Midday · market state
Constructive Rotationheld 0 td · typically ~5 td · ~5 td left · fresh · p(stay) 0.80
0td in — ~5td of typical dwell leftfresh
age 0tdtypical dwell ~5td
SPY -1.21% since prior close; Institutional Large-Cap Accumulation leads (+0.21%), Broken Momentum / Avoid lags (-1.02%).
Risk-STATE gauge — monotone in forward volatility, not direction. Size to the state; don't chase the label.
Session Snapshot
CAC -0.25mixed
−risk-off0+risk-on
Equitiesbroad index tape · 0/8 adv
-0.87%med
RSP -0.4%MDY -0.5%IWM -0.8%IJR -0.8%DIA -0.9%VTI -1.1%SPY -1.2%QQQ -1.8%
Rates & Creditduration + credit spread · 0/4 adv
-0.34%med
IEF -0.2%TLT -0.3%HYG -0.3%LQD -0.4%
Commodities & FXgold · oil · the dollar · 2/3 adv
+0.39%med
USO +6.8%UUP +0.4%GLD -2.0%
Globalint'l / EM equity · 1/5 adv
-1.22%med
FXI +0.1%EEM -0.6%EFA -1.2%EWJ -1.2%VGK -1.3%
SPY-1.2%rvol 1.6
QQQ-1.8%rvol 1.9
DIA-0.9%rvol 1.8
IWM-0.8%rvol 2.2
MDY-0.5%rvol 0.8
IJR-0.8%rvol 1.4
RSP-0.4%rvol 1.3
VTI-1.1%rvol 1.8
XLK-0.8%rvol 1.2
XLF-0.6%rvol 0.9
XLE+0.9%rvol 2.1
XLV+0.9%rvol 1.0
XLI+1.8%rvol 2.1
XLY-4.5%rvol 2.1
XLP-1.5%rvol 1.3
XLU+0.4%rvol 0.9
XLB-0.9%rvol 1.2
XLC-3.2%rvol 2.7
XLRE+0.1%rvol 1.4
MTUM+0.2%rvol 0.7
VLUE+0.4%rvol 0.6
QUAL-0.7%rvol 0.6
USMV-0.2%rvol 1.1
SPLV+0.1%rvol 1.2
SPHB-0.5%rvol 1.0
IWF-1.8%rvol 1.0
IWD-0.6%rvol 0.8
VUG-2.2%rvol 1.2
VTV+0.2%rvol 1.0
SMH-1.0%rvol 0.8
XBI+0.2%rvol 1.0
ITA+3.1%rvol 1.8
KRE-1.4%rvol 2.2
XHB-0.5%rvol 1.2
TAN-1.7%rvol 0.9
TLT-0.3%rvol 2.4
IEF-0.2%rvol 1.6
HYG-0.3%rvol 2.3
LQD-0.4%rvol 2.6
GLD-2.0%rvol 2.6
USO+6.8%rvol 3.6
UUP+0.4%rvol 1.0
EFA-1.2%rvol 1.9
EEM-0.6%rvol 0.9
VGK-1.3%rvol 2.3
EWJ-1.2%rvol 1.4
FXI+0.1%rvol 1.2
Midday action shows sharp divergence with Energy advancing 0.18% and Health Care 0.45% while Communication Services plunges 2.4% and Consumer Staples down 2.27%. Breadth remains narrow: only 6.98% of Communication Services members advanced, versus 65.91% in Utilities and 60.0% in Energy. The Constructive Rotation regime, at 0.8 confidence, persists with a composite score of 0.5225. Intraday theme performance is led by Defense / Aerospace up 0.71%, while Consumer / Retail lags at -1.38%. The session’s extreme dispersion reflects ongoing rotation rather than broad-based selloff.
SPY-1.21%gap -1.08% · open -0.13%
Best factor+0.21%Institutional Large-Cap Accumulation
Worst factor-1.02%Broken Momentum / Avoid
Breadth15%baskets +ve · A/D 373/626
Actionable Trading Ideas
High convictionregime:04 · n=194
Size the book to Constructive Rotation, don't chase it — the label reads forward volatility, not direction (persists ~5 td, p_stay 0.80).
Regime context — size to the state: Constructive Rotation
Constructive Rotation (composite 0.52, confidence 0.80)
InvalidationInvalidated on a confirmed regime transition (the two-run confirmation rule).
why / how
EvidenceThis regime historically persists ~5 td, p_stay 0.80. 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 KRE'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
ACI gapped -14.38% 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 KRE, DIA, SPY 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
Institutional Large-Cap Accumulation+0.21%
34 names · 100% cov · rvol 0.86
move vs all baskets today
-1%med -0%+0%
+0.21%100ᵗʰ pctile
ID+0.2%
1D+0.2%
3D+1.4%
1W+0.7%
MTD+5.5%
1M+8.6%
3M+21.0%
YTD+28.7%
1Y+41.7%
2Y+60.0%
Extended Momentum Risk-0.03%
21 names · 100% cov · rvol 0.96
move vs all baskets today
-1%med -0%+0%
-0.03%89ᵗʰ pctile
ID-0.0%
1D-0.0%
3D+1.7%
1W+4.3%
MTD+18.5%
1M+22.7%
3M+26.6%
YTD+58.1%
1Y+58.2%
2Y+55.5%
Low-Vol Aligned Uptrend-0.35%
91 names · 99% cov · rvol 0.79
move vs all baskets today
-1%med -0%+0%
-0.35%78ᵗʰ pctile
ID-0.3%
1D-0.3%
3D-0.1%
1W-0.9%
MTD+2.5%
1M+4.0%
3M+6.4%
YTD+14.3%
1Y+17.9%
2Y+29.0%
Neutral / Transition-0.44%
539 names · 100% cov · rvol 0.79
move vs all baskets today
-1%med -0%+0%
-0.44%67ᵗʰ pctile
ID-0.4%
1D-0.4%
3D+0.5%
1W-0.8%
MTD-3.0%
1M-0.6%
3M+6.0%
YTD+22.6%
1Y+38.8%
2Y+59.9%
Unclassified / Insufficient Data thin — n<10-0.46%
8 names · 100% cov · rvol 0.67
move vs all baskets today
-1%med -0%+0%
-0.46%56ᵗʰ pctile
ID-0.5%
1D-0.5%
3D-0.7%
1W-1.7%
MTD-6.6%
1M-0.4%
3M+6.7%
YTD+32.3%
Thematic Momentum Leadership-0.78%
88 names · 100% cov · rvol 0.74
move vs all baskets today
-1%med -0%+0%
-0.78%44ᵗʰ pctile
ID-0.8%
1D-0.8%
3D-0.4%
1W-1.1%
MTD+4.2%
1M+8.1%
3M+23.6%
YTD+30.6%
1Y+45.9%
2Y+61.8%
Oversold / Mean-Reversion Watch-0.83%
24 names · 96% cov · rvol 1.10
move vs all baskets today
-1%med -0%+0%
-0.83%33ᵗʰ pctile
ID-0.8%
1D-0.8%
3D-2.5%
1W-7.5%
MTD-17.8%
1M-18.7%
3M-20.8%
YTD-11.0%
1Y+8.1%
2Y+75.6%
Smaller-Cap High-Beta Breakout-1.00%
30 names · 100% cov · rvol 0.70
move vs all baskets today
-1%med -0%+0%
-1.00%22ᵗʰ pctile
ID-1.0%
1D-1.0%
3D-0.4%
1W+0.1%
MTD+1.8%
1M+11.2%
3M+46.4%
YTD+75.2%
1Y+137.8%
2Y+150.4%
Broken Momentum / Avoid-1.02%
169 names · 100% cov · rvol 0.94
move vs all baskets today
-1%med -0%+0%
-1.02%11ᵗʰ pctile
ID-1.0%
1D-1.0%
3D-1.6%
1W-3.6%
MTD-4.2%
1M-4.0%
3M-17.5%
YTD-18.5%
1Y-14.8%
2Y+15.9%
Factor performance this week is dominated by momentum surging 4.89% relative to low volatility, while high-beta underperforms low-vol by 1.62%. Growth lags value by -0.67%, and credit factors are marginally positive at 0.44%. The High-Vol Breakdown factor basket is down 1.28% intraday and 1.09% week-to-date, confirming the aversion to elevated volatility. The dispersion continues with size factors showing small-caps outperforming large-caps by 0.41% today and 0.24% over the week, though trailing one month small-cap underperformance of -1.96% persists. This factor configuration aligns with the Constructive Rotation regime, favoring defensiveness and momentum persistence.
Sector Rotation
Industrials+0.57%
Health Care+0.45%
Energy+0.18%
Utilities+0.08%
Real Estate-0.54%
Materials-0.61%
Information Technology-0.67%
Financials-1.06%
Consumer Discretionary-1.68%
Consumer Staples-2.27%
Communication Services-2.40%
Sector performance at midday is bifurcated. Energy leads with 0.18% intraday, Health Care up 0.45%, and Industrials 0.57%, while Communication Services sinks 2.4%, Consumer Staples 2.27%, and Consumer Discretionary 1.68%. Week-to-date, Energy gains 3.14%, Industrials 1.1%, and Utilities 1.49%, but Communication Services is down 4.46%. Year-to-date Energy remains the standout at 40.37%, while Health Care has climbed 26.1% and Information Technology 35.92%. Breadth tells the same story: 60% of Energy members advanced, 54.76% in Health Care, versus 6.98% in Communication Services. The rotation out of growth-sensitive Communication Services and into defensive and cyclical value sectors defines the session.
Themes and Keyword Baskets
Defense / Aerospace+0.4%1D
202 names · 79% cov
ID+0.7%WTD+2.4%MTD-7.2%YTD+26.3%
Commodities / Materials+0.1%1D
161 names · 75% cov
ID+0.1%WTD+2.8%MTD-3.7%YTD+10.3%
Healthcare / Biotech degraded+0.1%1D
673 names · 58% cov
ID+0.1%WTD-0.9%MTD-0.8%YTD+23.2%
Industrial Automation-0.1%1D
494 names · 77% covaggregate only
ID-0.1%WTD+0.6%MTD-3.7%YTD+22.8%
Energy Transition-0.2%1D
240 names · 82% cov
ID-0.3%WTD+1.5%MTD-5.3%YTD+22.8%
Cybersecurity-0.2%1D
94 names · 70% covaggregate only
ID-0.3%WTD-3.4%MTD-1.6%YTD+10.8%
Oil & Gas-0.2%1D
269 names · 85% cov
ID-0.3%WTD+1.0%MTD+1.0%YTD+21.0%
Semiconductors-0.2%1D
188 names · 89% cov
ID-0.3%WTD+2.5%MTD-9.0%YTD+53.3%
AI Infrastructure-0.3%1D
838 names · 80% covaggregate only
ID-0.6%WTD-0.1%MTD-4.7%YTD+21.0%
Housing / Real Estate-0.4%1D
439 names · 71% cov
ID-0.7%WTD-1.5%MTD-1.6%YTD+10.8%
Macro Rates / Inflation-0.4%1D
506 names · 77% covaggregate only
ID-0.7%WTD-0.3%MTD-1.2%YTD+15.1%
Financials / Credit-0.5%1D
646 names · 63% cov
ID-1.1%WTD-2.2%MTD+0.1%YTD+11.4%
Cloud Software-0.6%1D
258 names · 79% covaggregate only
ID-1.0%WTD-3.4%MTD-1.5%YTD+10.9%
Crypto / Digital Assets-0.7%1D
150 names · 69% covaggregate only
ID-1.0%WTD+0.4%MTD+0.9%YTD+13.4%
Consumer / Retail-0.8%1D
467 names · 75% cov
ID-1.4%WTD-1.8%MTD-0.8%YTD+7.2%
Theme performance echoes the sector rotation. Defense / Aerospace leads with 0.71% intraday and 2.36% week-to-date, supported by 62.07% advancing breadth. Healthcare / Biotech, despite a degraded coverage flag, edges up 0.13% today. Commodities / Materials adds 0.10% today and 2.77% this week. In contrast, Consumer / Retail plunges 1.38% intraday and 1.81% week-to-date, with only 13.64% of members advancing. Crypto / Digital Assets declines 1.04% intraday, and Financials / Credit gives up 1.05%. The theme leaderboard affirms the defensive tilt: robust demand for aerospace, healthcare, and commodities, while consumer-facing and speculative digital assets see heavy selling pressure.
Sigma Board
−3σ0+3σ
EqualWeight - CapWeight d1spread · +0.80% · 252d · n=252+1.58σ
Momentum - LowVol w1spread · +4.89% · 252d · n=252+1.47σ
Growth - Value d1spread · -1.22% · 252d · n=252-1.31σ
Broken Momentum / Avoid d1basket · -1.02% · 60d · n=36-1.27σ
Duration w1spread · -1.24% · 252d · n=252-0.97σ
Credit w1spread · +0.44% · 252d · n=252+0.87σ
Adv/Dec ratiobreadth · 0.60 · 60d · n=60-0.86σ
% above SMA50breadth · 57.73 · 60d · n=60-0.85σ
Volatility signals are contained but with pockets of stress. Realized volatility percentile sits at 29.7, and intraday range versus 20-day average true range is 0.988. Relative volume medians highlight Oversold / Mean-Reversion Watch baskets at 1.1 rvol, with 30.4% of members exceeding 1.5x typical volume. Broken Momentum / Avoid baskets register 0.94 median rvol and Extended Momentum Risk 0.96. Anomaly detection flags ACI with 12.4x volume on a -22.05% distribution day, and DGX at 6.95x volume on a 4.97% breakout. Sector rvol medians peak in Energy at 1.09 and Materials at 0.92, while Health Care and Real Estate show lower turnover at 0.69 and 0.74.
Factor × Sector Map
Institutional Large-Cap Accumulationn8
Industrials
+2.5%1D
ID+2.5%WTD+3.2%MTD+8.8%
Low-Vol Aligned Uptrendn3
Health Care
+2.2%1D
ID+2.2%WTD+1.0%MTD+3.1%
Broken Momentum / Avoidn32
Industrials
+1.0%1D
ID+1.0%WTD+0.8%MTD-6.1%
Thematic Momentum Leadershipn7
Energy
+0.8%1D
ID+0.8%WTD+5.5%MTD+14.2%
Neutral / Transitionn52
Health Care
+0.7%1D
ID+0.7%WTD-1.4%MTD-0.2%
Low-Vol Aligned Uptrendn14
Industrials
+0.6%1D
ID+0.7%WTD+0.7%MTD+1.7%
Neutral / Transitionn112
Industrials
+0.4%1D
ID+0.4%WTD+1.3%MTD-4.9%
Institutional Large-Cap Accumulationn7
Health Care
+0.4%1D
ID+0.4%WTD+0.7%MTD+2.6%
Broken Momentum / Avoidn14
Health Care
+0.4%1D
ID+0.4%WTD-2.4%MTD-2.5%
Neutral / Transitionn21
Utilities
+0.3%1D
ID+0.3%WTD+1.9%MTD-0.2%
Thematic Momentum Leadershipn28
Health Care
+0.2%1D
ID+0.2%WTD-0.4%MTD+2.9%
Low-Vol Aligned Uptrendn20
Utilities
+0.1%1D
ID+0.1%WTD+1.1%MTD+3.2%
Neutral / Transitionn22
Materials
-0.0%1D
ID-0.0%WTD+0.9%MTD-2.4%
Neutral / Transitionn18
Energy
-0.1%1D
ID-0.1%WTD+2.7%MTD+4.6%
Neutral / Transitionn26
Real Estate
-0.1%1D
ID-0.1%WTD-1.8%MTD-0.1%
Extended Momentum Riskn8
Energy
-0.1%1D
ID-0.1%WTD+3.4%MTD+26.9%
Smaller-Cap High-Beta Breakoutn17
Health Care
-0.1%1D
ID-0.1%WTD-0.5%MTD+1.9%
Smaller-Cap High-Beta Breakoutn5
Consumer Discretionary
-0.2%1D
ID-0.2%WTD-1.4%MTD+8.7%
Neutral / Transitionn103
Information Technology
-0.5%1D
ID-0.5%WTD+2.3%MTD-8.9%
Neutral / Transitionn66
Financials
-0.7%1D
ID-0.7%WTD-0.7%MTD+0.9%
Low-Vol Aligned Uptrendn16
Real Estate
-0.9%1D
ID-0.9%WTD-1.8%MTD+3.7%
Broken Momentum / Avoidn31
Information Technology
-0.9%1D
ID-0.9%WTD-2.7%MTD-3.7%
Broken Momentum / Avoidn10
Real Estate
-0.9%1D
ID-0.9%WTD-3.6%MTD-0.9%
Institutional Large-Cap Accumulationn10
Financials
-0.9%1D
ID-0.9%WTD-1.3%MTD+4.6%
Thematic Momentum Leadershipn12
Real Estate
-0.9%1D
ID-0.9%WTD-2.3%MTD+2.7%
Low-Vol Aligned Uptrendn27
Financials
-1.0%1D
ID-1.0%WTD-1.8%MTD+2.2%
Smaller-Cap High-Beta Breakoutn6
Information Technology
-1.0%1D
ID-1.0%WTD-3.9%MTD-0.7%
Oversold / Mean-Reversion Watchn6
Industrials
-1.0%1D
ID-1.0%WTD-3.5%MTD-18.3%
Oversold / Mean-Reversion Watchn6
Information Technology
-1.0%1D
ID-1.0%WTD-7.0%MTD-20.1%
Unclassified / Insufficient Datan3
Information Technology
-1.0%1D
ID-1.0%WTD-0.9%MTD-6.9%
Institutional Large-Cap Accumulationn6
Information Technology
-1.2%1D
ID-1.2%WTD+0.8%MTD+4.3%
Broken Momentum / Avoidn18
Financials
-1.3%1D
ID-1.3%WTD-3.0%MTD+0.2%
Oversold / Mean-Reversion Watchn3
Materials
-1.4%1D
ID-1.4%WTD-0.3%MTD-15.4%
Thematic Momentum Leadershipn9
Information Technology
-1.7%1D
ID-1.7%WTD-6.6%MTD+0.2%
Neutral / Transitionn66
Consumer Discretionary
-1.7%1D
ID-1.7%WTD-1.9%MTD-2.0%
Low-Vol Aligned Uptrendn4
Communication Services
-1.8%1D
ID-1.8%WTD-3.7%MTD+3.4%
Broken Momentum / Avoidn10
Materials
-1.8%1D
ID-1.8%WTD+1.4%MTD-4.5%
Neutral / Transitionn30
Consumer Staples
-1.9%1D
ID-1.9%WTD-2.6%MTD-0.9%
Broken Momentum / Avoidn26
Consumer Discretionary
-1.9%1D
ID-1.9%WTD-4.3%MTD-7.1%
Thematic Momentum Leadershipn4
Consumer Discretionary
-1.9%1D
ID-1.9%WTD-2.2%MTD+5.6%
Thematic Momentum Leadershipn22
Financials
-2.0%1D
ID-2.0%WTD-2.9%MTD+5.0%
Thematic Momentum Leadershipn3
Consumer Staples
-2.1%1D
ID-2.1%WTD-0.4%MTD+2.6%
Neutral / Transitionn23
Communication Services
-2.3%1D
ID-2.3%WTD-4.5%MTD-2.5%
Broken Momentum / Avoidn14
Communication Services
-2.9%1D
ID-2.9%WTD-4.8%MTD-4.3%
Broken Momentum / Avoidn10
Consumer Staples
-3.8%1D
ID-3.8%WTD-5.5%MTD-4.1%
Where each factor basket is working by sector — sorted by 1-day equal-weight return, ≥3 names per cell.
Regime Assessment
trend+0.25
breadth+0.30
volatility+0.25
rotation+1.90
size+0.40
style+0.75
p(stay 1d)0.80
p(persist 5d)0.31
expected dwell5.0 td
samplen=194
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 labeled Constructive Rotation with a composite score of 0.5225, fresh and expected to persist 5 days. Rotation drives the score at 1.9, while trend is low at 0.25 and volatility at 0.25 (29.7th percentile). Broadly, 57.73% of stocks are above their 50-day moving average, but only 14.89% of production baskets are positive. The style component shows momentum outperforming low volatility by 4.89% over the past week, reflecting a choppy, non-trending environment with rapid sector rotation.
Size and Breadth
| Size bucket | N | Intraday | D1 | WTD | Breadth |
|---|
| Large (>=5B) | 1004 | -0.55% | -0.55% | -0.63% | 37.3% adv |
| Micro Cap $250M-$1B | 201 | n/a | +0.00% | -0.09% | 0.0% adv |
| Nano Cap <$250M | 15 | n/a | +0.00% | -3.71% | 0.0% adv |
| Small Cap $1B-$5B | 807 | n/a | +0.00% | -0.97% | 0.0% adv |
| % > SMA50 | % > SMA200 | Advancers | Decliners | % Baskets Positive |
|---|
| 57.7% | 65.5% | 373 | 626 | 14.9% |
Breadth remains narrow with only 14.89% of production baskets positive and a declining advance-decline ratio of 0.596. Sector breadth ranges from 4.26% advancing in Consumer Staples to 65.91% in Utilities, reflecting extreme dispersion. The size factor shows small caps outperforming large by 0.41% intraday, but over the past month small has lagged by 1.96%. With 57.73% of stocks above their 50-day moving average, participation is moderate but increasingly selective.
Cross-Sectional Dispersion
| Cross-section | Dispersion σ | IQR | z60 | z252 | State | Widest up / down |
|---|
| Styles | +0.36% | +0.50% | -1.26 (n=60) | -0.73 (n=252) | Compressed | SPLV +0.62% / VUG -0.52% |
| Sectors | +0.99% | +1.25% | -0.35 (n=60) | 0.30 (n=252) | Normal | XLU +2.25% / XLC -0.75% |
Volume and Participation
| Dimension | Basket | Median RVol | % Members RVol>1.5 |
|---|
| production | Broken Momentum / Avoid | 0.94 | 17.8% |
| production | Extended Momentum Risk | 0.96 | 14.3% |
| production | Institutional Large-Cap Accumulation | 0.86 | 17.6% |
| production | Low-Vol Aligned Uptrend | 0.79 | 13.5% |
| production | Neutral / Transition | 0.79 | 13.9% |
| production | Oversold / Mean-Reversion Watch | 1.10 | 30.4% |
| production | Smaller-Cap High-Beta Breakout | 0.70 | 16.7% |
| production | Thematic Momentum Leadership | 0.74 | 9.1% |
| production | Unclassified / Insufficient Data | 0.67 | 0.0% |
| Ticker | Basket | RVol | Return | Note |
|---|
| ACI | Broken Momentum / Avoid | 12.40 | -22.05% | distribution volume |
| DGX | Low-Vol Aligned Uptrend | 6.95 | +4.97% | breakout volume |
| DOV | Neutral / Transition | 6.61 | -7.84% | distribution volume |
| MEDP | Neutral / Transition | 6.16 | +14.41% | breakout volume |
| CLF | Neutral / Transition | 5.66 | +19.31% | breakout volume |
Volume participation is led by the Oversold/Mean-Reversion Watch basket with a median rvol of 1.1 and 30.4% of members above 1.5x. Thematic Momentum Leadership shows the lowest elevated volume at 9.1%. Anomalies include ACI distribution volume (rvol 12.4, -22.05%) and DGX breakout volume (rvol 6.95, +4.97%). The session’s volume profile skews toward distribution and mean-reversion, with institutional flows concentrated in those baskets.
Cross-Asset Confirmation
CAC -0.25 — mixed (positive = risk-supportive)
| Signal | 5d | Points |
|---|
| 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
| Spread | TLT β | β · SPY-ctrl | | β | %ile | Duration read |
|---|
| Momentum - LowVol | 1.30 | 0.21 | 98% | duration-driven (current, unstable) |
| Growth - Value | 0.17 | -0.24 | 68% | factor-driven (current, unstable) |
| HighBeta - LowVol | 1.45 | 0.05 | 99% | duration-driven (current, unstable) |
| Small - Large | 0.61 | 0.65 | 97% | duration-driven (persistent) |
Opportunity Watchlist
| Ticker | Sector | Opportunity | Wave stage | Regime fit |
|---|
| UEC | Energy | 92.4 | Wave 1 / accumulation | 96.2 |
| EPRT | Real Estate | 88.4 | Wave 3-5 / breakout | 95.4 |
| CELH | Consumer Staples | 92.5 | Wave 1 / accumulation | 94.3 |
| CMCSA | Communication Services | 92.4 | Wave 1 / accumulation | 94.2 |
| SFM | Consumer Staples | 88.3 | Wave 1 / accumulation | 92.4 |
| Ticker | Since close | Vs basket | Read |
|---|
| UEC | +0.10% | +1.12% | confirms |
| EPRT | -1.35% | -1.00% | diverges |
| CELH | -4.23% | -3.21% | diverges |
| CMCSA | -4.06% | -3.04% | diverges |
| SFM | -1.44% | -1.00% | diverges |
Top screener opportunities include UEC (92.4) and CELH (92.5) in accumulation waves, but only UEC confirms intraday with a 0.10% gain versus its basket; EPRT (88.4) in breakout fails confirmation. Pattern setups favor shorts: DKNG donchian breakdown (73.49) and RIOT double top (73.24), with a few long flags like TGTX (69.36). The opportunity set skews toward mean-reversion and breakdown trades, reflecting distribution-heavy institutional behavior.
Multi-Horizon Context
| Basket | D3 | WTD | MTD |
|---|
| production: Broken Momentum / Avoid | -1.55% | -2.30% | -4.19% |
| production: Extended Momentum Risk | +1.72% | +2.07% | +18.52% |
| production: Institutional Large-Cap Accumulation | +1.38% | +0.77% | +5.49% |
| production: Low-Vol Aligned Uptrend | -0.12% | -0.63% | +2.53% |
| production: Neutral / Transition | +0.51% | +0.04% | -2.98% |
| production: Oversold / Mean-Reversion Watch | -2.53% | -3.82% | -17.75% |
| production: Smaller-Cap High-Beta Breakout | -0.42% | -1.98% | +1.80% |
| production: Thematic Momentum Leadership | -0.41% | -1.35% | +4.15% |
| production: Unclassified / Insufficient Data | -0.69% | -1.75% | -6.63% |
| theme: AI Infrastructure | +0.30% | -0.05% | -4.70% |
| theme: Cloud Software | -3.12% | -3.44% | -1.49% |
| theme: Commodities / Materials | +3.85% | +2.77% | -3.72% |
| theme: Consumer / Retail | -1.20% | -1.81% | -0.83% |
| theme: Crypto / Digital Assets | -0.03% | +0.39% | +0.87% |
| theme: Cybersecurity | -3.15% | -3.37% | -1.59% |
| theme: Defense / Aerospace | +3.08% | +2.36% | -7.15% |
| theme: Energy Transition | +2.11% | +1.46% | -5.28% |
| theme: Financials / Credit | -1.42% | -2.20% | +0.15% |
| theme: Healthcare / Biotech | +0.79% | -0.91% | -0.83% |
| theme: Housing / Real Estate | -0.54% | -1.53% | -1.65% |
| theme: Industrial Automation | +1.32% | +0.60% | -3.69% |
| theme: Macro Rates / Inflation | +0.46% | -0.33% | -1.23% |
| theme: Oil & Gas | +1.31% | +1.00% | +0.97% |
| theme: Semiconductors | +2.89% | +2.48% | -8.97% |
| sector: Communication Services | -3.99% | -4.46% | -3.04% |
| sector: Consumer Discretionary | -1.54% | -2.57% | -2.43% |
| sector: Consumer Staples | -2.56% | -2.87% | -0.50% |
| sector: Energy | +2.98% | +3.14% | +10.26% |
| sector: Financials | -1.38% | -1.56% | +1.91% |
| sector: Health Care | +0.48% | -1.01% | +0.42% |
| sector: Industrials | +2.09% | +1.10% | -4.14% |
| sector: Information Technology | -0.04% | +0.20% | -6.91% |
| sector: Materials | +2.26% | +1.08% | -3.91% |
| sector: Real Estate | -1.22% | -2.03% | +1.48% |
| sector: Utilities | +2.01% | +1.49% | +0.76% |
| size: Large (>=5B) | -0.02% | -0.63% | -1.56% |
| size: Micro Cap $250M-$1B | +1.26% | -0.09% | -2.21% |
| size: Nano Cap <$250M | -1.05% | -3.71% | +14.18% |
| size: Small Cap $1B-$5B | -0.05% | -0.97% | -1.23% |
| style: Base Building / Coiled | -0.44% | -1.01% | -2.41% |
| style: Extended Overbought Momentum | +1.66% | +2.34% | +15.98% |
| style: High-Vol Breakdown | -0.32% | -1.09% | -10.88% |
| style: High-Vol Momentum | -0.79% | -1.93% | +3.86% |
| style: Low-Vol Uptrend | -0.30% | -0.92% | +2.26% |
| style: Momentum Breakout / Leadership | +0.50% | -0.20% | +10.33% |
| style: Neutral / Transition | +0.23% | -0.26% | -2.86% |
| style: Normal Vol/Trend | +0.76% | +0.22% | -1.59% |
| style: Oversold / Mean-Reversion Watch | -2.53% | -3.82% | -17.75% |
| style: Persistent Uptrend / Compounder | +0.76% | -0.03% | +2.61% |
| style: Weak Downtrend / Avoid Momentum | -1.55% | -2.30% | -4.19% |
Energy leads all horizons with YTD +40.37% and week-to-date +3.14%, while Communication Services trails at YTD -8.11% and today -2.4%. Themes show Defense/Aerospace YTD +26.29% versus Cloud Software +10.92%. On a one-month view, Health Care gained +6.12% while Consumer Staples declined -1.63% over the past year. Multi-horizon dispersion remains wide, with energy and industrials displaying persistent relative strength and communication/consumer segments consistently underperforming.
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
| Source | As of |
|---|
| intraday_bars | 2026-07-23T12:45:00-04:00 |
| warehouse_snapshot | 2026-07-23 |
| proxy_daily | 2026-07-22 |
| screener_artifact | 2026-07-22T20:54:46.778582-04:00 |
| 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 2026-07-23T13:01:18-04:00; every figure above is computed deterministically from report.json