Macro signals history

    Seven rule-based signals computed from Federal Reserve Economic Data (FRED). Thresholds are fixed and shown with each signal. 0 of 7 available signals are on at their latest observation.

    SignalLatestAs ofState% of history onSinceRule
    10y–2y Treasury curve0.372026-10-14Positive15.12000-01-03On when 10-year minus 2-year yield is below 0
    10y–3m Treasury curve0.822026-10-15Positive16.72000-01-03On when 10-year minus 3-month yield is below 0
    Sahm rule (real-time)0.002026-09-01Not triggered12.72020-10-01On at 0.50 or above (Sahm's published trigger)
    High-yield OAS3.252026-10-14Normal02023-10-16On when ICE BofA US High Yield spread is above 5.00%
    Investment-grade OAS0.792026-09-24Normal02023-09-26On when ICE BofA US Corporate spread is above 1.50%
    Chicago Fed NFCI-0.502026-10-09Looser than avg1.32015-01-02On when above 0 (tighter than average, per Chicago Fed)
    VIX16.872026-10-14Normal13.12010-01-04On when VIX close is above 25

    10y–2y Treasury curve

    FRED T10Y2Y

    On when 10-year minus 2-year yield is below 0. History from 2000-01-03.

    2023-11month-end state, last 36 months2026-10

    Episodes when on (latest first)

    StartEndDaysExtreme
    2024-09-052024-09-061-0.02
    2024-09-032024-09-041-0.04
    2022-07-062024-08-27783-1.08
    2022-04-012022-04-054-0.05
    2019-08-272019-08-303-0.04
    2007-05-302007-06-067-0.04
    2007-05-032007-05-2219-0.06
    2006-08-172007-03-21216-0.19
    2006-08-142006-08-162-0.01
    2006-08-072006-08-081-0.03
    2006-08-022006-08-042-0.02
    2006-06-302006-07-2727-0.07

    10y–3m Treasury curve

    FRED T10Y3M

    On when 10-year minus 3-month yield is below 0. History from 2000-01-03.

    2023-11month-end state, last 36 months2026-10

    Episodes when on (latest first)

    StartEndDaysExtreme
    2025-10-162025-10-171-0.03
    2025-09-082025-09-168-0.07
    2025-08-222025-08-297-0.04
    2025-08-202025-08-211-0.01
    2025-07-292025-08-1517-0.13
    2025-07-252025-07-283-0.02
    2025-07-212025-07-243-0.06
    2025-07-092025-07-112-0.08
    2025-06-172025-07-0821-0.17
    2025-06-112025-06-165-0.10
    2025-06-042025-06-062-0.07
    2025-05-062025-05-082-0.08

    Sahm rule (real-time)

    FRED SAHMREALTIME

    On at 0.50 or above (Sahm's published trigger). History from 2020-10-01.

    2023-09month-end state, last 36 months2026-09

    Episodes when on (latest first)

    StartEndDaysExtreme
    2024-07-012024-10-01920.57
    2020-10-012021-04-011824.20

    High-yield OAS

    FRED BAMLH0A0HYM2

    On when ICE BofA US High Yield spread is above 5.00%. History from 2023-10-16 (FRED publishes only the most recent three years of ICE BofA spreads).

    2023-11month-end state, last 36 months2026-10

    Episodes when on (latest first)

    No episodes in the stored history.

    Investment-grade OAS

    FRED BAMLC0A0CM

    On when ICE BofA US Corporate spread is above 1.50%. History from 2023-09-26 (FRED publishes only the most recent three years of ICE BofA spreads).

    2023-10month-end state, last 36 months2026-09

    Episodes when on (latest first)

    No episodes in the stored history.

    Chicago Fed NFCI

    FRED NFCI

    On when above 0 (tighter than average, per Chicago Fed). History from 2015-01-02.

    2023-11month-end state, last 36 months2026-10

    Episodes when on (latest first)

    StartEndDaysExtreme
    2020-03-132020-05-08560.30

    VIX

    FRED VIXCLS

    On when VIX close is above 25. History from 2010-01-04.

    2023-11month-end state, last 36 months2026-10

    Episodes when on (latest first)

    StartEndDaysExtreme
    2026-04-072026-04-08125.78
    2026-03-202026-04-011231.05
    2026-03-182026-03-19125.09
    2026-03-122026-03-16427.29
    2026-03-062026-03-10429.49
    2025-11-202025-11-21126.42
    2025-10-162025-10-17125.31
    2025-04-282025-04-29125.15
    2025-04-032025-04-252252.33
    2025-03-102025-03-12227.86
    2024-12-182024-12-19127.62
    2024-08-052024-08-08338.57

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