Morning · market state
Choppy Neutralheld 3 td · typically ~8 td · ~5 td left · fresh · p(stay) 0.87
3td in — ~5td of typical dwell leftfresh
age 3tdtypical dwell ~8td
SPY -0.04% since prior close; Broken Momentum / Avoid leads (+0.69%), Unclassified / Insufficient Data lags (-1.38%).
Risk-STATE gauge — monotone in forward volatility, not direction. Size to the state; don't chase the label.
Session Snapshot
CAC +0.30mixed
−risk-off0+risk-on
Equitiesbroad index tape · 4/8 adv
+0.01%med
RSP +0.3%DIA +0.3%MDY +0.2%IJR +0.1%SPY -0.0%VTI -0.0%IWM -0.2%QQQ -0.4%
Rates & Creditduration + credit spread · 0/4 adv
-0.07%med
TLT -0.1%HYG -0.1%IEF -0.1%LQD -0.1%
Commodities & FXgold · oil · the dollar · 2/3 adv
+1.49%med
USO +2.3%GLD +1.5%UUP -0.2%
Globalnot in snapshot
No proxy for this band in the current snapshot — data-plumbing follow-up.
SPY-0.0%rvol 0.8
QQQ-0.4%rvol 1.7
DIA+0.3%rvol 3.0
IWM-0.2%rvol 1.4
MDY+0.2%rvol 1.0
IJR+0.1%rvol 0.8
RSP+0.3%rvol 0.9
VTI-0.0%rvol 1.0
XLK-0.5%rvol 1.2
XLF+0.1%rvol 1.4
XLE+1.1%rvol 1.6
XLV-0.1%rvol 0.9
XLI+0.2%rvol 1.0
XLY-0.1%rvol 1.2
XLP+0.6%rvol 1.2
XLU+0.9%rvol 1.5
XLB+1.5%rvol 1.5
XLC+0.3%rvol 1.0
XLRE-0.0%rvol 0.9
MTUM-0.1%rvol 0.6
VLUE+0.7%rvol 0.2
QUAL-0.1%rvol 0.3
USMV-0.0%rvol 0.5
SPLV+0.4%rvol 1.3
SPHB-0.0%rvol 1.5
IWF-0.4%rvol 0.3
IWD+0.3%rvol 0.3
VUG-0.5%rvol 0.7
VTV+0.5%rvol 0.5
SMH-0.4%rvol 0.8
XBI-1.1%rvol 1.5
ITA+1.2%rvol 1.0
KRE-0.5%rvol 1.1
XHB+1.3%rvol 0.5
TAN+1.0%rvol 1.1
TLT-0.1%rvol 0.8
IEF-0.1%rvol 0.8
HYG-0.1%rvol 0.3
LQD-0.1%rvol 0.5
GLD+1.5%rvol 1.7
USO+2.3%rvol 3.5
UUP-0.2%rvol 0.5
The Choppy Neutral regime, with a composite score of 0.34, anchors a mixed open where Large Caps eke out 0.15% intraday. Advancing issues outpace decliners 550 to 447, yet only 63.8% of production baskets are positive. Energy and Materials surge 1.32% and 1.92% respectively, while Information Technology sheds 0.62% and Health Care slides 0.49%. Volume anomalies are dominated by distribution in PEGA (-13.3% on 15.5x rvol) and breakout in SMCI (+21.0% on 15.2x rvol). The overnight gap was narrow at -0.02% for large caps, suggesting limited directional conviction at the open.
SPY-0.04%gap -0.22% · open +0.18%
Best factor+0.69%Broken Momentum / Avoid
Worst factor-1.38%Unclassified / Insufficient Data
Breadth64%baskets +ve · A/D 550/447
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 0.34, 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
Broken Momentum / Avoid+0.69%
176 names · 100% cov · rvol 0.62
move vs all baskets today
-1%med +0%+1%
+0.69%100ᵗʰ pctile
ID+0.7%
1D+0.7%
3D+0.0%
1W-0.8%
MTD-2.3%
1M-2.9%
3M-14.8%
YTD-15.3%
1Y-11.4%
2Y+15.3%
Extended Momentum Risk+0.56%
22 names · 100% cov · rvol 0.52
move vs all baskets today
-1%med +0%+1%
+0.56%89ᵗʰ pctile
ID+0.6%
1D+0.6%
3D+1.6%
1W+6.5%
MTD+17.6%
1M+22.6%
3M+24.9%
YTD+50.1%
1Y+63.0%
2Y+63.5%
Oversold / Mean-Reversion Watch+0.25%
27 names · 96% cov · rvol 0.96
move vs all baskets today
-1%med +0%+1%
+0.25%78ᵗʰ pctile
ID+0.2%
1D+0.2%
3D-0.3%
1W-6.6%
MTD-15.4%
1M-18.1%
3M-19.4%
YTD-9.2%
1Y+11.4%
2Y+65.9%
Neutral / Transition+0.16%
526 names · 100% cov · rvol 0.47
move vs all baskets today
-1%med +0%+1%
+0.16%67ᵗʰ pctile
ID+0.2%
1D+0.2%
3D+0.8%
1W+0.0%
MTD-2.0%
1M-0.3%
3M+6.8%
YTD+23.5%
1Y+40.9%
2Y+60.4%
Low-Vol Aligned Uptrend+0.14%
77 names · 99% cov · rvol 0.37
move vs all baskets today
-1%med +0%+1%
+0.14%56ᵗʰ pctile
ID+0.1%
1D+0.1%
3D-0.6%
1W+1.3%
MTD+2.9%
1M+5.6%
3M+7.0%
YTD+13.6%
1Y+18.6%
2Y+27.2%
Institutional Large-Cap Accumulation-0.17%
38 names · 100% cov · rvol 0.67
move vs all baskets today
-1%med +0%+1%
-0.17%44ᵗʰ pctile
ID-0.2%
1D-0.2%
3D-0.7%
1W+0.4%
MTD+4.8%
1M+9.9%
3M+25.0%
YTD+26.6%
1Y+34.1%
2Y+58.7%
Thematic Momentum Leadership-0.24%
96 names · 100% cov · rvol 0.43
move vs all baskets today
-1%med +0%+1%
-0.24%33ᵗʰ pctile
ID-0.2%
1D-0.2%
3D-0.3%
1W+0.9%
MTD+4.5%
1M+9.7%
3M+22.0%
YTD+29.9%
1Y+46.3%
2Y+59.9%
Smaller-Cap High-Beta Breakout-1.32%
34 names · 100% cov · rvol 0.44
move vs all baskets today
-1%med +0%+1%
-1.32%22ᵗʰ pctile
ID-1.3%
1D-1.3%
3D-1.4%
1W-0.8%
MTD+3.6%
1M+12.8%
3M+48.4%
YTD+80.4%
1Y+136.4%
2Y+152.2%
Unclassified / Insufficient Data thin — n<10-1.38%
8 names · 100% cov · rvol 0.64
move vs all baskets today
-1%med +0%+1%
-1.38%11ᵗʰ pctile
ID-1.4%
1D-1.4%
3D-0.1%
1W-0.7%
MTD-4.8%
1M+0.5%
3M+8.6%
YTD+35.3%
Style factors reveal sharp disparity: High-Vol Momentum plunges 1.28%, while Extended Overbought Momentum gains 0.98% and High-Vol Breakdown rebounds 0.52%. Defensive Low-Vol Uptrend edges up 0.15%, and Persistent Uptrend/Compounder is flat (-0.01%). Mean-reversion candidates fare better: Weak Downtrend/Avoid Momentum rises 0.69% and Oversold/Mean-Reversion Watch adds 0.25%. The broad Neutral/Transition bucket is up 0.08%. This polarization underscores a market rewarding reversals in battered names while punishing recent high-beta leaders.
Sector Rotation
Materials+1.92%
Energy+1.32%
Utilities+0.87%
Consumer Staples+0.75%
Consumer Discretionary+0.51%
Industrials+0.37%
Financials+0.09%
Real Estate-0.04%
Communication Services-0.38%
Health Care-0.50%
Information Technology-0.62%
Sector performance is bifurcated. Energy leads with a 1.32% intraday gain on 90.0% breadth, and Materials surges 1.92% with 87.2% of members advancing. Utilities rally 0.87% with exceptional 93.2% breadth. In contrast, Information Technology drops 0.62% with only 33.9% advancing, and Health Care sinks 0.49% on 26.2% breadth – the weakest breadth reading. Communication Services declines 0.38% with 39.5% advancers. The week-to-date picture shows Energy (+2.76%) and Materials (+2.23%) extending gains, while Info Tech is positive WTD (+1.63%) despite today’s drag.
Themes and Keyword Baskets
Commodities / Materials+0.7%1D
161 names · 75% cov
ID+1.3%WTD+2.7%MTD-3.9%YTD+10.2%
Defense / Aerospace+0.4%1D
202 names · 79% cov
ID+0.8%WTD+3.0%MTD-6.7%YTD+27.4%
Energy Transition+0.3%1D
240 names · 82% cov
ID+0.6%WTD+2.0%MTD-4.8%YTD+23.3%
Crypto / Digital Assets+0.2%1D
150 names · 69% covaggregate only
ID+0.3%WTD+1.8%MTD+2.3%YTD+14.5%
Macro Rates / Inflation+0.2%1D
506 names · 77% covaggregate only
ID+0.4%WTD+0.6%MTD-0.3%YTD+16.2%
Housing / Real Estate+0.2%1D
439 names · 71% cov
ID+0.3%WTD-0.6%MTD-0.7%YTD+11.8%
Oil & Gas+0.2%1D
269 names · 85% cov
ID+0.3%WTD+1.2%MTD+1.1%YTD+21.2%
Semiconductors+0.1%1D
188 names · 90% cov
ID+0.2%WTD+3.5%MTD-8.0%YTD+54.7%
Industrial Automation+0.1%1D
494 names · 77% covaggregate only
ID+0.2%WTD+1.3%MTD-3.0%YTD+23.7%
Consumer / Retail+0.1%1D
467 names · 75% cov
ID+0.2%WTD-0.5%MTD+0.5%YTD+8.6%
Financials / Credit-0.0%1D
646 names · 63% cov
ID-0.0%WTD-0.7%MTD+1.7%YTD+13.0%
Healthcare / Biotech degraded-0.0%1D
673 names · 58% cov
ID-0.1%WTD+0.2%MTD+0.4%YTD+24.5%
AI Infrastructure-0.1%1D
838 names · 80% covaggregate only
ID-0.1%WTD+1.2%MTD-3.4%YTD+22.4%
Cloud Software-0.4%1D
258 names · 79% covaggregate only
ID-0.7%WTD-1.0%MTD+1.1%YTD+13.5%
Cybersecurity-0.5%1D
94 names · 70% covaggregate only
ID-0.8%WTD-1.9%MTD+0.1%YTD+12.7%
Thematic performance reinforces the shift into commodity-linked and defense plays. Commodities/Materials rallies 1.34% intraday, extending its week-to-date gain to 2.68%, with 79.3% breadth. Defense/Aerospace adds 0.80% (WTD +2.98%) and Energy Transition gains 0.62%. Conversely, growth-oriented themes lag: Cybersecurity drops 0.84% (WTD -1.90%) with barely 29.7% advancing, and Cloud Software falls 0.73%. AI Infrastructure is flat to slightly negative (-0.13% WTD +1.25%), and Semiconductors recovers intraday (+0.21%) despite being down 8.01% month-to-date. The Healthcare/Biotech theme, flagged as degraded, is essentially unchanged (-0.11%).
Sigma Board
−3σ0+3σ
Growth - Value w1spread · -2.55% · 252d · n=252-1.25σ
% above SMA200breadth · 67.57 · 60d · n=60+1.17σ
Credit w1spread · +0.53% · 252d · n=252+1.06σ
EqualWeight - CapWeight w1spread · +1.12% · 252d · n=252+1.04σ
Growth - Value d1spread · -0.68% · 252d · n=252-0.71σ
EqualWeight - CapWeight d1spread · +0.35% · 252d · n=252+0.71σ
HighBeta - LowVol w1spread · -1.91% · 252d · n=252-0.69σ
Broken Momentum / Avoid d1basket · +0.69% · 60d · n=35+0.62σ
Extreme intraday movers cut across sectors and production styles. Leaders are Materials (+1.92%), Energy (+1.32%), and Utilities (+0.87%). At the theme level, Commodities/Materials rises 1.34%, and Defense/Aerospace adds 0.80%. The laggard board is dominated by production basket Smaller-Cap High-Beta Breakout (-1.32%), High-Vol Momentum style (-1.28%), and themes Cybersecurity (-0.84%) and Cloud Software (-0.73%). Information Technology (-0.62%) is the weakest sector. These moves reflect a rotation away from growth-sensitive tech and speculative bins toward real asset and defensive exposures.
Factor × Sector Map
Broken Momentum / Avoidn15
Materials
+2.7%1D
ID+2.7%WTD+2.8%MTD-1.9%
Oversold / Mean-Reversion Watchn3
Materials
+2.3%1D
ID+2.3%WTD+2.8%MTD-12.8%
Thematic Momentum Leadershipn7
Consumer Discretionary
+2.2%1D
ID+2.2%WTD+0.8%MTD+9.5%
Broken Momentum / Avoidn6
Energy
+1.9%1D
ID+1.9%WTD+2.2%MTD-2.2%
Extended Momentum Riskn7
Energy
+1.8%1D
ID+1.8%WTD+5.0%MTD+28.8%
Broken Momentum / Avoidn7
Utilities
+1.7%1D
ID+1.7%WTD+3.1%MTD-3.3%
Thematic Momentum Leadershipn5
Energy
+1.5%1D
ID+1.5%WTD+3.7%MTD+13.8%
Neutral / Transitionn16
Materials
+1.4%1D
ID+1.4%WTD+1.7%MTD-2.1%
Broken Momentum / Avoidn16
Financials
+1.1%1D
ID+1.1%WTD+2.0%MTD+3.6%
Broken Momentum / Avoidn32
Industrials
+1.0%1D
ID+1.0%WTD-0.2%MTD-6.3%
Neutral / Transitionn18
Energy
+1.0%1D
ID+1.0%WTD+2.2%MTD+5.3%
Neutral / Transitionn28
Utilities
+0.8%1D
ID+0.8%WTD-0.2%MTD-0.7%
Neutral / Transitionn30
Consumer Staples
+0.7%1D
ID+0.7%WTD+0.1%MTD+1.8%
Low-Vol Aligned Uptrendn11
Industrials
+0.7%1D
ID+0.8%WTD+0.5%MTD+2.7%
Institutional Large-Cap Accumulationn5
Industrials
+0.6%1D
ID+0.6%WTD+0.3%MTD+6.8%
Low-Vol Aligned Uptrendn8
Utilities
+0.6%1D
ID+0.6%WTD+0.5%MTD+4.1%
Neutral / Transitionn65
Consumer Discretionary
+0.6%1D
ID+0.6%WTD+0.0%MTD-0.2%
Thematic Momentum Leadershipn4
Consumer Staples
+0.5%1D
ID+0.5%WTD-0.7%MTD+3.1%
Broken Momentum / Avoidn9
Consumer Staples
+0.4%1D
ID+0.4%WTD-1.6%MTD-0.1%
Oversold / Mean-Reversion Watchn10
Industrials
+0.3%1D
ID+0.3%WTD-0.7%MTD-14.4%
Institutional Large-Cap Accumulationn6
Health Care
+0.3%1D
ID+0.3%WTD+1.2%MTD+3.4%
Neutral / Transitionn113
Industrials
+0.3%1D
ID+0.3%WTD+0.8%MTD-5.0%
Oversold / Mean-Reversion Watchn6
Information Technology
+0.2%1D
ID+0.2%WTD-0.5%MTD-16.8%
Broken Momentum / Avoidn11
Real Estate
+0.2%1D
ID+0.2%WTD-2.7%MTD-0.5%
Low-Vol Aligned Uptrendn13
Real Estate
+0.2%1D
ID+0.2%WTD-0.3%MTD+4.3%
Neutral / Transitionn61
Financials
+0.2%1D
ID+0.2%WTD+0.3%MTD+2.7%
Smaller-Cap High-Beta Breakoutn5
Consumer Discretionary
+0.2%1D
ID+0.2%WTD-0.1%MTD+10.0%
Broken Momentum / Avoidn25
Consumer Discretionary
+0.1%1D
ID+0.1%WTD-1.7%MTD-4.1%
Broken Momentum / Avoidn15
Communication Services
+0.1%1D
ID+0.1%WTD-0.7%MTD-0.2%
Neutral / Transitionn50
Health Care
+0.0%1D
ID+0.0%WTD-0.7%MTD+0.7%
Extended Momentum Riskn4
Financials
+0.0%1D
ID+0.0%WTD-0.8%MTD+18.8%
Neutral / Transitionn23
Real Estate
-0.0%1D
ID-0.0%WTD-1.1%MTD+0.6%
Broken Momentum / Avoidn27
Information Technology
-0.0%1D
ID-0.0%WTD+1.0%MTD-2.0%
Low-Vol Aligned Uptrendn6
Communication Services
-0.0%1D
ID-0.0%WTD-2.6%MTD+4.7%
Institutional Large-Cap Accumulationn12
Financials
-0.1%1D
ID-0.1%WTD-0.7%MTD+5.6%
Low-Vol Aligned Uptrendn3
Health Care
-0.1%1D
ID-0.1%WTD-2.2%MTD+1.8%
Thematic Momentum Leadershipn23
Financials
-0.1%1D
ID-0.1%WTD-0.6%MTD+5.3%
Broken Momentum / Avoidn13
Health Care
-0.2%1D
ID-0.2%WTD-1.9%MTD-2.1%
Low-Vol Aligned Uptrendn29
Financials
-0.2%1D
ID-0.2%WTD-1.1%MTD+2.4%
Thematic Momentum Leadershipn13
Real Estate
-0.3%1D
ID-0.3%WTD-0.8%MTD+3.8%
Neutral / Transitionn103
Information Technology
-0.6%1D
ID-0.6%WTD+3.1%MTD-7.6%
Extended Momentum Riskn5
Real Estate
-0.6%1D
ID-0.6%WTD+0.3%MTD+9.7%
Thematic Momentum Leadershipn29
Health Care
-0.8%1D
ID-0.8%WTD-0.2%MTD+1.5%
Neutral / Transitionn19
Communication Services
-0.9%1D
ID-0.9%WTD-1.6%MTD-0.9%
Thematic Momentum Leadershipn10
Information Technology
-1.3%1D
ID-1.3%WTD-3.0%MTD+5.2%
Institutional Large-Cap Accumulationn9
Information Technology
-1.5%1D
ID-1.5%WTD-2.6%MTD+2.5%
Smaller-Cap High-Beta Breakoutn20
Health Care
-1.5%1D
ID-1.5%WTD-1.4%MTD+2.3%
Smaller-Cap High-Beta Breakoutn6
Information Technology
-1.8%1D
ID-1.8%WTD-4.4%MTD-1.5%
Unclassified / Insufficient Datan3
Information Technology
-2.0%1D
ID-2.0%WTD+1.8%MTD-3.8%
Thematic Momentum Leadershipn3
Industrials
-2.9%1D
ID-2.9%WTD+1.9%MTD-1.8%
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-0.85
size-0.20
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 regime remains Choppy Neutral with a confidence of 0.87 and a composite score of 0.3375. This fresh regime, now three days old, is driven by conflicting signals: a trend score of 0.65 supported by SPY 7.24% above its 200-day moving average, but rotation at -0.85 reflecting sharp leadership flips and negative short-term correlation. Volatility sits at a muted 39.2nd percentile of the two-year range, and breadth scores 0.7 with 63.15% of stocks above the 50-day. The regime does not forecast direction but historically precedes elevated volatility and drawdown frequency.
Size and Breadth
| Size bucket | N | Intraday | D1 | WTD | Breadth |
|---|
| Large (>=5B) | 1004 | +0.15% | +0.15% | +0.29% | 55.0% adv |
| Micro Cap $250M-$1B | 201 | n/a | +0.00% | +1.05% | 0.0% adv |
| Nano Cap <$250M | 15 | n/a | +0.00% | -1.56% | 0.0% adv |
| Small Cap $1B-$5B | 807 | n/a | +0.00% | +0.13% | 0.0% adv |
| % > SMA50 | % > SMA200 | Advancers | Decliners | % Baskets Positive |
|---|
| 63.1% | 67.6% | 550 | 447 | 63.8% |
Large caps rose 0.15% intraday, while micro, nano, and small caps were flat, with small caps showing a modest 0.13% gain over three days. Breadth remains constructive: 63.15% of stocks above their 50-day moving average, 67.57% above the 200-day, and advancing issues outnumber decliners 550 to 447. Across size segments, only large caps had positive intraday breadth at 55%, while smaller-caps had 0% breadth due to reporting lags. The median relative volume for large caps sits at 0.5, indicating in-line participation.
Volume and Participation
| Dimension | Basket | Median RVol | % Members RVol>1.5 |
|---|
| production | Broken Momentum / Avoid | 0.62 | 10.8% |
| production | Extended Momentum Risk | 0.52 | 0.0% |
| production | Institutional Large-Cap Accumulation | 0.67 | 15.8% |
| production | Low-Vol Aligned Uptrend | 0.37 | 2.7% |
| production | Neutral / Transition | 0.47 | 6.9% |
| production | Oversold / Mean-Reversion Watch | 0.96 | 34.6% |
| production | Smaller-Cap High-Beta Breakout | 0.44 | 2.9% |
| production | Thematic Momentum Leadership | 0.43 | 5.2% |
| production | Unclassified / Insufficient Data | 0.64 | 12.5% |
| Ticker | Basket | RVol | Return | Note |
|---|
| PEGA | Broken Momentum / Avoid | 15.48 | -13.29% | distribution volume |
| SMCI | Broken Momentum / Avoid | 15.16 | +21.00% | breakout volume |
| PAG | Thematic Momentum Leadership | 11.50 | +11.06% | breakout volume |
| NTRS | Thematic Momentum Leadership | 10.80 | -3.07% | distribution volume |
| RDDT | Neutral / Transition | 8.43 | -9.86% | distribution volume |
Basket-level relative volume shows the Oversold / Mean-Reversion Watch basket with the highest median rvol at 0.96 and 34.6% of members trading above 1.5x normal volume, signaling active rebalancing. The Institutional Large-Cap Accumulation basket also saw elevated participation with rvol median 0.67 and 15.8% above 1.5x. In contrast, Low-Vol Aligned Uptrend remains subdued at 0.37 rvol. A notable anomaly: PEGA from Broken Momentum / Avoid basket traded 15.48x its normal volume while declining 13.29%, marking distribution.
Cross-Asset Confirmation
CAC +0.30 — mixed (positive = risk-supportive)
| Signal | 5d | Points |
|---|
| Credit (HYG−LQD) | +0.30% | +0.30 |
| Risk vs defensives | -0.58% | +0.00 |
| Dollar (−UUP) | -0.32% | +0.00 |
| Curve (IEF/TLT) | +0.24% | +0.00 |
Duration-in-disguise — 63d TLT beta of style spreads
| Spread | TLT β | β · SPY-ctrl | | β | %ile | Duration read |
|---|
| Momentum - LowVol | 1.29 | 0.19 | 98% | duration-driven (current, unstable) |
| Growth - Value | 0.16 | -0.25 | 67% | factor-driven (current, unstable) |
| HighBeta - LowVol | 1.41 | 0.00 | 98% | duration-driven (current, unstable) |
| Small - Large | 0.60 | 0.65 | 97% | duration-driven (persistent) |
Opportunity Watchlist
The morning opportunity screener is currently unavailable, with no top setups or intraday confirmations. As a result, we have no actionable long/short candidates from the systematic screen.
Multi-Horizon Context
| Basket | D3 | WTD | MTD |
|---|
| production: Broken Momentum / Avoid | +0.04% | +0.04% | -2.30% |
| production: Extended Momentum Risk | +1.56% | +1.56% | +17.59% |
| production: Institutional Large-Cap Accumulation | -0.72% | -0.72% | +4.79% |
| production: Low-Vol Aligned Uptrend | -0.57% | -0.57% | +2.87% |
| production: Neutral / Transition | +0.77% | +0.77% | -2.04% |
| production: Oversold / Mean-Reversion Watch | -0.33% | -0.33% | -15.37% |
| production: Smaller-Cap High-Beta Breakout | -1.44% | -1.44% | +3.57% |
| production: Thematic Momentum Leadership | -0.31% | -0.31% | +4.47% |
| production: Unclassified / Insufficient Data | -0.09% | -0.09% | -4.77% |
| theme: AI Infrastructure | +1.25% | +1.25% | -3.35% |
| theme: Cloud Software | -1.03% | -1.03% | +1.12% |
| theme: Commodities / Materials | +2.68% | +2.68% | -3.86% |
| theme: Consumer / Retail | -0.50% | -0.50% | +0.50% |
| theme: Crypto / Digital Assets | +1.84% | +1.84% | +2.29% |
| theme: Cybersecurity | -1.90% | -1.90% | +0.10% |
| theme: Defense / Aerospace | +2.98% | +2.98% | -6.72% |
| theme: Energy Transition | +1.98% | +1.98% | -4.80% |
| theme: Financials / Credit | -0.67% | -0.67% | +1.70% |
| theme: Healthcare / Biotech | +0.25% | +0.25% | +0.38% |
| theme: Housing / Real Estate | -0.57% | -0.57% | -0.69% |
| theme: Industrial Automation | +1.31% | +1.31% | -3.00% |
| theme: Macro Rates / Inflation | +0.62% | +0.62% | -0.28% |
| theme: Oil & Gas | +1.23% | +1.23% | +1.15% |
| theme: Semiconductors | +3.49% | +3.49% | -8.01% |
| sector: Communication Services | -1.40% | -1.40% | +0.10% |
| sector: Consumer Discretionary | -0.44% | -0.44% | -0.30% |
| sector: Consumer Staples | -0.17% | -0.17% | +2.31% |
| sector: Energy | +2.76% | +2.76% | +9.93% |
| sector: Financials | -0.02% | -0.02% | +3.55% |
| sector: Health Care | -0.81% | -0.81% | +0.66% |
| sector: Industrials | +0.53% | +0.53% | -4.66% |
| sector: Information Technology | +1.63% | +1.63% | -5.35% |
| sector: Materials | +2.23% | +2.23% | -2.88% |
| sector: Real Estate | -1.05% | -1.05% | +2.51% |
| sector: Utilities | +0.43% | +0.43% | -0.32% |
| size: Large (>=5B) | +0.29% | +0.29% | -0.58% |
| size: Micro Cap $250M-$1B | +1.05% | +1.05% | -1.20% |
| size: Nano Cap <$250M | -1.56% | -1.56% | +18.67% |
| size: Small Cap $1B-$5B | +0.13% | +0.13% | -0.14% |
| style: Base Building / Coiled | +0.20% | +0.20% | -1.15% |
| style: Extended Overbought Momentum | +2.50% | +2.50% | +19.79% |
| style: High-Vol Breakdown | +1.56% | +1.56% | -8.29% |
| style: High-Vol Momentum | -1.09% | -1.09% | +4.72% |
| style: Low-Vol Uptrend | -0.50% | -0.50% | +2.91% |
| style: Momentum Breakout / Leadership | -0.34% | -0.34% | +9.54% |
| style: Neutral / Transition | +0.58% | +0.58% | -2.24% |
| style: Normal Vol/Trend | +0.70% | +0.70% | -0.84% |
| style: Oversold / Mean-Reversion Watch | -0.33% | -0.33% | -15.37% |
| style: Persistent Uptrend / Compounder | -0.03% | -0.03% | +2.96% |
| style: Weak Downtrend / Avoid Momentum | +0.04% | +0.04% | -2.30% |
Energy and Materials lead intraday at 1.32% and 1.92%, extending week-to-date gains of 2.76% and 2.23%. Over the past month, Materials slid 6.1% while Energy surged 10.09%, highlighting commodity dispersion. Year-to-date, Energy’s 40.27% stands out. Meanwhile, Information Technology slipped 0.62% intraday and 5.35% month-to-date, but carries a 37.33% YTD and 61.93% one-year return. Health Care’s 71.07% one-year gain remains the strongest, though intraday breadth was just 26.19% advancing.
Top Single-Stock Setups (4h–1 Week)
#1CTVAMaterials100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.9/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 631w +2.4%MACD+CMF+Force+
Last$86.94
RSI64
1wk+2.4%
ATR stop−3.5%
1-week return vs Thematic Momentum Leadership basket (n=96)
-15%+10%
#2EOGEnergy100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.7/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 631w +4.6%MACD+CMF+Force+
Last$143.44
RSI63
1wk+4.7%
ATR stop−3.7%
1-week return vs Thematic Momentum Leadership basket (n=96)
-15%+10%
#3OHIReal Estate100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.3/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 641w +4.7%MACD+CMF+Force+
Last$50.60
RSI64
1wk+4.7%
ATR stop−3.0%
1-week return vs Thematic Momentum Leadership basket (n=96)
-15%+10%
#4OVVEnergy98
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.7/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 641w +5.4%MACD+CMF+Force+
Last$59.37
RSI65
1wk+5.4%
ATR stop−4.0%
1-week return vs Thematic Momentum Leadership basket (n=96)
-15%+10%
#5VTRSHealth Care98
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 8.1/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 651w +6.6%MACD+CMF+Force+
Last$17.59
RSI65
1wk+6.6%
ATR stop−4.4%
1-week return vs Thematic Momentum Leadership basket (n=96)
-15%+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 | 2026-07-22T09:45:00-04:00 |
| warehouse_snapshot | 2026-07-22 |
| proxy_daily | 2026-07-21 |
| screener_artifact | unavailable |
| 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: screener artifact unavailable or stale
- Warning: thin production basket: Unclassified / Insufficient Data n_members=8 (<10); exclude from broad leadership claims
- Report generated at 2026-07-22T10:01:50-04:00; every figure above is computed deterministically from report.json