Cybersecurity+0.6%1D
94 names · 70% covaggregate only
ID+1.1%WTD-3.8%MTD-2.0%YTD+10.1%
Morning · market state
Choppy Neutral
BeganThu Jul 23 · premarket · 07:00 ETheld 1 td
Typical dwell~7.7 tdp(stay 1d) 0.87 · fresh
Implied through~Tue Aug 4~7 td left
When it breaks, historically →→ Constructive Rotation 52%→ Distribution Risk 29%→ Risk-Off Stress 10%→ Risk-On Trend 8%
1td in — ~7td of typical dwell leftfresh
age 1tdtypical dwell ~8td
SPY +0.17% since prior close; Low-Vol Aligned Uptrend leads (+0.77%), Smaller-Cap High-Beta Breakout lags (-0.48%).
Risk-STATE gauge — monotone in forward volatility, not direction. Size to the state; don't chase the label.
Regime Tilts — What Moves With This Tape
Today's tape tracks this regime's historical tilt on 2/4 cells · biggest divergence: SMH -1.7% rel vs a +12bp/d historical tilt.
Relative to SPY, bp/day with hit rates; n≈506 days per cell · empirical rel-SPY tilts, 2021-07-26..2026-07-22, labels=v1.1+2-run, min-n 60, refit annually. Same-day = state description; next-day = tradeable lean (reversion-flavored at the extremes).
Intelligence Summary
Session
The session opened with a bid across defensives and real assets: Real Estate leads sectors at +1.30% intraday, followed by Cybersecurity at +1.14% and Housing/Real Estate at +0.95%. Breadth is healthy with 724 advancing issues versus 275 declining, yet small caps stumble — Small Cap $1B-$5B falls -0.79% intraday. Volume anomalies include breakout activity in SXT (rvol 9.84) and THC (rvol 9.21), while MXL sees distribution on rvol 8.06. The Choppy Neutral regime persists with a composite of 0.45.
Factors
Factor performance week-to-date is bifurcated: Extended Momentum Risk surges +4.62%, Institutional Large-Cap Accumulation adds +1.99%, while Oversold / Mean-Reversion Watch plunges -5.78% and Broken Momentum/Avoid declines -1.41%. Intraday, Low-Vol Aligned Uptrend gains +0.77% on 93.8% advancing breadth, contrasting with Smaller-Cap High-Beta Breakout down -0.48%. The Momentum Leadership - Broken Momentum spread stands at +3.40% wtd, and Quality - Extended Risk spread at -3.70% wtd, underscoring sharp style divergence.
Sectors
Sector leadership is narrowly concentrated: Real Estate tops intraday at +1.30% with 100% advancing breadth, while Energy holds week-to-date gains of +3.36% and month-to-date +10.89%. Communication Services bleeds -3.97% wtd, and Technology manages only -0.07% intraday. The wave map places five sectors in Basing/early-cycle, including Consumer Discretionary and Communication Services, while Energy and Materials sit in Expansion/late acceleration. Small-cap weakness drags the Small - Large spread to -1.63% mtd.
Connections
- Adv/Dec ratio is stretched at +1.9σ — mean-reversion pressure. Sigma Board →
- Sharpest cell: Neutral / Transition × Real Estate +1.9% (n25) vs Smaller-Cap High-Beta Breakout × Information Technology -1.8% (n8) — long/short the spread, not the index. Factor × Sector →
- Rotation spread: Real Estate +1.3% over Information Technology -0.1% (1.4pp). Sector Rotation →
Session Snapshot
CAC -0.10mixed
−risk-off0+risk-on
Equitiesbroad index tape · 7/8 adv
+0.26%med
Rates & Creditduration + credit spread · 12/12 adv
+0.08%med
Commodities & FXgold · oil · the dollar · 3/5 adv
+0.04%med
Globalint'l / EM equity · 7/14 adv
+0.08%med
US Benchmarks8
Rates & Credit12
Global15FLIN +1.2% · EWO +0.0%
Style & Factor11
Sectors11
Industry Themes11ITA +1.3% · DRAM -5.7%
Bellwether Singles22AAPL +1.6% · NBIS -7.6%
VIX is not carried on the board (no tradeable-feed source); the Regime volatility component and Sigma Board carry the vol read.
SPY+0.17%gap +0.04% · open +0.13%
Best factor+0.77%Low-Vol Aligned Uptrend
Worst factor-0.48%Smaller-Cap High-Beta Breakout
Breadth81%baskets +ve · A/D 724/275
Up/Down Vol0.86xvolume in advancers vs decliners
Actionable Trading Ideas
0 of 4 playbooks triggered this run. Absence of a triggered edge is a position — no forced trade.
Nearest miss: down-gap fade — worst proxy gap -1.0% (needs <= -1.0%); large-cap capitulation — worst 5-day drop -7.6% (needs <= -10.0%).
Down-gap fade into the closeThree down days in an uptrendRSI(14) < 30 pullback in an uptrendFive-day capitulation in large caps
Stats are fixed-horizon, no-stop, from the quarterly-refit offline backtest; t is naive (per-name non-overlap only) — read it as a screen and weight the per-year sign consistency, not as proof of significance.
Intraday Factor Moves
LeadingLow-Vol Aligned Uptrend +0.8%Broken Momentum / Avoid +0.7%Thematic Momentum Leadership +0.6%
LaggingSmaller-Cap High-Beta Breakout -0.5%Oversold / Mean-Reversion Watch +0.3%Extended Momentum Risk +0.3%
Top-to-bottom basket spread 1.2pp today · dispersion Sectors z60 +2.0 (wide), Styles z60 -0.2 (typical) · flow confirms 1/3 leaders.
Low-Vol Aligned Uptrend83 names · 98% covz +0.9+0.77%
ID+0.8%
1D+0.8%
3D+1.5%
1W+0.9%
MTD+3.4%
1M+4.0%
3M+6.0%
YTD+16.5%
1Y+21.5%
2Y+30.5%
Broken Momentum / Avoid170 names · 100% covz +0.9+0.69%
ID+0.7%
1D+0.7%
3D-0.9%
1W-1.4%
MTD-2.6%
1M-2.6%
3M-14.5%
YTD-17.0%
1Y-14.4%
2Y+18.4%
Thematic Momentum Leadership88 names · 100% covz +0.3+0.60%
ID+0.6%
1D+0.6%
3D+0.1%
1W+0.2%
MTD+5.6%
1M+8.2%
3M+25.3%
YTD+30.9%
1Y+42.4%
2Y+66.3%
Institutional Large-Cap Accumulation33 names · 100% covz +0.2+0.49%
ID+0.5%
1D+0.5%
3D+1.6%
1W+2.0%
MTD+6.4%
1M+9.1%
3M+22.7%
YTD+34.7%
1Y+46.0%
2Y+71.9%
Neutral / Transition513 names · 100% covz +0.4+0.49%
ID+0.5%
1D+0.5%
3D-0.2%
1W+0.2%
MTD-2.4%
1M-0.7%
3M+7.0%
YTD+22.7%
1Y+37.5%
2Y+58.0%
Unclassified / Insufficient Data thin — n<108 names · 100% covz +0.1+0.39%
ID+0.4%
1D+0.4%
3D-2.3%
1W-1.1%
MTD-6.0%
1M-1.0%
3M+8.3%
YTD+33.1%
Extended Momentum Risk29 names · 100% covz -0.1+0.30%
ID+0.3%
1D+0.3%
3D+4.3%
1W+4.6%
MTD+15.9%
1M+19.9%
3M+24.9%
YTD+46.0%
1Y+49.1%
2Y+52.4%
Oversold / Mean-Reversion Watch46 names · 98% covz +0.5+0.28%
ID+0.3%
1D+0.3%
3D-4.9%
1W-5.8%
MTD-14.0%
1M-14.2%
3M-17.7%
YTD-14.9%
1Y-1.4%
2Y+33.6%
Smaller-Cap High-Beta Breakout35 names · 100% covz -0.8-0.48%
ID-0.5%
1D-0.5%
3D-1.0%
1W-0.7%
MTD+3.1%
1M+11.5%
3M+51.0%
YTD+82.3%
1Y+141.2%
2Y+126.2%
z = today's move vs the basket's own trailing 60-session daily distribution (current membership; partial-day moves on intraday editions). |z| ≥ 2 highlighted.
Sector Rotation
Real Estate+1.30%
Communication Services+0.68%
Industrials+0.68%
Energy+0.64%
Utilities+0.59%
Materials+0.58%
Consumer Discretionary+0.54%
Consumer Staples+0.54%
Health Care+0.52%
Financials+0.42%
Information Technology-0.07%
Themes and Keyword Baskets
Cloud Software+0.5%1D
258 names · 79% covaggregate only
ID+0.9%WTD-3.8%MTD-1.7%YTD+10.1%
Housing / Real Estate+0.5%1D
439 names · 70% cov
ID+0.9%WTD-0.3%MTD-0.3%YTD+11.1%
Defense / Aerospace+0.4%1D
202 names · 79% cov
ID+0.8%WTD+2.6%MTD-6.8%YTD+26.6%
Macro Rates / Inflation+0.4%1D
506 names · 77% covaggregate only
ID+0.6%WTD-0.8%MTD-1.6%YTD+14.6%
Consumer / Retail+0.3%1D
467 names · 75% cov
ID+0.6%WTD-1.3%MTD-0.3%YTD+6.8%
Financials / Credit+0.3%1D
646 names · 63% cov
ID+0.6%WTD-2.2%MTD+0.2%YTD+11.3%
Industrial Automation+0.2%1D
494 names · 76% covaggregate only
ID+0.4%WTD+0.1%MTD-4.0%YTD+22.0%
Commodities / Materials+0.2%1D
161 names · 73% cov
ID+0.4%WTD+2.2%MTD-3.9%YTD+10.0%
Oil & Gas+0.2%1D
269 names · 84% cov
ID+0.3%WTD+0.6%MTD+0.6%YTD+20.3%
AI Infrastructure+0.2%1D
838 names · 80% covaggregate only
ID+0.3%WTD-0.0%MTD-4.5%YTD+20.2%
Energy Transition+0.2%1D
240 names · 81% cov
ID+0.3%WTD+0.7%MTD-5.8%YTD+21.7%
Healthcare / Biotech degraded+0.1%1D
673 names · 58% cov
ID+0.3%WTD-0.9%MTD-0.8%YTD+23.0%
Crypto / Digital Assets-0.1%1D
150 names · 69% covaggregate only
ID-0.1%WTD-0.5%MTD+0.2%YTD+12.4%
Semiconductors-0.4%1D
188 names · 89% cov
ID-0.6%WTD+1.2%MTD-9.9%YTD+50.6%
Thematic rotation tilts defensive: Cybersecurity intraday +1.14% and Housing/Real Estate +0.95% lead, while Cloud Software adds +0.86%. Week-to-date, Defense/Aerospace outperforms at +2.58%. Semiconductors remain under pressure, down -0.62% intraday and -9.90% mtd. Healthcare/Biotech is flagged as degraded due to 58.1% coverage. The Crypto/Digital Assets theme is flat intraday at -0.06%. AI Infrastructure, despite broad exposure, trails with +0.17% intraday and -4.46% mtd.
Sigma Board
−3σ0+3σ
Adv/Dec ratiobreadth · 2.63 · 60d · n=60+1.90σ
Credit w1spread · +0.63% · 252d · n=252+1.24σ
Semis - Market d1spread · -1.69% · 252d · n=252-1.08σ
Duration w1spread · -1.35% · 252d · n=252-1.05σ
% above SMA200breadth · 67.40 · 60d · n=60+1.05σ
Momentum - LowVol d1spread · -1.43% · 252d · n=252-1.00σ
EqualWeight - CapWeight d1spread · +0.48% · 252d · n=252+0.96σ
Growth - Value d1spread · -0.85% · 252d · n=252-0.89σ
The Choppy Neutral regime — volatility score 1.5, composite 0.45 — historically precedes elevated volatility without implying direction. Spread decompression is pronounced: Momentum - LowVol intraday -1.43%, Growth - Value -0.85%, and Semis - Market -1.69% indicate cross-sectional stress. Credit spreads are flat (intraday -0.06%), while duration edges up 0.25%. The regime's expected dwell is 7.7 days, and the transition matrix shows a 52.5% probability of exiting to Constructive Rotation.
Factor × Sector Map
Neutral / Transitionn25
Real Estate
+1.9%1D
ID+1.9%WTD-0.1%MTD+1.7%
Broken Momentum / Avoidn10
Real Estate
+1.4%1D
ID+1.4%WTD-2.9%MTD-0.5%
Thematic Momentum Leadershipn3
Industrials
+1.4%1D
ID+1.4%WTD+9.6%MTD+5.3%
Neutral / Transitionn16
Energy
+1.1%1D
ID+1.1%WTD+3.8%MTD+5.7%
Institutional Large-Cap Accumulationn6
Health Care
+1.1%1D
ID+1.1%WTD+2.4%MTD+4.2%
Broken Momentum / Avoidn32
Information Technology
+1.1%1D
ID+1.1%WTD-2.4%MTD-2.1%
Neutral / Transitionn20
Materials
+1.0%1D
ID+1.0%WTD+2.7%MTD-0.7%
Broken Momentum / Avoidn28
Industrials
+1.0%1D
ID+1.0%WTD+1.3%MTD-5.7%
Thematic Momentum Leadershipn17
Financials
+1.0%1D
ID+1.0%WTD-0.5%MTD+7.0%
Extended Momentum Riskn8
Industrials
+0.9%1D
ID+0.9%WTD+5.1%MTD+12.8%
Oversold / Mean-Reversion Watchn11
Communication Services
+0.9%1D
ID+0.9%WTD-6.7%MTD-8.2%
Neutral / Transitionn18
Communication Services
+0.8%1D
ID+0.8%WTD-3.0%MTD+0.1%
Neutral / Transitionn51
Health Care
+0.8%1D
ID+0.8%WTD-1.4%MTD-0.1%
Low-Vol Aligned Uptrendn4
Energy
+0.8%1D
ID+0.8%WTD+2.5%MTD+2.0%
Low-Vol Aligned Uptrendn17
Real Estate
+0.8%1D
ID+0.8%WTD-1.1%MTD+4.4%
Neutral / Transitionn28
Consumer Staples
+0.8%1D
ID+0.8%WTD-1.8%MTD-0.7%
Broken Momentum / Avoidn31
Consumer Discretionary
+0.8%1D
ID+0.8%WTD-2.7%MTD-4.4%
Thematic Momentum Leadershipn12
Real Estate
+0.8%1D
ID+0.8%WTD-1.3%MTD+3.1%
Low-Vol Aligned Uptrendn17
Financials
+0.8%1D
ID+0.8%WTD+0.8%MTD+4.5%
Low-Vol Aligned Uptrendn14
Industrials
+0.8%1D
ID+0.8%WTD+1.4%MTD+2.9%
Low-Vol Aligned Uptrendn25
Utilities
+0.8%1D
ID+0.8%WTD+2.0%MTD+3.3%
Neutral / Transitionn15
Utilities
+0.7%1D
ID+0.7%WTD+3.2%MTD+0.6%
Thematic Momentum Leadershipn8
Information Technology
+0.6%1D
ID+0.6%WTD-5.3%MTD+3.0%
Unclassified / Insufficient Datan3
Information Technology
+0.6%1D
ID+0.6%WTD-1.0%MTD-6.9%
Neutral / Transitionn54
Consumer Discretionary
+0.6%1D
ID+0.6%WTD-1.1%MTD-1.8%
Neutral / Transitionn105
Industrials
+0.6%1D
ID+0.6%WTD+1.6%MTD-4.9%
Institutional Large-Cap Accumulationn9
Industrials
+0.6%1D
ID+0.6%WTD+4.0%MTD+6.4%
Oversold / Mean-Reversion Watchn9
Industrials
+0.5%1D
ID+0.5%WTD-4.2%MTD-17.7%
Thematic Momentum Leadershipn8
Consumer Discretionary
+0.5%1D
ID+0.5%WTD-0.7%MTD+7.0%
Institutional Large-Cap Accumulationn6
Financials
+0.5%1D
ID+0.5%WTD+0.9%MTD+7.2%
Broken Momentum / Avoidn12
Health Care
+0.5%1D
ID+0.5%WTD-1.1%MTD-1.8%
Oversold / Mean-Reversion Watchn9
Information Technology
+0.5%1D
ID+0.5%WTD-5.6%MTD-16.4%
Broken Momentum / Avoidn12
Materials
+0.4%1D
ID+0.4%WTD+0.7%MTD-2.3%
Broken Momentum / Avoidn10
Consumer Staples
+0.4%1D
ID+0.4%WTD-2.3%MTD-0.6%
Thematic Momentum Leadershipn29
Health Care
+0.4%1D
ID+0.4%WTD+0.8%MTD+3.8%
Broken Momentum / Avoidn12
Communication Services
+0.3%1D
ID+0.3%WTD-3.6%MTD-1.7%
Thematic Momentum Leadershipn5
Consumer Staples
+0.3%1D
ID+0.3%WTD+1.5%MTD+8.1%
Neutral / Transitionn83
Financials
+0.3%1D
ID+0.3%WTD-1.1%MTD+1.8%
Thematic Momentum Leadershipn5
Energy
+0.3%1D
ID+0.3%WTD+5.7%MTD+17.1%
Smaller-Cap High-Beta Breakoutn5
Consumer Discretionary
+0.2%1D
ID+0.2%WTD-0.6%MTD+9.4%
Institutional Large-Cap Accumulationn7
Information Technology
+0.1%1D
ID+0.1%WTD+1.4%MTD+4.4%
Extended Momentum Riskn7
Energy
+0.1%1D
ID+0.1%WTD+4.9%MTD+22.9%
Smaller-Cap High-Beta Breakoutn19
Health Care
-0.0%1D
ID-0.0%WTD+0.3%MTD+3.1%
Broken Momentum / Avoidn19
Financials
-0.1%1D
ID-0.1%WTD-1.6%MTD+0.8%
Extended Momentum Riskn6
Health Care
-0.3%1D
ID-0.3%WTD+6.0%MTD+10.4%
Institutional Large-Cap Accumulationn3
Energy
-0.4%1D
ID-0.4%WTD-0.5%MTD+14.9%
Neutral / Transitionn98
Information Technology
-0.5%1D
ID-0.5%WTD+1.2%MTD-9.1%
Oversold / Mean-Reversion Watchn6
Consumer Discretionary
-0.8%1D
ID-0.8%WTD-10.5%MTD-13.2%
Oversold / Mean-Reversion Watchn3
Materials
-1.3%1D
ID-1.3%WTD-1.8%MTD-16.7%
Smaller-Cap High-Beta Breakoutn8
Information Technology
-1.8%1D
ID-1.8%WTD-2.9%MTD-4.5%
Regime Assessment
13 days · 54 runs · 6 published flips · raw≠published on 7 runs · raw label unavailable before Jul 10
Risk-Off Stress
Distribution Risk
Choppy Neutral
Constructive Rotation
Risk-On Trend
-0.70-0.15+0.55+0.90Jul 8Jul 13Jul 16Jul 21Jul 24
8 expected runs missing in window
Choppy NeutralConstructive RotationChoppy Neutral
published label · 2-run confirmation applied
Composite vs label bands, trailing month, all 5 editions/day. Ring = raw label disagreed with the published (confirmation-lag pressure). Y clamped to ±1.3.
trend+0.00
breadth+1.10
volatility+1.50
rotation-0.10
size-0.65
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 model reads Choppy Neutral with 87% confidence and a composite of 0.45. This regime is fresh, having begun on July 23, and historically lasts an average of 7.7 trading days, suggesting a remaining dwell of 6.7 days. The most probable exit is Constructive Rotation at 52.5%, while Distribution Risk stands at 28.8%. Historically under Choppy Neutral, same-day relative tilts have favored gold (GLD +16.8 bps) and semiconductors (SMH +12.2 bps), while defensives like staples (XLP -4.2 bps) and healthcare (XLV -4.7 bps) lagged. The regime is associated with choppy intraday action and a higher frequency of drawdowns without a consistent directional edge.
Top Single-Stock Setups (4h–1 Week)
Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.3/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 601w +7.7%MACD+CMF+Force+
Last$199.84
RSI60
1wk+7.7%
ATR stop−5.9%
1-week return vs Thematic Momentum Leadership basket (n=88)
-11%+12%
Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.2/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 591w +5.8%MACD+CMF+Force+
Last$875.25
RSI60
1wk+5.8%
ATR stop−5.0%
1-week return vs Thematic Momentum Leadership basket (n=88)
-11%+12%
Momentum continuation4h–1 week
Smaller-Cap High-Beta Breakout · factor score 7.9/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 621w +4.0%MACD+CMF+Force+
Last$622.75
RSI63
1wk+4.0%
ATR stop−5.0%
1-week return vs Smaller-Cap High-Beta Breakout basket (n=35)
-12%+23%
Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.5/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 651w +2.2%MACD+CMF+Force+
Last$50.97
RSI66
1wk+2.2%
ATR stop−2.9%
1-week return vs Thematic Momentum Leadership basket (n=88)
-11%+12%
Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 8.0/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 581w -0.3%MACD+CMF+Force+
Last$17.28
RSI59
1wk-0.3%
ATR stop−4.6%
1-week return vs Thematic Momentum Leadership basket (n=88)
-11%+12%
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.Size and Breadth
| Size bucket | N | Intraday | D1 | WTD | Breadth |
|---|---|---|---|---|---|
| Large (>=5B) | 1005 | +0.50% | +0.50% | -0.13% | 72.4% adv |
| Micro Cap $250M-$1B | 201 | n/a | +0.00% | -1.29% | 0.0% adv |
| Nano Cap <$250M | 15 | n/a | +0.00% | -3.85% | 0.0% adv |
| Small Cap $1B-$5B | 807 | -0.79% | -0.01% | -1.98% | 66.7% adv |
| % > SMA50 | % > SMA200 | Advancers | Decliners | % Baskets Positive |
|---|---|---|---|---|
| 63.0% | 67.4% | 724 | 275 | 80.8% |
Large caps gained 0.5% with 72.4% advancing, while small caps edged down 0.01% and saw only 66.67% advance. Micro and nano caps were flat on the day but nano caps remain up 13.95% month-to-date. Overall breadth is ambiguous: 62.99% of stocks are above their 50-day moving average and 67.4% above the 200-day, yet the advance/decline ratio of 724 to 275 and up/down volume ratio of 0.86 suggest concentrated selling pressure. A net 80.85% of baskets are positive, indicating isolated weakness rather than broad deterioration.
Cross-Sectional Dispersion
| Cross-section | Dispersion σ | IQR | z60 | z252 | State | Widest up / down |
|---|---|---|---|---|---|---|
| Sectors | +1.91% | +1.65% | 2.04 (n=60) | 3.01 (n=252) | Wide | XLI +1.73% / XLY -4.61% |
| Styles | +0.87% | +0.86% | -0.16 (n=60) | 0.64 (n=252) | Normal | VTV +0.24% / VUG -2.22% |
Volume and Participation
| Dimension | Basket | Median RVol | % Members RVol>1.5 |
|---|---|---|---|
| production | Broken Momentum / Avoid | 0.53 | 10.6% |
| production | Extended Momentum Risk | 0.64 | 17.2% |
| production | Institutional Large-Cap Accumulation | 0.59 | 3.0% |
| production | Low-Vol Aligned Uptrend | 0.35 | 4.9% |
| production | Neutral / Transition | 0.40 | 8.8% |
| production | Oversold / Mean-Reversion Watch | 0.82 | 31.1% |
| production | Smaller-Cap High-Beta Breakout | 0.35 | 2.9% |
| production | Thematic Momentum Leadership | 0.41 | 4.5% |
| production | Unclassified / Insufficient Data | 0.33 | 12.5% |
| Ticker | Basket | RVol | Return | Note |
|---|---|---|---|---|
| SXT | Neutral / Transition | 9.84 | +3.56% | breakout volume |
| THC | Neutral / Transition | 9.21 | +22.26% | breakout volume |
| MXL | Smaller-Cap High-Beta Breakout | 8.06 | -19.10% | distribution volume |
| DLR | Neutral / Transition | 6.92 | +12.00% | breakout volume |
| SSNC | Neutral / Transition | 6.41 | +12.38% | breakout volume |
Elevated volume concentrated in oversold names: the Oversold / Mean-Reversion Watch basket registered a median relative volume of 0.82, with 31.1% of members trading above 1.5 times normal. Extended Momentum Risk also saw above-average activity at 0.64 median, with 17.2% above 1.5. In contrast, Institutional Large-Cap Accumulation showed only 3.0% of constituents above 1.5x, and Small-Cap High-Beta Breakout just 2.9%. This divergence highlights that heavy order flow is hitting the most beaten-down names, while leadership baskets remain relatively quiet.
Cross-Asset Confirmation
CAC -0.10 — mixed (positive = risk-supportive)
| Signal | 5d | Points |
|---|---|---|
| Credit (HYG−LQD) | +0.44% | +0.30 |
| Risk vs defensives | -1.95% | -0.40 |
| Dollar (−UUP) | -0.78% | -0.15 |
| Curve (IEF/TLT) | +0.31% | +0.15 |
Duration-in-disguise — 63d TLT beta of style spreads
| Spread | TLT β | β · SPY-ctrl | β | %ile | Duration read | |
|---|---|---|---|---|---|---|
| Momentum - LowVol | 1.28 | 0.22 | 98% | duration-driven (current, unstable) | ||
| Growth - Value | 0.16 | -0.24 | 68% | factor-driven (current, unstable) | ||
| HighBeta - LowVol | 1.44 | 0.06 | 98% | 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 | 89.5 | Wave 1 / accumulation | 92.4 |
| CMCSA | Communication Services | 89.9 | Wave 1 / accumulation | 92.0 |
| MP | Materials | 86.9 | Wave 1 / accumulation | 91.0 |
| TEM | Health Care | 85.4 | Wave 1 / accumulation | 88.3 |
| QXO | Industrials | 87.0 | Wave 1 / accumulation | 87.9 |
| Ticker | Since close | Vs basket | Read |
|---|---|---|---|
| UEC | n/a | n/a | diverges |
| CMCSA | +1.46% | +1.18% | confirms |
| MP | -2.93% | -3.21% | diverges |
| TEM | -1.65% | -2.34% | diverges |
| QXO | -1.63% | -2.32% | diverges |
The highest-scoring screened opportunity is CMCSA with a 89.9 score, emerging from an oversold Wave 1 accumulation pattern. It was the only top-five name to confirm intraday, advancing 1.46% against its basket’s 1.18%. UEC (89.5) and MP (86.9) did not confirm. Among pattern setups, OKLO’s bear flag offers the highest probability at 76.72 on the short side, followed by BLDR’s head-and-shoulders at 75.44. The long side is less compelling: the best long setup is FTDR’s double bottom at 68.74. Overall, opportunity is skewed toward contrarian accumulation plays and bearish continuation patterns.
Multi-Horizon Context
| Basket | D3 | WTD | MTD |
|---|---|---|---|
| production: Broken Momentum / Avoid | -0.88% | -1.41% | -2.62% |
| production: Extended Momentum Risk | +4.26% | +4.62% | +15.94% |
| production: Institutional Large-Cap Accumulation | +1.64% | +1.99% | +6.44% |
| production: Low-Vol Aligned Uptrend | +1.48% | +0.92% | +3.43% |
| production: Neutral / Transition | -0.20% | +0.22% | -2.44% |
| production: Oversold / Mean-Reversion Watch | -4.87% | -5.78% | -13.99% |
| production: Smaller-Cap High-Beta Breakout | -1.00% | -0.72% | +3.10% |
| production: Thematic Momentum Leadership | +0.05% | +0.20% | +5.60% |
| production: Unclassified / Insufficient Data | -2.32% | -1.05% | -5.97% |
| theme: AI Infrastructure | -1.31% | -0.00% | -4.46% |
| theme: Cloud Software | -3.19% | -3.76% | -1.74% |
| theme: Commodities / Materials | +0.25% | +2.24% | -3.90% |
| theme: Consumer / Retail | -0.78% | -1.32% | -0.29% |
| theme: Crypto / Digital Assets | -2.06% | -0.48% | +0.17% |
| theme: Cybersecurity | -2.46% | -3.82% | -2.02% |
| theme: Defense / Aerospace | +0.10% | +2.58% | -6.84% |
| theme: Energy Transition | -0.88% | +0.69% | -5.75% |
| theme: Financials / Credit | -1.60% | -2.25% | +0.16% |
| theme: Healthcare / Biotech | -1.21% | -0.92% | -0.78% |
| theme: Housing / Real Estate | +0.40% | -0.29% | -0.27% |
| theme: Industrial Automation | -1.00% | +0.13% | -4.00% |
| theme: Macro Rates / Inflation | -1.16% | -0.78% | -1.58% |
| theme: Oil & Gas | -0.45% | +0.55% | +0.61% |
| theme: Semiconductors | -2.03% | +1.18% | -9.90% |
| sector: Communication Services | -2.98% | -3.97% | -2.52% |
| sector: Consumer Discretionary | -1.00% | -1.94% | -1.81% |
| sector: Consumer Staples | -1.23% | -2.12% | +0.23% |
| sector: Energy | +1.98% | +3.36% | +10.89% |
| sector: Financials | -0.65% | -0.79% | +2.73% |
| sector: Health Care | +0.18% | -0.09% | +1.50% |
| sector: Industrials | +1.56% | +1.71% | -3.42% |
| sector: Information Technology | -2.37% | -0.38% | -6.49% |
| sector: Materials | +1.55% | +1.82% | -2.65% |
| sector: Real Estate | +0.07% | -0.92% | +2.60% |
| sector: Utilities | +2.80% | +2.34% | +1.61% |
| size: Large (>=5B) | -0.22% | -0.13% | -0.82% |
| size: Micro Cap $250M-$1B | -2.35% | -1.29% | -3.39% |
| size: Nano Cap <$250M | -2.52% | -3.85% | +13.95% |
| size: Small Cap $1B-$5B | -2.09% | -1.98% | -2.22% |
| style: Base Building / Coiled | +0.16% | -0.07% | -0.85% |
| style: Extended Overbought Momentum | +5.86% | +5.93% | +16.53% |
| style: High-Vol Breakdown | -3.50% | -2.29% | -11.56% |
| style: High-Vol Momentum | -1.28% | -0.78% | +3.57% |
| style: Low-Vol Uptrend | +0.76% | +0.09% | +3.20% |
| style: Momentum Breakout / Leadership | +1.56% | +1.79% | +10.11% |
| style: Neutral / Transition | -0.36% | -0.00% | -2.14% |
| style: Normal Vol/Trend | -0.34% | +0.30% | -1.48% |
| style: Oversold / Mean-Reversion Watch | -4.87% | -5.78% | -13.99% |
| style: Persistent Uptrend / Compounder | +1.27% | +1.33% | +3.65% |
| style: Weak Downtrend / Avoid Momentum | -0.88% | -1.41% | -2.62% |
Across all horizons, Extended Momentum Risk is the dominant basket: +4.26% over three days, +4.62% week-to-date, and +15.94% month-to-date. Conversely, oversold names have been sharply punished, down -4.87%, -5.78%, and -13.99% over the same periods. The Momentum - LowVol spread is +2.98% wtd but remains -9.4% mtd, reflecting the violent rotation. Quality - Extended Risk has collapsed -12.51% mtd. Semis - Market is off -11.91% mtd. Breadth is deteriorating on all three horizons, confirming that the tape is favoring extended trends and rejecting mean reversion.
Data Quality and Coverage
| Source | As of |
|---|---|
| intraday_bars | 2026-07-24T09:45:00-04:00 |
| warehouse_snapshot | 2026-07-24 |
| proxy_daily | 2026-07-23 |
| screener_artifact | 2026-07-23T20:52:06.717792-04:00 |
| grouped_daily | unavailable |
- Overall coverage: 99.5%
- 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 2026-07-24T10:02:06-04:00; every figure above is computed deterministically from report.json