.60% to +0.22%
8+0.22% to +2.03%
11+2.03% to +3.85%
3+3.85% to +5.67%
0+5.67% to +7.48%
1+7.48% to +9.30%
ES · +21 sessionsn=50
1-8.84% to -7.06%
2-7.06% to -5.27%
3-5.27% to -3.49%
8-3.49% to -1.71%
12-1.71% to +0.07%
10+0.07% to +1.86%
9+1.86% to +3.64%
4+3.64% to +5.42%
0+5.42% to +7.20%
1+7.20% to +8.98%
| Series | Horizon | Positive | Median | Worst decile | Range | Sample |
|---|---|---|---|---|---|---|
| SPX | +1 session | 38.0% | -0.12% | -1.31% | -2.57% to +3.09% | n=50 |
| SPX | +5 sessions | 42.0% | -0.20% | -1.66% | -3.40% to +4.55% | n=50 |
| SPX | +21 sessions | 48.0% | -0.09% | -4.14% | -8.86% to +9.30% | n=50 |
| ES | +1 session | 40.0% | -0.09% | -1.29% | -2.56% to +3.01% | n=50 |
| ES | +5 sessions | 42.0% | -0.22% | -1.72% | -3.33% to +4.82% | n=50 |
| ES | +21 sessions | 48.0% | -0.23% | -4.03% | -8.84% to +8.98% | n=50 |
The read is invalid if COT commercial percentile (GBPUSD) records at or above 69.1 percentile, the z=0.00 level from the prior n=52 observations, on its next weekly print.
Next monitored set
What to watch next.
The thesis break level comes first. Scheduled releases follow only when their published timing can affect a component in the evidence system.
EventConsumer Price Index
LevelPublished schedule
TimeFri, Sep 11 · 8:30 a.m. ET
Why it matters
Inflation can reprice the Treasury curve and the market regime used by the thesis.
Thesis effectRates, regime, dollar
EventFederal Reserve decision
LevelPublished schedule
TimeWed, Sep 16 · 2:00 p.m. ET
Why it matters
Policy language can change the rates curve, dollar, and volatility inputs together.
Thesis effectRates, dollar, volatility
SourceFederal Reserve
EventGross Domestic Product
LevelPublished schedule
TimeWed, Sep 30 · 8:30 a.m. ET
Why it matters
Growth revisions can alter the regime and the historical setup used for comparison.
Thesis effectRegime, rates, analog context
Published timing is informational and may be revised by the publishing agency. Open the full sourced calendar.