Close · market state
Choppy Neutral
BeganFri Jul 17 · premarket · 07:00 ETheld 3 td
Typical dwell~7.7 tdp(stay 1d) 0.87 · fresh
Implied through~Wed Jul 29~5 td left
When it breaks, historically →→ Constructive Rotation 52%→ Distribution Risk 29%→ Risk-Off Stress 10%→ Risk-On Trend 8%
3td in — ~5td of typical dwell leftfresh
age 3tdtypical dwell ~8td

SPY +0.09% since prior close; Extended Momentum Risk leads (+1.32%), Oversold / Mean-Reversion Watch lags (-1.97%).

Risk-STATE gauge — monotone in forward volatility, not direction. Size to the state; don't chase the label.

Intelligence Summary

Session

The session closed with a clear rotation into defensive and commodity-linked sectors. Utilities led at +1.87% with 97.7% of members advancing, followed by Energy at +1.68% and Materials at +1.40%. In contrast, Information Technology fell 1.35% on just 28.5% advancing breadth, and Health Care dropped 1.12% with only 18.3% of stocks positive. The regime retains a Choppy Neutral label, with a composite score of 0.395 and trend score of 0.65, reflecting a market lacking directional conviction amid sector-level divergences.

Session Snapshot →
Factors

Style factors continued to punish high-beta and growth exposure, with high-beta underperforming low volatility by 2.37% on the week and growth trailing value by 2.13%. Momentum eked out a 0.26% edge over low vol. Size factors saw small caps lag large by 0.95% on the day and 2.02% over the past month, with the small-mid cohort underperforming the $5 billion-plus bucket by 0.89%. The overall style composite registered a -0.5 reading.

Intraday Factor Moves →
Sectors

Sector performance diverged sharply on the session. Defensive and commodity-oriented groups led: Utilities surged 1.87% with 97.7% breadth, Energy gained 1.68%, and Materials added 1.40%. By contrast, technology-heavy sectors lagged—Information Technology dropped 1.35% and Communication Services lost 0.94%, both with sub-30% advancing breadth. On a week-to-date basis, Energy remains the standout at +3.12%, while Consumer Discretionary is down 1.11%. The rotation reflects a shift away from growth and momentum-driven sectors into value and yield-sensitive areas.

Sector Rotation →

Session Snapshot

CAC -0.25mixed
−risk-off0+risk-on
Equitiesbroad index tape · 3/8 adv
-0.03%med
DIA +0.2%SPY +0.1%VTI +0.0%MDY -0.0%RSP -0.0%QQQ -0.2%IJR -0.5%IWM -0.9%
Rates & Creditduration + credit spread · 0/4 adv
-0.18%med
LQD -0.1%HYG -0.2%IEF -0.2%TLT -0.2%
Commodities & FXgold · oil · the dollar · 2/3 adv
+1.21%med
USO +2.1%GLD +1.2%UUP -0.1%
Globalint'l / EM equity · 2/5 adv
-0.55%med
VGK +0.4%EFA +0.3%EEM -0.6%EWJ -0.6%FXI -0.7%
US Benchmarks8
DIA+0.2%rvol 1.1
SPY+0.1%rvol 0.8
VTI+0.0%rvol 0.9
MDY-0.0%rvol 0.6
RSP-0.0%rvol 0.6
QQQ-0.2%rvol 0.7
IJR-0.5%rvol 1.0
IWM-0.9%rvol 1.0
Style & Factor10
SPLV+0.6%rvol 0.7
VTV+0.3%rvol 0.8
VLUE+0.0%rvol 0.2
IWD-0.0%rvol 0.4
MTUM-0.2%rvol 0.7
SPHB-0.3%rvol 0.6
IWF-0.3%rvol 0.8
USMV-0.3%rvol 0.7
QUAL-0.4%rvol 0.8
VUG-0.5%rvol 0.6
Sectors11
XLU+2.3%rvol 1.2
XLB+1.4%rvol 1.1
XLE+1.1%rvol 1.2
XLP+0.4%rvol 0.8
XLI+0.1%rvol 0.8
XLF-0.1%rvol 0.9
XLK-0.2%rvol 0.7
XLRE-0.4%rvol 1.0
XLC-0.5%rvol 0.7
XLV-0.5%rvol 0.7
XLY-1.1%rvol 1.1
Global5
VGK+0.4%rvol 1.4
EFA+0.3%rvol 1.5
EEM-0.6%rvol 0.6
EWJ-0.6%rvol 0.8
FXI-0.7%rvol 0.6
Cross-Asset7
USO+2.1%rvol 1.3
GLD+1.2%rvol 1.1
UUP-0.1%rvol 0.7
LQD-0.1%rvol 0.8
HYG-0.2%rvol 1.0
IEF-0.2%rvol 0.7
TLT-0.2%rvol 0.8
Industry Themes6
XHB+0.9%rvol 0.7
SMH+0.7%rvol 0.6
ITA+0.6%rvol 0.8
TAN+0.0%rvol 0.7
KRE-0.3%rvol 0.8
XBI-1.6%rvol 0.8
SPY+0.09%gap -0.22% · open +0.31%
Best factor+1.32%Extended Momentum Risk
Worst factor-1.97%Oversold / Mean-Reversion Watch
Breadth32%baskets +ve · A/D 459/537

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 0.40, 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.
Low convictiongap:01 · n=74435

Fade PEGA'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
PEGA gapped -18.16% 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 PEGA, RDDT, GEV, AIR, MXL 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

LeadingExtended Momentum Risk +1.3%Institutional Large-Cap Accumulation +0.7%Low-Vol Aligned Uptrend +0.4%
LaggingOversold / Mean-Reversion Watch -2.0%Smaller-Cap High-Beta Breakout -1.2%Thematic Momentum Leadership -0.6%

Top-to-bottom basket spread 3.3pp today · dispersion Styles z60 -1.3 (compressed), Sectors z60 -0.3 (typical) · flow confirms 2/3 leaders.

Extended Momentum Risk+1.32%
21 names · 100% cov · rvol 0.84
move vs all baskets today
-3%med -1%+1%
+1.32%100ᵗʰ pctile
ID+1.3%
1D+1.3%
3D+2.3%
1W+7.0%
MTD+18.9%
1M+23.7%
3M+26.8%
YTD+58.7%
1Y+60.7%
2Y+55.2%
Institutional Large-Cap Accumulation+0.68%
34 names · 100% cov · rvol 0.75
move vs all baskets today
-3%med -1%+1%
+0.68%89ᵗʰ pctile
ID+0.7%
1D+0.7%
3D+0.7%
1W+1.9%
MTD+5.4%
1M+9.6%
3M+21.4%
YTD+28.7%
1Y+41.7%
2Y+59.4%
Low-Vol Aligned Uptrend+0.37%
91 names · 99% cov · rvol 0.85
move vs all baskets today
-3%med -1%+1%
+0.37%78ᵗʰ pctile
ID+0.4%
1D+0.4%
3D-0.3%
1W+1.6%
MTD+2.9%
1M+5.3%
3M+6.1%
YTD+14.7%
1Y+19.7%
2Y+28.8%
Neutral / Transition-0.13%
539 names · 100% cov · rvol 0.75
move vs all baskets today
-3%med -1%+1%
-0.13%67ᵗʰ pctile
ID-0.1%
1D-0.1%
3D+0.5%
1W-0.4%
MTD-2.5%
1M-0.8%
3M+6.7%
YTD+23.1%
1Y+40.2%
2Y+59.5%
Broken Momentum / Avoid-0.52%
169 names · 100% cov · rvol 0.80
move vs all baskets today
-3%med -1%+1%
-0.52%56ᵗʰ pctile
ID-0.5%
1D-0.5%
3D-1.3%
1W-2.1%
MTD-3.2%
1M-3.5%
3M-16.5%
YTD-17.7%
1Y-13.3%
2Y+16.5%
Thematic Momentum Leadership-0.64%
88 names · 100% cov · rvol 0.82
move vs all baskets today
-3%med -1%+1%
-0.64%44ᵗʰ pctile
ID-0.6%
1D-0.6%
3D-0.6%
1W+0.6%
MTD+4.9%
1M+10.0%
3M+24.9%
YTD+31.6%
1Y+48.8%
2Y+62.5%
Smaller-Cap High-Beta Breakout-1.16%
30 names · 100% cov · rvol 0.81
move vs all baskets today
-3%med -1%+1%
-1.16%33ᵗʰ pctile
ID-1.2%
1D-1.2%
3D-1.1%
1W-0.2%
MTD+2.7%
1M+12.8%
3M+49.5%
YTD+76.2%
1Y+139.5%
2Y+150.4%
Oversold / Mean-Reversion Watch-1.97%
24 names · 96% cov · rvol 1.16
move vs all baskets today
-3%med -1%+1%
-1.97%22ᵗʰ pctile
ID-2.0%
1D-2.0%
3D-2.8%
1W-8.7%
MTD-16.9%
1M-19.3%
3M-19.2%
YTD-10.1%
1Y+9.4%
2Y+75.2%
Unclassified / Insufficient Data thin — n<10-2.63%
8 names · 100% cov · rvol 0.80
move vs all baskets today
-3%med -1%+1%
-2.63%11ᵗʰ pctile
ID-2.6%
1D-2.6%
3D-1.4%
1W-1.9%
MTD-6.1%
1M-1.0%
3M+6.9%
YTD+33.3%

Sector Rotation

Utilities+1.87%
Energy+1.68%
Materials+1.40%
Consumer Staples+0.41%
Industrials+0.36%
Consumer Discretionary-0.17%
Financials-0.40%
Real Estate-0.51%
Communication Services-0.94%
Health Care-1.13%
Information Technology-1.35%
Themes and Keyword Baskets
Commodities / Materials+0.7%1D
161 names · 75% cov
ID+1.1%WTD+2.8%MTD-3.8%YTD+10.3%
Oil & Gas+0.2%1D
269 names · 85% cov
ID+0.3%WTD+1.2%MTD+1.2%YTD+21.2%
Energy Transition+0.1%1D
240 names · 82% cov
ID+0.6%WTD+1.7%MTD-5.1%YTD+23.0%
Macro Rates / Inflation-0.3%1D
506 names · 77% covaggregate only
ID+0.0%WTD+0.1%MTD-0.8%YTD+15.6%
Housing / Real Estate-0.4%1D
439 names · 71% cov
ID-0.1%WTD-1.2%MTD-1.3%YTD+11.2%
Consumer / Retail-0.4%1D
467 names · 75% cov
ID-0.4%WTD-1.1%MTD-0.1%YTD+8.0%
Industrial Automation-0.5%1D
494 names · 77% covaggregate only
ID-0.1%WTD+0.7%MTD-3.6%YTD+22.9%
Defense / Aerospace-0.5%1D
202 names · 79% cov
ID+0.4%WTD+2.0%MTD-7.5%YTD+25.8%
Semiconductors-0.6%1D
188 names · 90% cov
ID-0.1%WTD+2.8%MTD-8.7%YTD+53.6%
Crypto / Digital Assets-0.6%1D
150 names · 69% covaggregate only
ID-0.4%WTD+1.0%MTD+1.5%YTD+13.7%
AI Infrastructure-1.0%1D
838 names · 80% covaggregate only
ID-0.5%WTD+0.3%MTD-4.3%YTD+21.3%
Financials / Credit-1.1%1D
646 names · 63% cov
ID-0.6%WTD-1.7%MTD+0.7%YTD+11.9%
Healthcare / Biotech degraded-1.2%1D
673 names · 58% cov
ID-0.6%WTD-0.9%MTD-0.9%YTD+23.1%
Cybersecurity-1.9%1D
94 names · 70% covaggregate only
ID-1.6%WTD-3.3%MTD-1.5%YTD+10.9%
Cloud Software-2.3%1D
258 names · 79% covaggregate only
ID-1.6%WTD-2.8%MTD-0.8%YTD+11.5%

Thematic baskets saw a clear cyclical bid: Commodities / Materials advanced 0.73% on the day and 2.76% week-to-date, while Energy Transition added 1.66% wtd. In contrast, growth-oriented themes sold off—Cybersecurity lost 1.94% on the session and 3.32% over the week, and Cloud Software dropped 2.28% daily, extending its weekly decline to 2.83%. AI Infrastructure also slipped 1.02% on the day, though it remains positive by 0.29% wtd.

Sigma Board
−3σ0+3σ
Oversold / Mean-Reversion Watch d1basket · -1.97% · 60d · n=36-1.62σ
Small - Large d1spread · -0.95% · 252d · n=252-1.35σ
Extended Momentum Risk d1basket · +1.32% · 60d · n=36+1.11σ
% above SMA200breadth · 67.17 · 60d · n=60+1.04σ
Growth - Value w1spread · -2.13% · 252d · n=252-1.01σ
Credit w1spread · +0.46% · 252d · n=252+0.90σ
HighBeta - LowVol w1spread · -2.37% · 252d · n=252-0.81σ
Duration w1spread · -0.94% · 252d · n=252-0.73σ

The volatility composite stands at 1.5, with realized volatility at the 39.2nd percentile of its two-year range and an intraday range ratio versus the 20-day average of 0.48. Among production baskets, the Oversold / Mean-Reversion Watch cohort shows elevated turnover: median relative volume of 1.16 and 30.4% of members trading above 1.5x average volume. The Extended Momentum Risk basket posts a median rvol of 0.84, while Institutional Large-Cap Accumulation sits at 0.75, underscoring that volume stress remains concentrated in the most beaten-down names.

Factor × Sector Map
Neutral / Transitionn21
Utilities
+2.3%1D
ID+2.3%WTD+1.7%MTD-0.5%
Broken Momentum / Avoidn10
Materials
+2.2%1D
ID+2.2%WTD+3.4%MTD-2.7%
Neutral / Transitionn18
Energy
+1.9%1D
ID+1.9%WTD+2.9%MTD+4.8%
Thematic Momentum Leadershipn7
Energy
+1.9%1D
ID+1.9%WTD+4.6%MTD+13.1%
Low-Vol Aligned Uptrendn20
Utilities
+1.7%1D
ID+1.7%WTD+0.9%MTD+3.0%
Thematic Momentum Leadershipn3
Consumer Staples
+1.2%1D
ID+1.2%WTD+1.8%MTD+4.8%
Institutional Large-Cap Accumulationn6
Information Technology
+1.2%1D
ID+1.2%WTD+2.2%MTD+5.7%
Extended Momentum Riskn8
Energy
+1.1%1D
ID+1.1%WTD+4.2%MTD+27.9%
Institutional Large-Cap Accumulationn8
Industrials
+1.1%1D
ID+1.1%WTD+0.9%MTD+6.5%
Neutral / Transitionn22
Materials
+1.1%1D
ID+1.1%WTD+0.8%MTD-2.4%
Low-Vol Aligned Uptrendn3
Health Care
+1.1%1D
ID+1.1%WTD-1.0%MTD+1.2%
Broken Momentum / Avoidn32
Industrials
+0.8%1D
ID+0.8%WTD-0.2%MTD-7.0%
Oversold / Mean-Reversion Watchn3
Materials
+0.7%1D
ID+0.7%WTD+1.2%MTD-14.2%
Thematic Momentum Leadershipn4
Consumer Discretionary
+0.7%1D
ID+0.7%WTD-0.2%MTD+7.7%
Low-Vol Aligned Uptrendn14
Industrials
+0.4%1D
ID+0.4%WTD+0.1%MTD+1.1%
Neutral / Transitionn112
Industrials
+0.3%1D
ID+0.3%WTD+0.9%MTD-5.3%
Broken Momentum / Avoidn10
Real Estate
+0.3%1D
ID+0.3%WTD-2.6%MTD+0.1%
Neutral / Transitionn66
Consumer Discretionary
+0.2%1D
ID+0.2%WTD-0.2%MTD-0.3%
Institutional Large-Cap Accumulationn10
Financials
+0.2%1D
ID+0.2%WTD-0.4%MTD+5.6%
Neutral / Transitionn30
Consumer Staples
+0.2%1D
ID+0.2%WTD-0.6%MTD+1.2%
Broken Momentum / Avoidn10
Consumer Staples
+0.1%1D
ID+0.1%WTD-1.8%MTD-0.1%
Low-Vol Aligned Uptrendn27
Financials
-0.1%1D
ID-0.1%WTD-0.8%MTD+3.2%
Thematic Momentum Leadershipn22
Financials
-0.2%1D
ID-0.2%WTD-1.0%MTD+7.1%
Institutional Large-Cap Accumulationn7
Health Care
-0.3%1D
ID-0.3%WTD+0.3%MTD+2.2%
Neutral / Transitionn66
Financials
-0.4%1D
ID-0.4%WTD-0.1%MTD+1.7%
Low-Vol Aligned Uptrendn4
Communication Services
-0.4%1D
ID-0.4%WTD-2.2%MTD+5.2%
Low-Vol Aligned Uptrendn16
Real Estate
-0.5%1D
ID-0.5%WTD-0.9%MTD+4.6%
Smaller-Cap High-Beta Breakoutn17
Health Care
-0.5%1D
ID-0.5%WTD-0.5%MTD+1.9%
Neutral / Transitionn26
Real Estate
-0.6%1D
ID-0.6%WTD-1.7%MTD-0.0%
Broken Momentum / Avoidn14
Communication Services
-0.7%1D
ID-0.7%WTD-1.9%MTD-1.4%
Neutral / Transitionn103
Information Technology
-0.9%1D
ID-0.9%WTD+2.8%MTD-8.3%
Broken Momentum / Avoidn14
Health Care
-1.0%1D
ID-1.0%WTD-2.7%MTD-2.8%
Smaller-Cap High-Beta Breakoutn5
Consumer Discretionary
-1.1%1D
ID-1.1%WTD-1.3%MTD+8.6%
Neutral / Transitionn23
Communication Services
-1.1%1D
ID-1.1%WTD-1.9%MTD+0.1%
Thematic Momentum Leadershipn12
Real Estate
-1.1%1D
ID-1.1%WTD-1.5%MTD+3.5%
Broken Momentum / Avoidn18
Financials
-1.2%1D
ID-1.2%WTD-1.6%MTD+1.5%
Thematic Momentum Leadershipn28
Health Care
-1.3%1D
ID-1.3%WTD-0.6%MTD+2.7%
Broken Momentum / Avoidn26
Consumer Discretionary
-1.4%1D
ID-1.4%WTD-3.2%MTD-6.0%
Neutral / Transitionn52
Health Care
-1.5%1D
ID-1.5%WTD-2.1%MTD-0.9%
Oversold / Mean-Reversion Watchn6
Industrials
-1.5%1D
ID-1.5%WTD-2.7%MTD-17.8%
Smaller-Cap High-Beta Breakoutn6
Information Technology
-1.9%1D
ID-1.9%WTD-3.0%MTD+0.3%
Broken Momentum / Avoidn31
Information Technology
-2.1%1D
ID-2.1%WTD-1.6%MTD-2.6%
Thematic Momentum Leadershipn9
Information Technology
-2.3%1D
ID-2.3%WTD-5.0%MTD+1.9%
Unclassified / Insufficient Datan3
Information Technology
-3.8%1D
ID-3.8%WTD-0.1%MTD-5.8%
Oversold / Mean-Reversion Watchn6
Information Technology
-4.3%1D
ID-4.3%WTD-5.2%MTD-18.6%
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+1.15
size-1.15
style-0.50
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 current regime is Choppy Neutral, with a confidence of 0.87 and a composite score of 0.395. One-day persistence probability is high at 0.87, but five-day persistence dips to 0.55. Expected dwell is 7.7 trading days; with three days elapsed, roughly five days remain. The most likely exit path is to Constructive Rotation (52.5% probability). Among components, volatility leads at 1.5, driven by a realized volatility percentile of 39.2 and an intraday range 48.4% of the 20-day average. Rotation scores 1.15, with Spearman correlations of 0.81 (daily vs weekly) and 0.60 (weekly vs monthly), and a leadership flip. Size is a drag at -1.15 as small caps lag.

Size and Breadth

Size bucketNIntradayD1WTDBreadth
Large (>=5B)1004-0.23%-0.23%-0.09%45.9% adv
Micro Cap $250M-$1B201n/a-1.12%-0.09%30.8% adv
Nano Cap <$250M15n/a-2.30%-3.71%33.3% adv
Small Cap $1B-$5B807n/a-1.09%-0.97%30.2% adv
% > SMA50% > SMA200AdvancersDecliners% Baskets Positive
62.4%67.2%45953731.9%

Small caps continue to underperform large caps on a daily basis, with the small-large spread at -0.95% and small-mid cap relative return versus the $5B threshold at -0.89%. Over the past week, small caps showed a marginal recovery (+0.17%), but the monthly spread remains deeply negative at -2.02%. Market breadth offers a mixed signal: 62.35% of names trade above their 50-day moving average, 67.17% above the 200-day, yet the advance-decline ratio sits at 0.855. Production basket positivity is just 31.91%, underscoring the narrow internal architecture.

Cross-Sectional Dispersion

Cross-sectionDispersion σIQRz60z252StateWidest up / down
Styles+0.36%+0.50%-1.26 (n=60)-0.73 (n=252)CompressedSPLV +0.62% / VUG -0.52%
Sectors+0.99%+1.25%-0.35 (n=60)0.30 (n=252)NormalXLU +2.25% / XLC -0.75%

Volume and Participation

DimensionBasketMedian RVol% Members RVol>1.5
productionBroken Momentum / Avoid0.805.9%
productionExtended Momentum Risk0.849.5%
productionInstitutional Large-Cap Accumulation0.755.9%
productionLow-Vol Aligned Uptrend0.856.7%
productionNeutral / Transition0.756.5%
productionOversold / Mean-Reversion Watch1.1630.4%
productionSmaller-Cap High-Beta Breakout0.816.7%
productionThematic Momentum Leadership0.823.4%
productionUnclassified / Insufficient Data0.800.0%
TickerBasketRVolReturnNote
PAGExtended Momentum Risk7.50+9.93%breakout volume
PEGAOversold / Mean-Reversion Watch5.52-15.90%distribution volume
SMCINeutral / Transition4.27+20.27%breakout volume
WABNeutral / Transition4.06+11.94%breakout volume
NTRSNeutral / Transition3.13-3.46%distribution volume

Relative volume is concentrated in the Oversold / Mean-Reversion Watch basket, where the median relative volume reaches 1.16 and 30.4% of members exhibit rvol above 1.5. Elevated activity also appears in Extended Momentum Risk (9.5% above 1.5 rvol). Notable anomalies include PAG with breakout volume (rvol 7.5, return 9.93%), PEGA with distribution volume (rvol 5.52, return -15.9%), and SMCI (rvol 4.27, return 20.27%). Most production baskets show more subdued participation with median rvol between 0.75 and 0.85.

Cross-Asset Confirmation

CAC -0.25 — mixed (positive = risk-supportive)

Signal5dPoints
Credit (HYG−LQD)+0.49%+0.30
Risk vs defensives-1.41%-0.40
Dollar (−UUP)-0.71%-0.15
Curve (IEF/TLT)+0.23%+0.00

Duration-in-disguise — 63d TLT beta of style spreads

SpreadTLT ββ · SPY-ctrlβ%ileDuration read
Momentum - LowVol1.300.2198%duration-driven (current, unstable)
Growth - Value0.17-0.2468%factor-driven (current, unstable)
HighBeta - LowVol1.450.0599%duration-driven (current, unstable)
Small - Large0.610.6597%duration-driven (persistent)

Opportunity Watchlist

TickerSectorOpportunityWave stageRegime fit
UECEnergy92.4Wave 1 / accumulation96.2
EPRTReal Estate88.4Wave 3-5 / breakout95.4
CELHConsumer Staples92.5Wave 1 / accumulation94.3
CMCSACommunication Services92.4Wave 1 / accumulation94.2
SFMConsumer Staples88.3Wave 1 / accumulation92.4
TickerSince closeVs basketRead
UEC+1.80%+2.32%confirms
EPRT-1.80%-2.17%diverges
CELH+1.18%+1.70%confirms
CMCSA-1.18%-0.66%diverges
SFM-1.00%-0.87%diverges

Top screener opportunities include UEC (score 92.4, Wave 1 accumulation, regime fit 96.2) and CELH (92.5, accumulation), both confirmed by positive intraday action relative to their baskets. EPRT, CMCSA, and SFM failed intraday confirmation. Among pattern setups, DKNG offers a donchian breakdown short (73.49), RIOT a double top short (73.24), while TGTX and TNGX present bull flag long entries (69.36 and 68.86). The opportunity set reflects a mix of accumulation-stage longs and breakdown shorts, consistent with a choppy but opportunity-rich environment.

Multi-Horizon Context
BasketD3WTDMTD
production: Broken Momentum / Avoid-1.33%-1.33%-3.24%
production: Extended Momentum Risk+2.34%+2.34%+18.90%
production: Institutional Large-Cap Accumulation+0.65%+0.65%+5.36%
production: Low-Vol Aligned Uptrend-0.28%-0.28%+2.90%
production: Neutral / Transition+0.48%+0.48%-2.50%
production: Oversold / Mean-Reversion Watch-2.76%-2.76%-16.92%
production: Smaller-Cap High-Beta Breakout-1.11%-1.11%+2.68%
production: Thematic Momentum Leadership-0.63%-0.63%+4.92%
production: Unclassified / Insufficient Data-1.35%-1.35%-6.12%
theme: AI Infrastructure+0.29%+0.29%-4.33%
theme: Cloud Software-2.83%-2.83%-0.83%
theme: Commodities / Materials+2.76%+2.76%-3.75%
theme: Consumer / Retail-1.05%-1.05%-0.05%
theme: Crypto / Digital Assets+0.97%+0.97%+1.51%
theme: Cybersecurity-3.32%-3.32%-1.52%
theme: Defense / Aerospace+1.97%+1.97%-7.52%
theme: Energy Transition+1.66%+1.66%-5.08%
theme: Financials / Credit-1.70%-1.70%+0.67%
theme: Healthcare / Biotech-0.95%-0.95%-0.86%
theme: Housing / Real Estate-1.16%-1.16%-1.29%
theme: Industrial Automation+0.70%+0.70%-3.58%
theme: Macro Rates / Inflation+0.10%+0.10%-0.78%
theme: Oil & Gas+1.23%+1.23%+1.19%
theme: Semiconductors+2.77%+2.77%-8.65%
sector: Communication Services-1.96%-1.96%-0.48%
sector: Consumer Discretionary-1.11%-1.11%-0.98%
sector: Consumer Staples-0.51%-0.51%+1.96%
sector: Energy+3.12%+3.12%+10.24%
sector: Financials-0.51%-0.51%+3.03%
sector: Health Care-1.45%-1.45%-0.01%
sector: Industrials+0.52%+0.52%-4.68%
sector: Information Technology+0.93%+0.93%-6.12%
sector: Materials+1.72%+1.72%-3.36%
sector: Real Estate-1.51%-1.51%+2.02%
sector: Utilities+1.42%+1.42%+0.67%
size: Large (>=5B)-0.09%-0.09%-0.99%
size: Micro Cap $250M-$1B-0.09%-0.09%-2.21%
size: Nano Cap <$250M-3.71%-3.71%+14.18%
size: Small Cap $1B-$5B-0.97%-0.97%-1.23%
style: Base Building / Coiled-0.50%-0.50%-1.85%
style: Extended Overbought Momentum+2.23%+2.23%+15.85%
style: High-Vol Breakdown+0.31%+0.31%-9.63%
style: High-Vol Momentum-0.95%-0.95%+4.90%
style: Low-Vol Uptrend-0.51%-0.51%+2.69%
style: Momentum Breakout / Leadership+0.06%+0.06%+10.65%
style: Neutral / Transition+0.18%+0.18%-2.37%
style: Normal Vol/Trend+0.63%+0.63%-1.13%
style: Oversold / Mean-Reversion Watch-2.76%-2.76%-16.92%
style: Persistent Uptrend / Compounder+0.52%+0.52%+3.18%
style: Weak Downtrend / Avoid Momentum-1.33%-1.33%-3.24%

Multi-horizon returns reveal significant dispersion: Energy is strong across all horizons (d1 1.68%, w1 5.15%, m1 10.39%), while Information Technology shows near-term pressure (d1 -1.35%, w1 -1.47%) but a 12.28% three-month gain. Health Care posted a robust 14.66% three-month return despite a -1.12% single-day decline. Sector wave maps show six of eleven sectors in Basing/early-cycle, with only Energy in Trending/mid-cycle, reinforcing the transitional character of the current regime.

Top Single-Stock Setups (4h–1 Week)

#1CROXConsumer Discretionary100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.8/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 631w +2.1%MACD+CMF+Force+
Last$136.20
RSI63
1wk+2.1%
ATR stop−5.1%
1-week return vs Thematic Momentum Leadership basket (n=88)
-11%+11%
#2TPLEnergy100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.1/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 611w +6.1%MACD+CMF+Force+
Last$433.10
RSI62
1wk+6.1%
ATR stop−6.0%
1-week return vs Thematic Momentum Leadership basket (n=88)
-11%+11%
#3OHIReal Estate100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.3/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 641w +5.5%MACD+CMF+Force+
Last$50.61
RSI64
1wk+5.5%
ATR stop−3.0%
1-week return vs Thematic Momentum Leadership basket (n=88)
-11%+11%
#4SJMConsumer Staples100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.7/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 621w +8.3%MACD+CMF+Force+
Last$118.05
RSI62
1wk+8.3%
ATR stop−4.1%
1-week return vs Thematic Momentum Leadership basket (n=88)
-11%+11%
#5SEICFinancials98
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.4/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 641w +0.6%MACD+CMF+Force+
Last$98.75
RSI64
1wk+0.6%
ATR stop−3.4%
1-week return vs Thematic Momentum Leadership basket (n=88)
-11%+11%

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

SourceAs of
intraday_bars2026-07-22T16:00:00-04:00
warehouse_snapshot2026-07-23
proxy_daily2026-07-22
screener_artifact2026-07-22T20:54:46.778582-04:00
grouped_dailyunavailable
  • 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 2026-07-23T17:25:12-04:00; every figure above is computed deterministically from report.json
BoltFactors © 2026 · CLOSE edition · 2026-07-22 · GitHub · every number is computed deterministically from report.json before narration; ideas pair today's live trigger with a static historical prior.