Midday · market state
Choppy Neutralheld 2 td · typically ~8 td · ~6 td left · fresh · p(stay) 0.87
2td in — ~6td of typical dwell leftfresh
age 2tdtypical dwell ~8td
SPY +0.87% since prior close; Oversold / Mean-Reversion Watch leads (+3.54%), Institutional Large-Cap Accumulation lags (-0.59%).
Risk-STATE gauge — monotone in forward volatility, not direction. Size to the state; don't chase the label.
Session Snapshot
CAC +0.15mixed
−risk-off0+risk-on
Equitiesbroad index tape · 8/8 adv
+0.91%med
QQQ +1.9%IWM +1.2%MDY +1.0%IJR +0.9%VTI +0.9%DIA +0.9%SPY +0.9%RSP +0.3%
Rates & Creditduration + credit spread · 0/4 adv
-0.23%med
HYG -0.0%IEF -0.2%LQD -0.2%TLT -0.3%
Commodities & FXgold · oil · the dollar · 3/3 adv
+1.62%med
USO +2.5%GLD +1.6%UUP +0.2%
Globalnot in snapshot
No proxy for this band in the current snapshot — data-plumbing follow-up.
SPY+0.9%rvol 0.8
QQQ+1.9%rvol 1.1
DIA+0.9%rvol 1.3
IWM+1.2%rvol 1.0
MDY+1.0%rvol 1.0
IJR+0.9%rvol 1.4
RSP+0.3%rvol 1.0
VTI+0.9%rvol 1.1
XLK+2.7%rvol 1.1
XLF+0.4%rvol 1.0
XLE+0.5%rvol 1.0
XLV+0.2%rvol 1.0
XLI+0.8%rvol 0.8
XLY+0.4%rvol 1.1
XLP-0.9%rvol 0.9
XLU-0.1%rvol 1.1
XLB+0.7%rvol 1.0
XLC-0.6%rvol 0.7
XLRE+0.2%rvol 1.1
MTUM+4.0%rvol 0.9
VLUE+3.2%rvol 0.2
QUAL+0.6%rvol 0.8
USMV+0.1%rvol 0.9
SPLV-0.4%rvol 0.9
SPHB+3.3%rvol 0.6
IWF+1.5%rvol 0.7
IWD+0.2%rvol 0.4
VUG+0.9%rvol 2.0
VTV+0.8%rvol 1.8
SMH+4.4%rvol 0.9
XBI+1.8%rvol 1.1
ITA+0.9%rvol 0.8
KRE-0.4%rvol 2.1
XHB+0.4%rvol 1.0
TAN+2.0%rvol 0.6
TLT-0.3%rvol 0.8
IEF-0.2%rvol 0.6
HYG-0.0%rvol 1.6
LQD-0.2%rvol 1.3
GLD+1.6%rvol 1.2
USO+2.5%rvol 2.0
UUP+0.2%rvol 0.7
Midday trading on July 21, 2026, shows a sharp risk-on tilt with Information Technology up 2.0% and Industrials advancing 1.37%. Mean-reversion and semiconductor themes lead, jumping 3.54% and 3.16% respectively. Breadth is strong, with 77.7% of Industrials and 66.7% of Health Care members positive. Volume anomalies flag DHR distributing 13.18% lower on 10.8x average volume, while MMM breaks out 8.52% higher on 6.14x volume. The Choppy Neutral regime persists with a composite score of 0.28, as heightened intraday volatility drives abrupt sector rotations and factor reversals.
SPY+0.87%gap +0.57% · open +0.30%
Best factor+3.54%Oversold / Mean-Reversion Watch
Worst factor-0.59%Institutional Large-Cap Accumulation
Breadth68%baskets +ve · A/D 558/442
Actionable Trading Ideas
High convictionsigma:04 · n=34
Fade Oversold / Mean-Reversion Watch d1 back toward its mean — a 2.8σ extended vs 60d has historically reverted more than it ran.
Stretched factor — mean-reversion watch: Oversold / Mean-Reversion Watch d1
Oversold / Mean-Reversion Watch d1 = +3.54% (+2.81σ vs 60d)
InvalidationInvalidated if the print keeps widening on rising volume or a fresh regime break confirms the move.
why / how
Evidence2.81σ extended vs 60d (n=34). Factor and regime extremes are risk-STATE signals, not direction calls (ref: the -3.45σ Momentum-LowVol week).
ExpressTrim or rotate exposure in the named basket; do not add into the extreme.
FramingA >=2σ dislocation has historically reverted more often than it extends — this is a fade-the-extreme probability, not a directional forecast.
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 0.28, 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 convictionsigma:04 · n=252
Fade Momentum - LowVol d1 back toward its mean — a 2.5σ extended vs 252d has historically reverted more than it ran.
Stretched factor — mean-reversion watch: Momentum - LowVol d1
Momentum - LowVol d1 = +3.92% (+2.52σ vs 252d)
InvalidationInvalidated if the print keeps widening on rising volume or a fresh regime break confirms the move.
why / how
Evidence2.52σ extended 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 USMV / short MTUM (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 convictiongap:01 · n=74435
Fade DHR'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
DHR gapped -16.05% 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 DHR, EFX, MSCI, RGEN, NOC from ~10:00 ET toward the close.
FramingA small positive-expectancy mean-reversion, not a conviction long — tiny edge, tight risk.
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
Oversold / Mean-Reversion Watch+3.54%
47 names · 98% cov · rvol 1.16
move vs all baskets today
-1%med +0%+4%
+3.54%100ᵗʰ pctile
ID+3.5%
1D+3.5%
3D+0.1%
1W-5.8%
MTD-16.6%
1M-21.3%
3M-16.6%
YTD+4.4%
1Y+31.1%
2Y+121.0%
Unclassified / Insufficient Data thin — n<10+1.98%
8 names · 100% cov · rvol 0.89
move vs all baskets today
-1%med +0%+4%
+1.98%89ᵗʰ pctile
ID+2.0%
1D+2.0%
3D+1.1%
1W-0.4%
MTD-3.5%
1M+1.1%
3M+10.5%
YTD+37.1%
Neutral / Transition+1.06%
520 names · 100% cov · rvol 0.72
move vs all baskets today
-1%med +0%+4%
+1.06%78ᵗʰ pctile
ID+1.1%
1D+1.1%
3D-0.2%
1W-0.3%
MTD-1.9%
1M+0.2%
3M+5.9%
YTD+22.9%
1Y+41.0%
2Y+57.3%
Smaller-Cap High-Beta Breakout+0.46%
35 names · 100% cov · rvol 0.70
move vs all baskets today
-1%med +0%+4%
+0.46%67ᵗʰ pctile
ID+0.5%
1D+0.5%
3D+0.9%
1W-0.8%
MTD+4.2%
1M+14.3%
3M+47.5%
YTD+74.6%
1Y+122.3%
2Y+130.0%
Broken Momentum / Avoid+0.35%
152 names · 100% cov · rvol 0.81
move vs all baskets today
-1%med +0%+4%
+0.35%56ᵗʰ pctile
ID+0.3%
1D+0.3%
3D-1.9%
1W-0.8%
MTD-1.9%
1M-3.9%
3M-16.6%
YTD-15.8%
1Y-12.5%
2Y+6.4%
Thematic Momentum Leadership+0.09%
84 names · 100% cov · rvol 0.65
move vs all baskets today
-1%med +0%+4%
+0.09%44ᵗʰ pctile
ID+0.1%
1D+0.1%
3D-0.6%
1W+1.3%
MTD+5.0%
1M+10.6%
3M+22.5%
YTD+28.6%
1Y+39.3%
2Y+50.0%
Low-Vol Aligned Uptrend-0.28%
104 names · 99% cov · rvol 0.71
move vs all baskets today
-1%med +0%+4%
-0.28%33ᵗʰ pctile
ID-0.3%
1D-0.3%
3D-1.3%
1W+0.8%
MTD+2.4%
1M+5.7%
3M+6.2%
YTD+13.5%
1Y+16.0%
2Y+24.8%
Extended Momentum Risk-0.31%
24 names · 100% cov · rvol 0.84
move vs all baskets today
-1%med +0%+4%
-0.31%22ᵗʰ pctile
ID-0.3%
1D-0.3%
3D+2.0%
1W+5.2%
MTD+15.2%
1M+24.1%
3M+24.4%
YTD+42.1%
1Y+47.5%
2Y+60.4%
Institutional Large-Cap Accumulation-0.59%
30 names · 100% cov · rvol 0.82
move vs all baskets today
-1%med +0%+4%
-0.59%11ᵗʰ pctile
ID-0.6%
1D-0.6%
3D-1.0%
1W+0.3%
MTD+5.8%
1M+11.5%
3M+27.8%
YTD+27.5%
1Y+29.8%
2Y+56.8%
Factor performance is dominated by oversold mean-reversion strategies (+3.54% intraday, +2.62% wtd) and semiconductors (+3.16% intraday). High-vol breakdown and commodities themes follow, gaining 2.26% and 2.08%. Laggards include cybersecurity (-0.92%), consumer staples (-0.70%), and momentum breakout styles (-0.37%). Week-to-date, institutional large-cap accumulation trails at -0.89%, extending underperformance. The sharp divergence underscores a violent unwinding of momentum leadership, with mean-reversion and cyclical factors capturing the rebound.
Sector Rotation
Information Technology+2.00%
Materials+1.83%
Industrials+1.37%
Health Care+0.76%
Energy+0.65%
Consumer Discretionary+0.25%
Financials+0.23%
Real Estate-0.08%
Utilities-0.12%
Communication Services-0.61%
Consumer Staples-0.70%
Sector rotation is extreme, with Information Technology surging 2.0% and Health Care up 0.76%, while defensives lag: Communication Services -0.61%, Consumer Staples -0.70%. Energy adds 0.65% intraday, extending its 7.8% mtd gain. Sector wave maps show five sectors basing or in early cycle, four resetting within trends, and Financials/Real Estate in late acceleration. The rotation score's -0.74 Spearman correlation between d1 and w1 returns confirms a rapid pivot into oversold cyclical sectors at the expense of recent defensive leaders.
Themes and Keyword Baskets
Semiconductors+2.1%1D
188 names · 90% cov
ID+3.2%WTD+1.7%MTD-9.3%YTD+51.2%
Defense / Aerospace+1.1%1D
202 names · 79% cov
ID+2.0%WTD+0.4%MTD-8.8%YTD+24.1%
Energy Transition+1.1%1D
240 names · 82% cov
ID+1.9%WTD+0.4%MTD-6.1%YTD+21.5%
Commodities / Materials+1.0%1D
161 names · 75% cov
ID+2.1%WTD-0.1%MTD-6.3%YTD+7.8%
Industrial Automation+0.9%1D
494 names · 77% covaggregate only
ID+1.6%WTD+0.2%MTD-3.9%YTD+22.2%
Crypto / Digital Assets+0.9%1D
150 names · 69% covaggregate only
ID+1.3%WTD+1.3%MTD+1.8%YTD+13.8%
AI Infrastructure+0.6%1D
838 names · 80% covaggregate only
ID+1.1%WTD+0.3%MTD-4.0%YTD+20.8%
Oil & Gas+0.5%1D
269 names · 85% cov
ID+0.9%WTD+0.2%MTD+0.2%YTD+19.8%
Macro Rates / Inflation+0.5%1D
506 names · 77% covaggregate only
ID+0.8%WTD-0.3%MTD-1.2%YTD+15.1%
Healthcare / Biotech degraded+0.4%1D
673 names · 59% cov
ID+1.1%WTD-1.2%MTD-1.0%YTD+22.6%
Financials / Credit+0.1%1D
646 names · 63% cov
ID+0.3%WTD-0.6%MTD+1.8%YTD+13.0%
Housing / Real Estate+0.0%1D
439 names · 71% cov
ID+0.0%WTD-0.9%MTD-1.0%YTD+11.3%
Consumer / Retail-0.0%1D
467 names · 75% cov
ID-0.1%WTD-0.6%MTD+0.4%YTD+8.4%
Cloud Software-0.1%1D
258 names · 79% covaggregate only
ID-0.2%WTD-0.4%MTD+2.0%YTD+13.6%
Cybersecurity-0.5%1D
94 names · 70% covaggregate only
ID-0.9%WTD-0.7%MTD+1.5%YTD+13.8%
Thematic returns are overwhelmingly positive, led by Semiconductors at +3.16% intraday and +1.74% wtd, followed by Commodities/Materials (+2.08%) and Defense/Aerospace (+2.00%). Energy Transition and Industrial Automation also gain over 1.5%. Breadth is robust, with 72.6% of Semiconductor members advancing. Conversely, Cybersecurity drops -0.92% and Cloud Software edges -0.22% lower, while Crypto/Digital Assets rise 1.30%. The dispersion highlights a concentrated rotation into growth-sensitive cyclical themes at the expense of defensive technology subsectors.
Sigma Board
−3σ0+3σ
Oversold / Mean-Reversion Watch d1basket · +3.54% · 60d · n=34+2.81σ
Momentum - LowVol d1spread · +3.92% · 252d · n=252+2.52σ
HighBeta - LowVol d1spread · +3.66% · 252d · n=252+1.95σ
Semis - Market d1spread · +3.54% · 252d · n=252+1.86σ
Growth - Value d1spread · +1.30% · 252d · n=252+1.51σ
Neutral / Transition d1basket · +1.06% · 60d · n=34+1.50σ
EqualWeight - CapWeight d1spread · -0.59% · 252d · n=252-1.13σ
Credit d1spread · +0.22% · 60d · n=60+1.00σ
The Choppy Neutral regime (composite 0.28, confidence 0.87) continues, propelled by a volatility score of 1.5 with 20-day realized vol at the 35.4th percentile and true range at 0.77x ATR20. Breadth remains supportive at 60.9% above SMA50 and 66.4% above SMA200, but rotation signals are sharply negative (Spearman d1 vs w1 -0.74), reflecting rapid leadership flips. The regime started on July 17 with an expected dwell of 7.7 trading days; the current fresh state historically precedes elevated intraday choppiness and drawdown frequency, consistent with a resetting market environment.
Factor × Sector Map
Oversold / Mean-Reversion Watchn18
Information Technology
+5.3%1D
ID+5.3%WTD+5.3%MTD-19.4%
Oversold / Mean-Reversion Watchn9
Materials
+3.5%1D
ID+3.5%WTD+1.7%MTD-11.2%
Neutral / Transitionn102
Information Technology
+2.8%1D
ID+2.8%WTD+3.2%MTD-5.8%
Low-Vol Aligned Uptrendn3
Consumer Discretionary
+2.2%1D
ID+2.2%WTD+1.0%MTD+3.9%
Oversold / Mean-Reversion Watchn9
Industrials
+2.2%1D
ID+2.2%WTD+0.1%MTD-18.3%
Broken Momentum / Avoidn6
Materials
+2.0%1D
ID+2.0%WTD+0.8%MTD-1.0%
Institutional Large-Cap Accumulationn3
Health Care
+1.9%1D
ID+1.9%WTD+1.4%MTD+4.0%
Smaller-Cap High-Beta Breakoutn20
Health Care
+1.9%1D
ID+1.9%WTD-0.4%MTD+3.1%
Neutral / Transitionn111
Industrials
+1.7%1D
ID+1.7%WTD+0.9%MTD-4.8%
Broken Momentum / Avoidn16
Financials
+1.7%1D
ID+1.7%WTD+3.2%MTD+5.0%
Broken Momentum / Avoidn5
Energy
+1.3%1D
ID+1.3%WTD+0.8%MTD-3.5%
Extended Momentum Riskn4
Real Estate
+1.3%1D
ID+1.3%WTD+1.0%MTD+11.3%
Oversold / Mean-Reversion Watchn3
Communication Services
+1.3%1D
ID+1.3%WTD+0.5%MTD-10.8%
Thematic Momentum Leadershipn19
Health Care
+1.2%1D
ID+1.2%WTD-0.1%MTD+2.8%
Neutral / Transitionn20
Materials
+1.1%1D
ID+1.1%WTD+0.1%MTD-2.5%
Thematic Momentum Leadershipn3
Energy
+1.1%1D
ID+1.1%WTD+1.2%MTD+10.3%
Unclassified / Insufficient Datan3
Information Technology
+1.0%1D
ID+1.0%WTD+3.0%MTD-2.3%
Broken Momentum / Avoidn34
Industrials
+0.9%1D
ID+0.9%WTD-0.7%MTD-7.3%
Neutral / Transitionn20
Energy
+0.8%1D
ID+0.8%WTD+0.7%MTD+5.1%
Broken Momentum / Avoidn6
Utilities
+0.6%1D
ID+0.6%WTD+0.3%MTD-3.2%
Neutral / Transitionn56
Financials
+0.4%1D
ID+0.4%WTD+0.2%MTD+2.6%
Broken Momentum / Avoidn27
Consumer Discretionary
+0.4%1D
ID+0.4%WTD-0.7%MTD-2.8%
Neutral / Transitionn61
Health Care
+0.4%1D
ID+0.4%WTD-1.1%MTD-0.1%
Broken Momentum / Avoidn11
Health Care
+0.3%1D
ID+0.3%WTD-0.8%MTD-2.4%
Neutral / Transitionn61
Consumer Discretionary
+0.3%1D
ID+0.3%WTD-0.7%MTD-0.6%
Thematic Momentum Leadershipn11
Real Estate
+0.3%1D
ID+0.3%WTD-0.3%MTD+4.6%
Neutral / Transitionn20
Real Estate
+0.1%1D
ID+0.1%WTD-0.9%MTD+0.9%
Low-Vol Aligned Uptrendn15
Industrials
+0.1%1D
ID+0.1%WTD-0.5%MTD+2.0%
Low-Vol Aligned Uptrendn19
Real Estate
-0.1%1D
ID-0.1%WTD-0.6%MTD+3.5%
Extended Momentum Riskn6
Energy
-0.1%1D
ID-0.1%WTD+1.6%MTD+27.5%
Thematic Momentum Leadershipn4
Consumer Staples
-0.1%1D
ID-0.1%WTD-0.6%MTD+6.2%
Thematic Momentum Leadershipn24
Financials
-0.2%1D
ID-0.2%WTD-0.9%MTD+6.3%
Neutral / Transitionn22
Utilities
-0.3%1D
ID-0.3%WTD-1.1%MTD-2.3%
Broken Momentum / Avoidn14
Information Technology
-0.3%1D
ID-0.3%WTD-0.5%MTD+1.8%
Low-Vol Aligned Uptrendn37
Financials
-0.4%1D
ID-0.4%WTD-1.1%MTD+2.2%
Neutral / Transitionn28
Consumer Staples
-0.4%1D
ID-0.4%WTD-0.8%MTD+0.6%
Smaller-Cap High-Beta Breakoutn4
Consumer Discretionary
-0.4%1D
ID-0.4%WTD-0.7%MTD+8.8%
Low-Vol Aligned Uptrendn14
Utilities
-0.6%1D
ID-0.6%WTD-0.8%MTD+2.2%
Institutional Large-Cap Accumulationn10
Financials
-0.6%1D
ID-0.6%WTD-0.7%MTD+5.9%
Low-Vol Aligned Uptrendn5
Health Care
-0.6%1D
ID-0.6%WTD-1.8%MTD+2.0%
Neutral / Transitionn19
Communication Services
-0.7%1D
ID-0.7%WTD-0.8%MTD+0.8%
Broken Momentum / Avoidn14
Communication Services
-0.7%1D
ID-0.7%WTD-1.6%MTD+0.3%
Thematic Momentum Leadershipn12
Information Technology
-0.8%1D
ID-0.8%WTD-0.5%MTD+6.2%
Extended Momentum Riskn4
Health Care
-0.8%1D
ID-0.8%WTD-0.6%MTD+5.3%
Institutional Large-Cap Accumulationn3
Consumer Staples
-1.0%1D
ID-1.0%WTD-0.8%MTD+4.7%
Extended Momentum Riskn4
Industrials
-1.0%1D
ID-1.0%WTD-0.5%MTD+11.2%
Thematic Momentum Leadershipn8
Consumer Discretionary
-1.1%1D
ID-1.1%WTD-2.1%MTD+1.6%
Broken Momentum / Avoidn10
Real Estate
-1.1%1D
ID-1.1%WTD-2.4%MTD+0.3%
Low-Vol Aligned Uptrendn5
Communication Services
-1.2%1D
ID-1.2%WTD-2.4%MTD+2.7%
Institutional Large-Cap Accumulationn8
Information Technology
-1.4%1D
ID-1.4%WTD-2.2%MTD+5.7%
Broken Momentum / Avoidn9
Consumer Staples
-1.8%1D
ID-1.8%WTD-2.0%MTD-0.6%
Smaller-Cap High-Beta Breakoutn7
Information Technology
-3.9%1D
ID-3.9%WTD-4.4%MTD+3.4%
Where each factor basket is working by sector — sorted by 1-day equal-weight return, ≥3 names per cell.
Regime Assessment
trend+0.65
breadth+0.70
volatility+1.50
rotation-1.60
size+0.15
style-0.75
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 is Choppy Neutral, newly established on July 17 with a high confidence of 0.87 and an expected dwell of 7.7 trading days, leaving 5.7 days remaining. The volatility component leads at a score of 1.5, with 20-day realized volatility at the 35.4th percentile of its two-year range and intraday range at 58.7% of the 20-day average, indicating moderate but persistent chop. Rotation pressure is acute with a score of -1.6, driven by a leadership flip and strongly negative Spearman correlations between 1-day and 1-week performance (-0.74) and between week-to-date and 1-month (-0.55). This regime historically precedes elevated volatility without forecasting market direction.
Size and Breadth
| Size bucket | N | Intraday | D1 | WTD | Breadth |
|---|
| Large (>=5B) | 1004 | +0.75% | +0.75% | +0.15% | 55.8% adv |
| Micro Cap $250M-$1B | 201 | n/a | +0.00% | -1.33% | 0.0% adv |
| Nano Cap <$250M | 15 | n/a | +0.00% | -2.80% | 0.0% adv |
| Small Cap $1B-$5B | 807 | n/a | +0.00% | -0.89% | 0.0% adv |
| % > SMA50 | % > SMA200 | Advancers | Decliners | % Baskets Positive |
|---|
| 60.9% | 66.4% | 558 | 442 | 68.1% |
The size factor score registered a neutral 0.15, with small-caps outperforming large-caps by 0.33% on the day but underperforming small/mid-caps relative to the $5 billion threshold by -0.75%. Weekly small-large performance was positive at 0.88%, but the monthly reading turned negative at -0.17%, indicating near-term pressure on small-caps. Breadth metrics remain constructive: 60.9% of stocks trade above their 50-day moving average, 66.4% above the 200-day, and the advance-decline ratio stands at 1.26. 68.1% of production baskets are in positive trends, confirming the Choppy Neutral regime's underlying participation despite rotation headwinds.
Volume and Participation
| Dimension | Basket | Median RVol | % Members RVol>1.5 |
|---|
| production | Broken Momentum / Avoid | 0.81 | 13.8% |
| production | Extended Momentum Risk | 0.84 | 12.5% |
| production | Institutional Large-Cap Accumulation | 0.82 | 10.0% |
| production | Low-Vol Aligned Uptrend | 0.71 | 7.8% |
| production | Neutral / Transition | 0.72 | 8.5% |
| production | Oversold / Mean-Reversion Watch | 1.16 | 15.2% |
| production | Smaller-Cap High-Beta Breakout | 0.70 | 0.0% |
| production | Thematic Momentum Leadership | 0.65 | 4.8% |
| production | Unclassified / Insufficient Data | 0.89 | 0.0% |
| Ticker | Basket | RVol | Return | Note |
|---|
| DHR | Neutral / Transition | 10.80 | -13.18% | distribution volume |
| HAS | Broken Momentum / Avoid | 7.32 | +7.35% | breakout volume |
| EFX | Neutral / Transition | 6.88 | -6.77% | distribution volume |
| MMM | Neutral / Transition | 6.14 | +8.52% | breakout volume |
| MSCI | Neutral / Transition | 4.87 | -8.72% | distribution volume |
Volume signals are concentrated in reversal and breakout baskets. The Oversold / Mean-Reversion Watch basket posts the highest median relative volume at 1.16, with 15.2% of members exceeding 1.5x normal turnover. In contrast, Thematic Momentum Leadership runs cool at 0.65x relative volume. Single-stock anomalies reflect this divergence: DHR saw distribution on 10.8x relative volume and a -13.18% drop, while HAS and MMM surged 7.35% and 8.52% respectively on breakout volumes of 7.32x and 6.14x. The pattern of elevated volume in mean-reversion and declining participation in momentum leadership underscores the choppy, rotation-driven environment.
Cross-Asset Confirmation
CAC +0.15 — mixed (positive = risk-supportive)
| Signal | 5d | Points |
|---|
| Credit (HYG−LQD) | +0.02% | +0.00 |
| Risk vs defensives | -0.96% | +0.00 |
| Dollar (−UUP) | +0.39% | +0.00 |
| Curve (IEF/TLT) | +0.36% | +0.15 |
Duration-in-disguise — 63d TLT beta of style spreads
| Spread | TLT β | β · SPY-ctrl | | β | %ile | Duration read |
|---|
| Momentum - LowVol | 1.33 | 0.25 | 99% | duration-driven (current, unstable) |
| Growth - Value | 0.18 | -0.23 | 72% | factor-driven (current, unstable) |
| HighBeta - LowVol | 1.45 | 0.06 | 99% | duration-driven (current, unstable) |
| Small - Large | 0.61 | 0.67 | 97% | duration-driven (persistent) |
Opportunity Watchlist
| Ticker | Sector | Opportunity | Wave stage | Regime fit |
|---|
| SOFI | Financials | 88.2 | Wave 1 / accumulation | 94.8 |
| FITB | Financials | 85.6 | Wave 3-5 / breakout | 92.2 |
| VICI | Real Estate | 84.8 | Wave 1 / accumulation | 88.9 |
| AES | Utilities | 85.9 | Wave 2-4 / pullback | 88.6 |
| AGNC | Real Estate | 81.8 | Wave 3-5 / breakout | 88.4 |
| Ticker | Since close | Vs basket | Read |
|---|
| SOFI | +1.91% | +0.85% | confirms |
| FITB | -0.47% | +0.12% | diverges |
| VICI | -0.73% | -1.08% | diverges |
| AES | +0.24% | +0.52% | confirms |
| AGNC | -1.05% | -0.77% | diverges |
The highest conviction opportunities cluster in Financials and selected mean-reversion trades. SOFI leads with an opportunity score of 88.2 and a Wave 1 accumulation stage, confirmed intraday with a +1.91% advance. FITB scores 85.6 in a Wave 3-5 breakout but failed intraday confirmation, down -0.47%. AES, a Utilities pullback candidate, scored 85.9 and confirmed with a +0.24% gain. Top pattern setups are skewed short: RIOT double top (74.35) and FIGR bear flag (71.99) rank highest, while long setups center on HR's Donchian breakout (66.48) and TMHC's tight base (60.65). Only SOFI and AES confirm, highlighting the selective nature of the current environment.
Multi-Horizon Context
| Basket | D3 | WTD | MTD |
|---|
| production: Broken Momentum / Avoid | -1.85% | -0.42% | -1.88% |
| production: Extended Momentum Risk | +2.01% | +0.39% | +15.20% |
| production: Institutional Large-Cap Accumulation | -1.04% | -0.89% | +5.75% |
| production: Low-Vol Aligned Uptrend | -1.31% | -0.89% | +2.35% |
| production: Neutral / Transition | -0.17% | +0.52% | -1.88% |
| production: Oversold / Mean-Reversion Watch | +0.10% | +2.62% | -16.61% |
| production: Smaller-Cap High-Beta Breakout | +0.90% | -1.04% | +4.22% |
| production: Thematic Momentum Leadership | -0.60% | -0.52% | +5.02% |
| production: Unclassified / Insufficient Data | +1.05% | +1.00% | -3.45% |
| theme: AI Infrastructure | -0.45% | +0.29% | -3.99% |
| theme: Cloud Software | -1.20% | -0.44% | +1.98% |
| theme: Commodities / Materials | -1.04% | -0.06% | -6.29% |
| theme: Consumer / Retail | -1.64% | -0.63% | +0.39% |
| theme: Crypto / Digital Assets | +0.43% | +1.28% | +1.76% |
| theme: Cybersecurity | -0.98% | -0.74% | +1.51% |
| theme: Defense / Aerospace | +0.28% | +0.38% | -8.82% |
| theme: Energy Transition | +0.18% | +0.44% | -6.09% |
| theme: Financials / Credit | -1.60% | -0.63% | +1.75% |
| theme: Healthcare / Biotech | -1.01% | -1.24% | -1.01% |
| theme: Housing / Real Estate | -1.93% | -0.95% | -1.02% |
| theme: Industrial Automation | -0.57% | +0.20% | -3.89% |
| theme: Macro Rates / Inflation | -1.02% | -0.34% | -1.19% |
| theme: Oil & Gas | +0.23% | +0.20% | +0.21% |
| theme: Semiconductors | +0.78% | +1.74% | -9.32% |
| sector: Communication Services | -2.02% | -1.07% | +0.43% |
| sector: Consumer Discretionary | -1.89% | -0.79% | -0.67% |
| sector: Consumer Staples | -1.84% | -1.01% | +1.44% |
| sector: Energy | +2.06% | +0.81% | +7.80% |
| sector: Financials | -1.15% | +0.03% | +3.59% |
| sector: Health Care | -0.62% | -0.73% | +0.75% |
| sector: Industrials | -0.64% | +0.39% | -4.80% |
| sector: Information Technology | +1.84% | +2.26% | -4.63% |
| sector: Materials | -0.21% | +0.66% | -4.37% |
| sector: Real Estate | -1.10% | -0.90% | +2.67% |
| sector: Utilities | -1.38% | -0.63% | -1.35% |
| size: Large (>=5B) | -0.49% | +0.15% | -0.72% |
| size: Micro Cap $250M-$1B | -1.49% | -1.33% | -3.19% |
| size: Nano Cap <$250M | -1.07% | -2.80% | +18.02% |
| size: Small Cap $1B-$5B | -1.40% | -0.89% | -0.95% |
| style: Base Building / Coiled | -1.19% | -0.33% | -0.88% |
| style: Extended Overbought Momentum | +1.49% | +0.28% | +14.91% |
| style: High-Vol Breakdown | -0.47% | +1.39% | -8.58% |
| style: High-Vol Momentum | +1.37% | -0.65% | +6.52% |
| style: Low-Vol Uptrend | -1.14% | -0.76% | +2.54% |
| style: Momentum Breakout / Leadership | -0.16% | -0.83% | +8.82% |
| style: Neutral / Transition | -0.13% | +0.46% | -1.98% |
| style: Normal Vol/Trend | +0.24% | +0.86% | -1.39% |
| style: Oversold / Mean-Reversion Watch | +0.10% | +2.62% | -16.61% |
| style: Persistent Uptrend / Compounder | -0.86% | -0.54% | +3.32% |
| style: Weak Downtrend / Avoid Momentum | -1.85% | -0.42% | -1.88% |
Multi-horizon returns reveal a sharp intraday bounce in oversold sectors, with Information Technology up 2.0% and Energy up 0.65%, while defensives like Consumer Staples fell -0.70%. However, the one-month picture is starkly different: IT is down -2.96% and Commodities/Materials themes are off -8.19%. Year-to-date, Energy (+37.52%) and IT (+37.76%) retain strong gains, and one-year returns show Health Care at 69.57% and IT at 62.5%. The dispersion across horizons confirms the regime's choppy character: near-term relief rallies within still-intact long-term uptrends, but with negative one-month follow-through in the leading themes.
Top Single-Stock Setups (4h–1 Week)
#1STTFinancials100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 8.3/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 631w +2.5%MACD+CMF+Force+
Last$182.58
RSI64
1wk+2.5%
ATR stop−4.3%
1-week return vs Thematic Momentum Leadership basket (n=84)
-6%+8%
#2XMTRIndustrials98
▲Momentum continuation4h–1 week
Smaller-Cap High-Beta Breakout · factor score 7.2/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 631w +3.6%MACD+CMF+Force+
Last$100.12
RSI63
1wk+3.6%
ATR stop−7.8%
1-week return vs Smaller-Cap High-Beta Breakout basket (n=35)
-7%+8%
#3MUSAConsumer Discretionary98
▲Momentum continuation4h–1 week
Smaller-Cap High-Beta Breakout · factor score 7.6/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 641w +2.0%MACD+CMF+Force+
Last$622.78
RSI64
1wk+2.0%
ATR stop−5.2%
1-week return vs Smaller-Cap High-Beta Breakout basket (n=35)
-7%+8%
#4NTNXInformation Technology97
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.9/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 621w -0.2%MACD+CMF+Force+
Last$55.11
RSI63
1wk-0.2%
ATR stop−6.3%
1-week return vs Thematic Momentum Leadership basket (n=84)
-6%+8%
#5CFMaterials97
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.6/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 651w +2.2%MACD+CMF+Force+
Last$123.57
RSI66
1wk+2.2%
ATR stop−5.2%
1-week return vs Thematic Momentum Leadership basket (n=84)
-6%+8%
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 | 2026-07-21T12:45:00-04:00 |
| warehouse_snapshot | 2026-07-21 |
| proxy_daily | 2026-07-20 |
| screener_artifact | 2026-07-20T09:20:51.231327-04:00 |
| 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 2026-07-21T13:01:13-04:00; every figure above is computed deterministically from report.json