Weekly Macro Crowding Risk Brief
For: Cross-Asset Pilot

Model summary:
Macro risk analysis indicates notable positioning extremes across asset classes based on available history. Equity index futures remain net short, with Nasdaq 100 futures experiencing a large weekly position change. In fixed income, 2-Year U.S. Treasury Note futures highlight upper tail positioning, while the underlying Treasury 10-2 spread remains uninverted at 29 bps with a stress score of 0. Foreign exchange markets show significant lower tail positioning, particularly in Euro FX and Japanese Yen futures.

Weekly notes:
- Large Weekly Positioning Shift in Nasdaq 100: Nasdaq 100 Futures experienced a large weekly position change, increasing by 5.40% of open interest. Despite this movement, the market remains net short at the 22.7 percentile over the 23 observations of available history. Evidence: nasdaq100.
- Fixed Income Upper Tail Positioning and Treasury Curve: 2-Year U.S. Treasury Note Futures demonstrate upper tail positioning, reaching the 100.0 percentile of available history. This occurs as the underlying Treasury 10-2 spread rests at 29 basis points with zero curve inversion and a stress score of 0 across 13 observations of available history. Evidence: us2y_note, treasury.
- Lower Tail Positioning and Reversals in FX: Foreign exchange markets highlight pronounced lower tail positioning extremes. Euro FX Futures experienced a positioning reversal and sit at the 0.0 percentile of available history, mirrored by Japanese Yen Futures which are also net short at the 0.0 percentile. Evidence: euro_fx, japanese_yen.

Market evidence:
- S&P 500 Index Futures: S&P 500 Index Futures is net short at the 18.2 percentile of available history, with a weekly net change of 2.23% of open interest. Percentile 18.2%; WoW 2.23% of OI; flags none.
- Nasdaq 100 Futures: Nasdaq 100 Futures is net short at the 22.7 percentile of available history, marked by a large weekly position change and a net change of 5.40% of open interest. Percentile 22.7%; WoW 5.4% of OI; flags large weekly position change.
- 10-Year U.S. Treasury Note Futures: 10-Year U.S. Treasury Note Futures remains net short at the 59.1 percentile of available history, showing a minor weekly net change of -0.31% of open interest. Percentile 59.1%; WoW -0.31% of OI; flags none.
- 2-Year U.S. Treasury Note Futures: 2-Year U.S. Treasury Note Futures displays upper tail positioning, sitting net short at the 100.0 percentile across the available history. Percentile 100.0%; WoW 3.09% of OI; flags upper tail positioning.
- Euro FX Futures: Euro FX Futures indicates lower tail positioning and a positioning reversal, remaining net short at the 0.0 percentile of available history. Percentile 0.0%; WoW -3.38% of OI; flags lower tail positioning, positioning reversal.
- Japanese Yen Futures: Japanese Yen Futures shows lower tail positioning, net short at the 0.0 percentile of available history with a net weekly change of -2.33% of open interest. Percentile 0.0%; WoW -2.33% of OI; flags lower tail positioning.
- WTI Crude Oil Futures: WTI Crude Oil Futures is net short at the 72.7 percentile of available history, with a weekly net change of -0.11% of open interest. Percentile 72.7%; WoW -0.11% of OI; flags none.
- Henry Hub Natural Gas Futures: Henry Hub Natural Gas Futures exhibits upper tail positioning, net short at the 97.7 percentile of available history with flat weekly open interest change. Percentile 97.7%; WoW 0.0% of OI; flags upper tail positioning.
- Gold Futures: Gold Futures is net long at the 77.3 percentile of available history, reporting a weekly net change of -1.90% of open interest. Percentile 77.3%; WoW -1.9% of OI; flags none.
- Copper Futures: Copper Futures is net long at the 81.8 percentile of available history, with a weekly net change of -2.39% of open interest. Percentile 81.8%; WoW -2.39% of OI; flags none.

Caveats:
- Risk analysis relies on a limited available history of 23 observations for futures markets and 13 observations for Treasury data.
- Market positioning and rolling window metrics are backward-looking and do not ensure future market behavior.

Source dates:
- COT: 2026-06-09
- Treasury: 2026-06-17
- Muginn: 2026-06-18T16:58:08Z

Provenance:
- Muginn job: 7b79a17c-53f9-4f20-873d-8472b42e7c51 (gemini-cli via gemini-cli)
- Evidence hash: 100c2d77cb5de62c03798aad9dd05f4d20a5026847d66cbee2abfd6a944711f4

Risk analytics only. Not investment advice.
