Close · market state
Choppy Neutralheld 0 td · typically ~8 td · ~8 td left · fresh · p(stay) 0.87
0td in — ~8td of typical dwell leftfresh
age 0tdtypical dwell ~8td
SPY -0.91% since prior close; Smaller-Cap High-Beta Breakout leads (+1.12%), Broken Momentum / Avoid lags (-1.18%).
Risk-STATE gauge — monotone in forward volatility, not direction. Size to the state; don't chase the label.
Session Snapshot
CAC +0.85risk-supportive
−risk-off0+risk-on
Equitiesbroad index tape · 0/8 adv
-0.79%med
IWM -0.5%MDY -0.6%DIA -0.6%RSP -0.8%IJR -0.8%VTI -0.9%SPY -0.9%QQQ -1.3%
Rates & Creditduration + credit spread · 3/4 adv
+0.09%med
TLT +0.4%IEF +0.1%LQD +0.1%HYG -0.1%
Commodities & FXgold · oil · the dollar · 3/3 adv
+0.83%med
USO +3.5%GLD +0.8%UUP +0.0%
Globalnot in snapshot
No proxy for this band in the current snapshot — data-plumbing follow-up.
SPY-0.9%rvol 1.1
QQQ-1.3%rvol 1.4
DIA-0.6%rvol 1.2
IWM-0.5%rvol 1.3
MDY-0.6%rvol 0.6
IJR-0.8%rvol 1.1
RSP-0.8%rvol 1.3
VTI-0.9%rvol 1.1
XLK-0.8%rvol 1.1
XLF-0.8%rvol 1.4
XLE+1.0%rvol 1.1
XLV-0.3%rvol 0.9
XLI-0.3%rvol 1.0
XLY-1.6%rvol 1.1
XLP-0.7%rvol 1.6
XLU-0.6%rvol 1.1
XLB-0.7%rvol 0.7
XLC-2.0%rvol 1.1
XLRE-0.1%rvol 0.8
MTUM-0.3%rvol 2.1
VLUE-0.0%rvol 0.2
QUAL-1.2%rvol 0.8
USMV-0.4%rvol 1.1
SPLV-0.5%rvol 0.8
SPHB-1.3%rvol 1.8
IWF-1.4%rvol 1.3
IWD-0.5%rvol 0.6
VUG-1.4%rvol 1.3
VTV-0.3%rvol 1.1
SMH-1.9%rvol 2.2
XBI+1.6%rvol 1.2
ITA+0.0%rvol 1.1
KRE-1.7%rvol 1.0
XHB-2.3%rvol 0.6
TAN-0.5%rvol 0.7
TLT+0.4%rvol 0.8
IEF+0.1%rvol 1.1
HYG-0.1%rvol 1.2
LQD+0.1%rvol 0.9
GLD+0.8%rvol 0.9
USO+3.5%rvol 1.2
UUP+0.0%rvol 0.5
The market session closes under a fresh Choppy Neutral regime (confidence 0.87), with the composite score at a subdued 0.065. Trend inputs register a modest three-day decline of -1.06% against a backdrop where 63.9% of components hold above their 50-day moving averages yet the advance-decline ratio prints at 0.48. Intraday range measures 81% of the 20-day average true range, and the style score of -1.5 underscores a pronounced rotation toward low-volatility and away from momentum. The regime transition assigns an 87% one-day persistence probability.
SPY-0.91%gap -1.15% · open +0.24%
Best factor+1.12%Smaller-Cap High-Beta Breakout
Worst factor-1.18%Broken Momentum / Avoid
Breadth8%baskets +ve · A/D 325/674
Actionable Trading Ideas
High convictionregime:04 · n=506
Size the book to Choppy Neutral, don't chase it — the label reads forward volatility, not direction (persists ~8 td, p_stay 0.87).
Regime context — size to the state: Choppy Neutral
Choppy Neutral (composite 0.07, confidence 0.87)
InvalidationInvalidated on a confirmed regime transition (the two-run confirmation rule).
why / how
EvidenceThis regime historically persists ~8 td, p_stay 0.87. Labels are monotone in forward VOLATILITY, not direction — Distribution Risk historically preceded the BEST fwd-20d returns (+2.54%).
ExpressSet gross/net to the volatility state, not the label's tone; keep position sizing modest here.
FramingA risk-state gauge: size positions, do not chase direction off the label.
Medium convictiongap:01 · n=74435
Fade SPY's down-gap into the close — down-gaps ≥1% have bounced +13bps (n=74,435, 51.6% up); tiny edge, tight risk.
Gap fade — down-gap bounce into the close
NFLX gapped -11.93% at the open
InvalidationInvalidated if the gap keeps trending down through 10:30 on expanding volume.
why / how
EvidenceDown-gaps >=1% have bounced +13-14bps from 10:00 into the close (n=74,435, t=14.3, 51.6% up); strongest faders DIA/XLE/XLI/KRE/MDY/SPY.
ExpressFade intraday weakness in SPY, XLI from ~10:00 ET toward the close.
FramingA small positive-expectancy mean-reversion, not a conviction long — tiny edge, tight risk.
Medium convictionsigma:04 · n=252
Fade Semis - Market w1 back toward its mean — a 2.4σ compressed vs 252d has historically reverted more than it ran.
Stretched factor — mean-reversion watch: Semis - Market w1
Semis - Market w1 = -7.21% (-2.42σ vs 252d)
InvalidationInvalidated if the print keeps widening on rising volume or a fresh regime break confirms the move.
why / how
Evidence2.42σ compressed vs 252d (n=252). Factor and regime extremes are risk-STATE signals, not direction calls (ref: the -3.45σ Momentum-LowVol week).
ExpressExpress via the pair: fade the leg that ran — long SPY / short SMH (or trim the spread).
FramingA >=2σ dislocation has historically reverted more often than it extends — this is a fade-the-extreme probability, not a directional forecast.
Medium convictionsigma:04 · n=252
Fade Growth - Value w1 back toward its mean — a 2.1σ compressed vs 252d has historically reverted more than it ran.
Stretched factor — mean-reversion watch: Growth - Value w1
Growth - Value w1 = -4.09% (-2.12σ vs 252d)
InvalidationInvalidated if the print keeps widening on rising volume or a fresh regime break confirms the move.
why / how
Evidence2.12σ compressed vs 252d (n=252). Factor and regime extremes are risk-STATE signals, not direction calls (ref: the -3.45σ Momentum-LowVol week).
ExpressExpress via the pair: fade the leg that ran — long IWD / short IWF (or trim the spread).
FramingA >=2σ dislocation has historically reverted more often than it extends — this is a fade-the-extreme probability, not a directional forecast.
Low convictionwarehouse:09
Trade MARA two-sided, not as a squeeze long — crowded short float carries ~2.5x baseline odds of a big move both ways.
Event risk — crowded short float
MARA short float 28.0% (13 names >=20%)
InvalidationNot a trade until a catalyst and confirmation align.
why / how
EvidenceHigh short-float names carry ~2.5x baseline odds of a +15% 10-day move (16.9% vs 6.8%), in BOTH directions.
ExpressTreat MARA, PATH, HIMS, TNGX as elevated-variance event risk; size for a two-sided move, not a squeeze long.
FramingEvent risk, not a buy signal — the distribution is fat-tailed both ways.
Intraday Factor Moves
Smaller-Cap High-Beta Breakout+1.12%
31 names · 100% cov · rvol 0.53
move vs all baskets today
-1%med -0%+1%
+1.12%100ᵗʰ pctile
ID+1.1%
1D+1.1%
3D-0.4%
1W+0.5%
MTD+2.5%
1M+19.1%
3M+54.7%
YTD+75.3%
1Y+122.0%
2Y+132.2%
Unclassified / Insufficient Data thin — n<10+0.08%
8 names · 100% cov · rvol 0.62
move vs all baskets today
-1%med -0%+1%
+0.08%89ᵗʰ pctile
ID+0.1%
1D+0.1%
3D-1.3%
1W-2.9%
MTD-4.2%
1M+4.3%
3M+15.5%
YTD+36.5%
Institutional Large-Cap Accumulation-0.18%
35 names · 100% cov · rvol 0.84
move vs all baskets today
-1%med -0%+1%
-0.18%78ᵗʰ pctile
ID-0.2%
1D-0.2%
3D+1.1%
1W+2.6%
MTD+5.4%
1M+9.9%
3M+28.4%
YTD+26.9%
1Y+35.5%
2Y+57.7%
Oversold / Mean-Reversion Watch-0.21%
41 names · 98% cov · rvol 0.92
move vs all baskets today
-1%med -0%+1%
-0.21%67ᵗʰ pctile
ID-0.2%
1D-0.2%
3D-7.8%
1W-12.0%
MTD-21.7%
1M-25.5%
3M-11.8%
YTD+15.9%
1Y+55.1%
2Y+156.1%
Thematic Momentum Leadership-0.42%
81 names · 100% cov · rvol 0.68
move vs all baskets today
-1%med -0%+1%
-0.42%56ᵗʰ pctile
ID-0.4%
1D-0.4%
3D+1.3%
1W+1.3%
MTD+3.9%
1M+9.7%
3M+26.5%
YTD+31.5%
1Y+47.9%
2Y+67.5%
Extended Momentum Risk-0.47%
42 names · 100% cov · rvol 0.69
move vs all baskets today
-1%med -0%+1%
-0.47%44ᵗʰ pctile
ID-0.5%
1D-0.5%
3D+3.6%
1W+6.0%
MTD+13.3%
1M+19.4%
3M+20.8%
YTD+21.7%
1Y+25.1%
2Y+33.7%
Low-Vol Aligned Uptrend-0.56%
135 names · 99% cov · rvol 0.74
move vs all baskets today
-1%med -0%+1%
-0.56%33ᵗʰ pctile
ID-0.6%
1D-0.6%
3D+1.4%
1W+1.6%
MTD+2.3%
1M+4.1%
3M+7.8%
YTD+13.8%
1Y+17.9%
2Y+26.5%
Neutral / Transition-0.72%
501 names · 100% cov · rvol 0.70
move vs all baskets today
-1%med -0%+1%
-0.72%22ᵗʰ pctile
ID-0.7%
1D-0.7%
3D-0.7%
1W-1.0%
MTD-2.0%
1M-0.6%
3M+7.4%
YTD+20.5%
1Y+38.8%
2Y+54.8%
Broken Momentum / Avoid-1.18%
130 names · 100% cov · rvol 0.66
move vs all baskets today
-1%med -0%+1%
-1.18%11ᵗʰ pctile
ID-1.2%
1D-1.2%
3D-0.6%
1W-1.3%
MTD-1.2%
1M-6.7%
3M-17.5%
YTD-16.7%
1Y-12.4%
2Y+7.1%
Factor performance reflects a pronounced risk-off rotation. The style composite scores -1.5, driven by low-volatility outperformance: momentum minus low-vol returns -4.9% on the week, high-beta minus low-vol returns -6.5%, and growth minus value returns -4.1%. Credit spreads were essentially unchanged. Among the production factor baskets, 'Broken Momentum / Avoid' fell -1.18% intraday, while 'High-Vol Momentum' managed a 1.11% gain, but the weekly picture favors the latter at +1.89% versus -1.30%.
Sector Rotation
Energy+0.96%
Health Care+0.08%
Real Estate-0.29%
Information Technology-0.36%
Utilities-0.68%
Materials-0.74%
Consumer Staples-0.83%
Financials-0.90%
Industrials-1.01%
Consumer Discretionary-1.19%
Communication Services-1.26%
Sector rotation featured a sharp bifurcation. Energy advanced 0.96% intraday and 3.8% for the week, with 70% of members positive, while Communication Services fell 1.26% on the day and -0.31% weekly on just 20.9% advancing breadth. Health Care was the only other sector to close positive, up 0.08%, while Consumer Discretionary dropped 1.19%. The sector wave map assigns Consumer Staples to a basing/early-cycle regime with an opportunity score of 71.0, while Information Technology and Industrials also sit in basing/early-cycle with scores of 67.2 and 65.4.
Themes and Keyword Baskets
Cybersecurity-0.1%1D
94 names · 70% covaggregate only
ID-0.1%WTD+1.1%MTD+2.6%YTD+14.7%
Healthcare / Biotech degraded-0.1%1D
673 names · 59% cov
ID-0.2%WTD-1.6%MTD+0.0%YTD+23.4%
Oil & Gas-0.1%1D
269 names · 85% cov
ID-0.2%WTD+0.5%MTD-0.1%YTD+19.2%
Defense / Aerospace-0.2%1D
202 names · 79% cov
ID-0.3%WTD-4.2%MTD-9.1%YTD+23.3%
Energy Transition-0.3%1D
240 names · 82% cov
ID-0.6%WTD-2.2%MTD-6.4%YTD+20.2%
Industrial Automation-0.4%1D
494 names · 77% covaggregate only
ID-0.6%WTD-1.1%MTD-3.6%YTD+21.8%
Financials / Credit-0.4%1D
646 names · 63% cov
ID-0.8%WTD+1.4%MTD+3.1%YTD+14.2%
Commodities / Materials-0.4%1D
161 names · 75% cov
ID-0.8%WTD-1.9%MTD-5.6%YTD+8.3%
Macro Rates / Inflation-0.4%1D
506 names · 77% covaggregate only
ID-0.7%WTD+0.2%MTD-0.5%YTD+15.5%
AI Infrastructure-0.4%1D
838 names · 80% covaggregate only
ID-0.8%WTD-2.1%MTD-3.7%YTD+20.3%
Cloud Software-0.5%1D
258 names · 79% covaggregate only
ID-0.8%WTD+0.0%MTD+2.9%YTD+14.2%
Housing / Real Estate-0.5%1D
439 names · 71% cov
ID-0.9%WTD+1.6%MTD+0.4%YTD+12.6%
Semiconductors-0.5%1D
188 names · 90% cov
ID-0.7%WTD-4.9%MTD-10.2%YTD+48.7%
Consumer / Retail-0.5%1D
467 names · 75% cov
ID-0.9%WTD+1.4%MTD+1.5%YTD+9.4%
Crypto / Digital Assets-0.7%1D
150 names · 69% covaggregate only
ID-1.1%WTD-0.9%MTD+0.9%YTD+12.3%
Thematic performance was defensive. Cybersecurity edged down 0.14% intraday but posted a 1.06% weekly gain on 43.2% advancing breadth. Oil & Gas slipped 0.22% on the day, with weekly return of 0.49%. In contrast, Defense/Aerospace dropped 4.17% this week, and Energy Transition fell 2.18%. Crypto/Digital Assets was the weakest theme, off 1.1% intraday and -0.89% weekly, with only 20% of constituents positive. Healthcare/Biotech showed a weekly loss of 1.58% amid degraded coverage.
Sigma Board
−3σ0+3σ
Semis - Market w1spread · -7.21% · 252d · n=252-2.42σ
Growth - Value w1spread · -4.09% · 252d · n=252-2.12σ
HighBeta - LowVol w1spread · -6.52% · 252d · n=252-1.98σ
Momentum - LowVol w1spread · -4.89% · 252d · n=252-1.81σ
% above SMA200breadth · 68.47 · 60d · n=60+1.49σ
Broken Momentum / Avoid d1basket · -1.18% · 60d · n=32-1.46σ
Neutral / Transition d1basket · -0.72% · 60d · n=32-1.18σ
Adv/Dec ratiobreadth · 0.48 · 60d · n=60-1.03σ
The sigma board highlights three notable distribution volume events: ISRG (rvol 4.17, -13.6%), NFLX (rvol 3.06, -7.6%), and SNPS (rvol 2.87, -8.7%). The Oversold / Mean-Reversion Watch basket carries the most elevated volume profile, with a median rvol of 0.92 and 10% of members exceeding 1.5x normal turnover. In contrast, the Smaller-Cap High-Beta Breakout and Extended Momentum Risk baskets register zero members above the 1.5x threshold, underscoring a lack of institutional buying pressure in high-beta segments.
Factor × Sector Map
Extended Momentum Riskn5
Energy
+2.4%1D
ID+2.4%WTD+12.2%MTD+25.5%
Smaller-Cap High-Beta Breakoutn21
Health Care
+2.0%1D
ID+2.0%WTD-0.3%MTD+1.9%
Thematic Momentum Leadershipn19
Health Care
+1.3%1D
ID+1.3%WTD-0.3%MTD+1.9%
Extended Momentum Riskn3
Real Estate
+1.2%1D
ID+1.2%WTD+6.2%MTD+8.6%
Unclassified / Insufficient Datan3
Information Technology
+1.0%1D
ID+1.0%WTD-5.8%MTD-4.9%
Neutral / Transitionn25
Energy
+1.0%1D
ID+1.0%WTD+3.1%MTD+5.7%
Low-Vol Aligned Uptrendn5
Communication Services
+0.8%1D
ID+0.8%WTD+3.0%MTD+2.1%
Institutional Large-Cap Accumulationn5
Health Care
+0.4%1D
ID+0.4%WTD+2.5%MTD+3.0%
Oversold / Mean-Reversion Watchn7
Industrials
+0.2%1D
ID+0.2%WTD-10.7%MTD-19.8%
Institutional Large-Cap Accumulationn7
Information Technology
+0.2%1D
ID+0.2%WTD+4.8%MTD+7.2%
Broken Momentum / Avoidn5
Energy
+0.2%1D
ID+0.2%WTD-1.2%MTD-5.9%
Oversold / Mean-Reversion Watchn22
Information Technology
+0.0%1D
ID+0.0%WTD-13.2%MTD-23.4%
Neutral / Transitionn18
Real Estate
-0.0%1D
ID-0.0%WTD+3.1%MTD+2.6%
Thematic Momentum Leadershipn9
Information Technology
-0.0%1D
ID-0.0%WTD+1.7%MTD+7.6%
Institutional Large-Cap Accumulationn13
Financials
-0.1%1D
ID-0.1%WTD+2.0%MTD+5.7%
Broken Momentum / Avoidn8
Real Estate
-0.2%1D
ID-0.2%WTD+1.2%MTD+2.5%
Low-Vol Aligned Uptrendn5
Health Care
-0.2%1D
ID-0.2%WTD+2.6%MTD+3.6%
Institutional Large-Cap Accumulationn5
Industrials
-0.3%1D
ID-0.3%WTD+3.2%MTD+7.3%
Thematic Momentum Leadershipn6
Real Estate
-0.3%1D
ID-0.3%WTD+4.6%MTD+6.4%
Broken Momentum / Avoidn5
Utilities
-0.4%1D
ID-0.4%WTD-1.9%MTD-2.6%
Low-Vol Aligned Uptrendn30
Financials
-0.4%1D
ID-0.4%WTD+1.8%MTD+3.8%
Neutral / Transitionn58
Health Care
-0.4%1D
ID-0.4%WTD-1.0%MTD+1.3%
Neutral / Transitionn95
Information Technology
-0.4%1D
ID-0.4%WTD-5.0%MTD-8.0%
Low-Vol Aligned Uptrendn7
Consumer Staples
-0.5%1D
ID-0.5%WTD-0.2%MTD+0.5%
Smaller-Cap High-Beta Breakoutn4
Information Technology
-0.6%1D
ID-0.6%WTD+2.1%MTD+6.7%
Low-Vol Aligned Uptrendn30
Real Estate
-0.6%1D
ID-0.6%WTD+3.1%MTD+3.5%
Neutral / Transitionn20
Materials
-0.6%1D
ID-0.6%WTD-0.1%MTD-3.5%
Thematic Momentum Leadershipn8
Consumer Discretionary
-0.6%1D
ID-0.6%WTD+2.1%MTD+4.0%
Neutral / Transitionn14
Utilities
-0.7%1D
ID-0.7%WTD-1.3%MTD-1.8%
Low-Vol Aligned Uptrendn22
Industrials
-0.7%1D
ID-0.7%WTD+1.3%MTD+1.4%
Extended Momentum Riskn9
Financials
-0.7%1D
ID-0.7%WTD+6.8%MTD+16.2%
Low-Vol Aligned Uptrendn4
Materials
-0.8%1D
ID-0.8%WTD+0.6%MTD+0.4%
Low-Vol Aligned Uptrendn23
Utilities
-0.8%1D
ID-0.8%WTD+0.4%MTD+1.6%
Neutral / Transitionn22
Consumer Staples
-0.8%1D
ID-0.8%WTD+1.6%MTD+3.8%
Broken Momentum / Avoidn16
Information Technology
-0.8%1D
ID-0.8%WTD-0.7%MTD+1.7%
Extended Momentum Riskn8
Health Care
-0.8%1D
ID-0.8%WTD+2.8%MTD+5.8%
Thematic Momentum Leadershipn6
Consumer Staples
-0.8%1D
ID-0.8%WTD+1.4%MTD+3.8%
Extended Momentum Riskn8
Information Technology
-0.9%1D
ID-0.9%WTD+5.6%MTD+15.9%
Broken Momentum / Avoidn9
Consumer Staples
-1.0%1D
ID-1.0%WTD-0.5%MTD+1.6%
Broken Momentum / Avoidn9
Materials
-1.0%1D
ID-1.0%WTD-3.3%MTD-1.9%
Neutral / Transitionn52
Financials
-1.0%1D
ID-1.0%WTD+0.1%MTD+3.3%
Neutral / Transitionn109
Industrials
-1.1%1D
ID-1.1%WTD-1.3%MTD-6.6%
Low-Vol Aligned Uptrendn3
Energy
-1.2%1D
ID-1.2%WTD+0.5%MTD-0.4%
Neutral / Transitionn67
Consumer Discretionary
-1.2%1D
ID-1.2%WTD+0.2%MTD-0.4%
Broken Momentum / Avoidn20
Consumer Discretionary
-1.2%1D
ID-1.2%WTD-1.0%MTD-2.2%
Broken Momentum / Avoidn25
Industrials
-1.2%1D
ID-1.2%WTD-1.3%MTD-5.3%
Broken Momentum / Avoidn9
Financials
-1.2%1D
ID-1.2%WTD-1.7%MTD+4.4%
Low-Vol Aligned Uptrendn4
Consumer Discretionary
-1.2%1D
ID-1.2%WTD-0.0%MTD-0.7%
Thematic Momentum Leadershipn30
Financials
-1.4%1D
ID-1.4%WTD+1.5%MTD+4.0%
Neutral / Transitionn21
Communication Services
-1.4%1D
ID-1.4%WTD-0.7%MTD+2.9%
Oversold / Mean-Reversion Watchn4
Materials
-1.6%1D
ID-1.6%WTD-10.4%MTD-18.1%
Extended Momentum Riskn4
Consumer Discretionary
-1.7%1D
ID-1.7%WTD+2.8%MTD+6.5%
Extended Momentum Riskn5
Industrials
-1.7%1D
ID-1.7%WTD+6.3%MTD+12.1%
Broken Momentum / Avoidn16
Communication Services
-1.8%1D
ID-1.8%WTD-0.5%MTD+0.1%
Oversold / Mean-Reversion Watchn3
Financials
-2.0%1D
ID-2.0%WTD-14.7%MTD-27.1%
Broken Momentum / Avoidn8
Health Care
-3.1%1D
ID-3.1%WTD-5.2%MTD-2.1%
Where each factor basket is working by sector — sorted by 1-day equal-weight return, ≥3 names per cell.
Regime Assessment
trend+0.00
breadth+0.60
volatility+0.00
rotation-0.10
size+1.20
style-1.50
p(stay 1d)0.87
p(persist 5d)0.55
expected dwell7.7 td
samplen=506
Labels are monotone in forward VOLATILITY, not direction — size positions to the risk state, don't chase the label. Transition is empirical; a label change needs two-run confirmation.
The regime shifts to Choppy Neutral with a composite score of 0.065 and high confidence of 0.87. This label, validated against forward realized volatility and drawdown frequency, enters fresh today with an expected dwell of 7.7 trading days and a 5-day persistence probability of just 0.55. The environment reflects a dead trend (score 0.0) as SPY hovers slightly below its 50-day moving average despite a 6.84% cushion above the 200-day. Rotational signals are negative at -0.1 with a noted leadership flip, while the style score of -1.5 underscores severe underperformance of momentum and high-beta factors relative to low-volatility. Net breadth holds at 0.6 amid mixed underlying readings.
Size and Breadth
| Size bucket | N | Intraday | D1 | WTD | Breadth |
|---|
| Large (>=5B) | 1004 | -0.62% | -0.62% | -0.51% | 32.5% adv |
| Micro Cap $250M-$1B | 201 | n/a | +0.00% | -2.40% | 0.0% adv |
| Nano Cap <$250M | 15 | n/a | +0.00% | +12.96% | 0.0% adv |
| Small Cap $1B-$5B | 807 | n/a | +0.00% | +0.89% | 0.0% adv |
| % > SMA50 | % > SMA200 | Advancers | Decliners | % Baskets Positive |
|---|
| 63.9% | 68.5% | 325 | 674 | 8.3% |
Small-caps outperform with a size score of 1.2, posting a daily advantage of 0.39% over large caps and 1.53% over the trailing month. However, breadth remains fragile: only 63.86% of stocks hold above their 50-day moving average, while the advance-decline ratio sits at 0.482, indicating more decliners than advancers. Sector-level breadth diverges sharply—Energy advances at 70% while Utilities languishes at 11.36% and Communication Services at 20.93%. Just 8.33% of production baskets are net-positive, confirming narrow leadership.
Volume and Participation
| Dimension | Basket | Median RVol | % Members RVol>1.5 |
|---|
| production | Broken Momentum / Avoid | 0.66 | 3.1% |
| production | Extended Momentum Risk | 0.69 | 0.0% |
| production | Institutional Large-Cap Accumulation | 0.84 | 5.7% |
| production | Low-Vol Aligned Uptrend | 0.74 | 2.3% |
| production | Neutral / Transition | 0.70 | 1.8% |
| production | Oversold / Mean-Reversion Watch | 0.92 | 10.0% |
| production | Smaller-Cap High-Beta Breakout | 0.53 | 0.0% |
| production | Thematic Momentum Leadership | 0.68 | 1.2% |
| production | Unclassified / Insufficient Data | 0.62 | 0.0% |
| Ticker | Basket | RVol | Return | Note |
|---|
| ISRG | Broken Momentum / Avoid | 4.17 | -13.56% | distribution volume |
| NFLX | Broken Momentum / Avoid | 3.06 | -7.64% | distribution volume |
| SNPS | Oversold / Mean-Reversion Watch | 2.87 | -8.65% | distribution volume |
Volume analysis reveals concentrated churn. The Oversold / Mean-Reversion Watch basket registers a median relative volume (rvol) of 0.92 with 10% of its members exceeding 1.5 rvol, pointing to active repositioning. Institutional Large-Cap Accumulation prints a 0.84 median rvol and 5.7% above 1.5, signaling institutional engagement. Conversely, Smaller-Cap High-Beta Breakout shows tepid interest at 0.53 rvol with no members above 1.5. Distribution anomalies stand out: ISRG (rvol 4.17, -13.56%), NFLX (rvol 3.06, -7.64%), and SNPS (rvol 2.87, -8.65%) all endured heavy selling on elevated turnover.
Cross-Asset Confirmation
CAC +0.85 — risk-supportive (positive = risk-supportive)
| Signal | 5d | Points |
|---|
| Credit (HYG−LQD) | +0.26% | +0.30 |
| Risk vs defensives | +1.78% | +0.40 |
| Dollar (−UUP) | +0.07% | +0.00 |
| Curve (IEF/TLT) | +0.34% | +0.15 |
Duration-in-disguise — 63d TLT beta of style spreads
| Spread | TLT β | β · SPY-ctrl | | β | %ile | Duration read |
|---|
| Momentum - LowVol | 1.34 | 0.15 | 99% | duration-driven (current, unstable) |
| Growth - Value | 0.25 | -0.18 | 94% | duration-driven (current, unstable) |
| HighBeta - LowVol | 1.48 | -0.05 | 100% | duration-driven (current, unstable) |
| Small - Large | 0.62 | 0.67 | 98% | duration-driven (persistent) |
Opportunity Watchlist
| Ticker | Sector | Opportunity | Wave stage | Regime fit |
|---|
| OZK | Financials | 86.9 | Wave 3 / markup leader | 92.6 |
| SWKS | Information Technology | 84.6 | Wave 1 / accumulation | 89.2 |
| HPE | Information Technology | 83.9 | Wave 3-5 / breakout | 88.5 |
| MTG | Financials | 81.0 | Wave 3-5 / breakout | 87.6 |
| FE | Utilities | 81.3 | Wave 3-5 / breakout | 85.9 |
| Ticker | Since close | Vs basket | Read |
|---|
| OZK | -2.00% | -1.28% | diverges |
| SWKS | +2.74% | +2.95% | confirms |
| HPE | +1.84% | +2.56% | confirms |
| MTG | +0.72% | n/a | confirms |
| FE | -1.01% | n/a | diverges |
Current opportunities skew toward financials and technology, led by OZK (score 86.9, Wave 3 markup, regime fit 92.6). SWKS (84.6) and HPE (83.9) exhibit strong accumulation and breakout profiles with regime fits above 88, confirmed intraday by returns exceeding their basket benchmarks. MTG (81.0) and FE (81.3) also emerge as breakout candidates, though FE failed intraday confirmation. On the short side, structural patterns dominate: BMNR (bear flag, 73.58), RIOT (double top, 72.7), and SMCI (head and shoulders, 71.39) offer high-conviction setups. TMHC’s tight base (70.84) and SAIL’s bull flag (65.83) round out long considerations amid a backdrop where only 8.33% of baskets show net positive momentum.
Multi-Horizon Context
| Basket | D3 | WTD | MTD |
|---|
| production: Broken Momentum / Avoid | -0.57% | -1.30% | -1.17% |
| production: Extended Momentum Risk | +3.61% | +5.96% | +13.29% |
| production: Institutional Large-Cap Accumulation | +1.05% | +2.63% | +5.42% |
| production: Low-Vol Aligned Uptrend | +1.35% | +1.60% | +2.34% |
| production: Neutral / Transition | -0.69% | -1.04% | -2.05% |
| production: Oversold / Mean-Reversion Watch | -7.85% | -12.00% | -21.72% |
| production: Smaller-Cap High-Beta Breakout | -0.38% | +0.47% | +2.46% |
| production: Thematic Momentum Leadership | +1.27% | +1.33% | +3.87% |
| production: Unclassified / Insufficient Data | -1.28% | -2.87% | -4.23% |
| theme: AI Infrastructure | -1.88% | -2.08% | -3.74% |
| theme: Cloud Software | -0.26% | +0.01% | +2.87% |
| theme: Commodities / Materials | -1.92% | -1.88% | -5.58% |
| theme: Consumer / Retail | +2.01% | +1.42% | +1.54% |
| theme: Crypto / Digital Assets | -0.78% | -0.89% | +0.91% |
| theme: Cybersecurity | -0.93% | +1.06% | +2.56% |
| theme: Defense / Aerospace | -3.33% | -4.17% | -9.10% |
| theme: Energy Transition | -2.22% | -2.18% | -6.41% |
| theme: Financials / Credit | +1.34% | +1.39% | +3.07% |
| theme: Healthcare / Biotech | -0.45% | -1.58% | +0.04% |
| theme: Housing / Real Estate | +1.74% | +1.63% | +0.43% |
| theme: Industrial Automation | -0.54% | -1.07% | -3.56% |
| theme: Macro Rates / Inflation | +0.52% | +0.19% | -0.52% |
| theme: Oil & Gas | -0.40% | +0.49% | -0.11% |
| theme: Semiconductors | -4.40% | -4.86% | -10.19% |
| sector: Communication Services | +0.12% | -0.31% | +1.27% |
| sector: Consumer Discretionary | +1.13% | +0.26% | +0.03% |
| sector: Consumer Staples | +1.46% | +0.61% | +2.47% |
| sector: Energy | +0.53% | +3.77% | +6.60% |
| sector: Financials | +0.68% | +0.90% | +4.01% |
| sector: Health Care | +0.77% | -0.55% | +1.48% |
| sector: Industrials | -0.70% | -0.98% | -5.05% |
| sector: Information Technology | -3.69% | -4.20% | -5.97% |
| sector: Materials | -2.04% | -1.91% | -4.81% |
| sector: Real Estate | +2.62% | +3.13% | +3.51% |
| sector: Utilities | -1.32% | -0.85% | -0.61% |
| size: Large (>=5B) | -0.28% | -0.51% | -0.65% |
| size: Micro Cap $250M-$1B | -1.38% | -2.40% | -1.73% |
| size: Nano Cap <$250M | -5.38% | +12.96% | +21.60% |
| size: Small Cap $1B-$5B | +1.10% | +0.89% | +0.45% |
| style: Base Building / Coiled | -0.01% | -0.65% | -1.18% |
| style: Extended Overbought Momentum | +3.78% | +4.86% | +11.46% |
| style: High-Vol Breakdown | -3.74% | -5.05% | -8.41% |
| style: High-Vol Momentum | -0.06% | +1.89% | +4.49% |
| style: Low-Vol Uptrend | +1.42% | +1.67% | +3.00% |
| style: Momentum Breakout / Leadership | +1.68% | +3.17% | +7.55% |
| style: Neutral / Transition | -0.81% | -1.20% | -2.06% |
| style: Normal Vol/Trend | -0.70% | -0.94% | -1.23% |
| style: Oversold / Mean-Reversion Watch | -7.85% | -12.00% | -21.72% |
| style: Persistent Uptrend / Compounder | +1.41% | +1.72% | +2.57% |
| style: Weak Downtrend / Avoid Momentum | -0.57% | -1.30% | -1.17% |
Multi-horizon signals point to a fragile near-term equilibrium with a regime expected to persist just 7.7 trading days and a 5-day persistence probability of only 0.55. The stage distribution across sectors reveals dominance of Basing / early-cycle (5 sectors) and Reset within trend (4), while only 2 sectors—Financials and Consumer Discretionary—remain in Expansion / late acceleration. This configuration, combined with the fresh Choppy Neutral label, suggests a market awaiting resolution; historically, such setups precede multi-week rotations once trend reasserts, but near-term dispersion is elevated. The size factor’s monthly outperformance of 1.53% reinforces a bias toward smaller-caps if breadth broadens.
Top Single-Stock Setups (4h–1 Week)
#1TXRHConsumer Discretionary100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.7/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 641w +5.6%MACD+CMF+Force+
Last$197.55
RSI64
1wk+5.6%
ATR stop−4.5%
1-week return vs Thematic Momentum Leadership basket (n=81)
-8%+10%
#2GENInformation Technology100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.3/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 641w +3.9%MACD+CMF+Force+
Last$27.01
RSI64
1wk+3.9%
ATR stop−5.2%
1-week return vs Thematic Momentum Leadership basket (n=81)
-8%+10%
#3ADMConsumer Staples98
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.4/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 651w +5.1%MACD+CMF+Force+
Last$83.00
RSI65
1wk+5.1%
ATR stop−3.5%
1-week return vs Thematic Momentum Leadership basket (n=81)
-8%+10%
#4VTRSHealth Care98
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.2/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 651w +6.1%MACD+CMF+Force+
Last$17.33
RSI65
1wk+6.1%
ATR stop−4.3%
1-week return vs Thematic Momentum Leadership basket (n=81)
-8%+10%
#5EATConsumer Discretionary98
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.5/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 651w +2.7%MACD+CMF+Force+
Last$185.47
RSI65
1wk+2.7%
ATR stop−6.4%
1-week return vs Thematic Momentum Leadership basket (n=81)
-8%+10%
Long-only opportunity lens: names where the factor basket and the technical state agree over a 4-hour-to-1-week window. Confluence score, not a price target — size to the ATR stop and treat every setup as a probability, not a promise.
Long-only confluence screen: the factor engine's basket and the technical state pointing the same way over a 4-hour-to-1-week window.
Data Quality and Coverage
| Source | As of |
|---|
| intraday_bars | 2026-07-17T15:45:00-04:00 |
| warehouse_snapshot | 2026-07-17 |
| proxy_daily | 2026-07-16 |
| screener_artifact | 2026-07-16T20:51:58.455863-04:00 |
| grouped_daily | unavailable |
- Overall coverage: 99.6%
- Degraded baskets: theme:Healthcare / Biotech
- Missing archived report days: 2026-07-01, 2026-07-02, 2026-07-06, 2026-07-07
- Warning: thin production basket: Unclassified / Insufficient Data n_members=8 (<10); exclude from broad leadership claims
- Report generated at 2026-07-17T16:02:48-04:00; every figure above is computed deterministically from report.json