Commodities / Materials+0.2%1D
184 names · 71% cov
ID+0.7%WTD-0.6%MTD-4.0%YTD+9.8%
Premarket · market state
Choppy Neutral
BeganThu Jul 23 · close · 16:00 ETheld 4 td
Typical dwell~7.7 tdp(stay 1d) 0.87 · typical
Implied through~Tue Aug 4~4 td left
When it breaks, historically →→ Constructive Rotation 52%→ Distribution Risk 29%→ Risk-Off Stress 10%→ Risk-On Trend 8%
4td in — ~4td of typical dwell lefttypical
age 4tdtypical dwell ~8td
SPY +0.18% since prior close; Oversold / Mean-Reversion Watch leads (+0.34%), Extended Momentum Risk lags (-0.35%).
Risk-STATE gauge — monotone in forward volatility, not direction. Size to the state; don't chase the label.
Regime Playbook — Choppy Neutral
History says after Choppy Neutral days like today: Gold & Semis lead, Staples & REITs lag the next session.
TOMORROWForward lean — next session, relative to SPYtradeable
−16 bp0+16 bp
Historically lead
· 22 more cells between -6 and +4 bp/d ·
Historically lag
TODAYWhat usually moves WITH this tape — state description, not a signalcontext
−17 bp0+17 bp
· 24 more cells between -4 and +5 bp/d ·
bp/day relative to SPY · bar scale = largest shown tilt per ladder (printed on the axis) · n≈505 days per cell · empirical rel-SPY tilts, 2021-07-26..2026-07-22, labels=v1.1+2-run, min-n 60, refit annually. TOMORROW is the tradeable lean (reversion-flavored at extremes); TODAY only describes the tape.
Intelligence Summary
Session
Premarket action on July 29 shows a mixed start with 58.3% of baskets positive, advancing issues at 254 versus 186 decliners, and an up/down volume ratio of 1.25. Energy leads sectors up 1.31%, while Extended Overbought Momentum drags down -1.70%. Commodities/Materials themes gain 0.69%, and Defense/Aerospace slides -0.71%. Breadth reflects a tentative risk-off posture, consistent with the Choppy Neutral regime.
Factors
Over the trailing three days, extreme factor divergence persists: Extended Momentum Risk surged 6.87% while Oversold/Mean-Reversion Watch tumbled -7.08%. Month-to-date, Extended Momentum Risk is up 20.95% against a -26.57% decline for Oversold. Key spreads underscore the risk-on tilt: Momentum vs Low-Vol compressed -17.60% MTD, Growth vs Value -10.18%, and Semis vs Market -19.04%. The Momentum Leadership minus Broken Momentum spread stands at 15.59% MTD, while Quality minus Extended Risk is -17.28%, signaling a flight from defensive factors.
Sectors
Sector performance month-to-date shows a clear rotation into value and defensive: Energy leads at 5.86%, followed by Financials 5.71% and Consumer Staples 4.66%. Technology lags significantly at -5.92%, with Industrials down -4.20%. The Semis vs Market spread has compressed -19.04% MTD. Wave analysis places Energy in a reset within its trend (opportunity 72.45), while Health Care and Technology remain in trending mid-cycle stages. Real Estate exhibits expansion/late acceleration, warranting caution.
Connections
- Momentum - LowVol w1 is stretched at -3.4σ — mean-reversion pressure. Sigma Board →
- Semis - Market w1 is stretched at -3.0σ — mean-reversion pressure. Sigma Board →
- Sharpest cell: Neutral / Transition × Energy +1.3% (n25) vs Broken Momentum / Avoid × Real Estate -2.8% (n6) — long/short the spread, not the index. Factor × Sector →
- Rotation spread: Energy +1.0% over Real Estate -0.3% (1.3pp). Sector Rotation →
Session Snapshot
CAC -0.45mixed
−risk-off0+risk-on
Equitiesbroad index tape · 5/6 adv
+0.18%med
Rates & Creditduration + credit spread · 0/4 adv
-0.14%med
Commodities & FXgold · oil · the dollar · 4/4 adv
+0.83%med
Globalint'l / EM equity · 5/8 adv
+0.41%med
Rates & Credit12
Global15KWEB +1.3% · FLCH +0.0%
Style & Factor11
Sectors11
Industry Themes11ARKK +0.0% · TAN +0.0%
Bellwether Singles22BE +7.7% · DUK +0.0%
VIX is not carried on the board (no tradeable-feed source); the Regime volatility component and Sigma Board carry the vol read.
SPY+0.18%gap n/a · open n/a
Best factor+0.34%Oversold / Mean-Reversion Watch
Worst factor-0.35%Extended Momentum Risk
Breadth58%baskets +ve · A/D 254/186
Up/Down Vol1.25xvolume in advancers vs decliners
Actionable Trading Ideas
0 of 3 playbooks triggered this run. Absence of a triggered edge is a position — no forced trade.
Nearest miss: large-cap capitulation — worst 5-day drop -4.83% (needs <= -10.00%).
Three 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
LeadingOversold / Mean-Reversion Watch +0.5%Institutional Large-Cap Accumulation +0.2%Low-Vol Aligned Uptrend +0.1%
LaggingExtended Momentum Risk -0.6%Broken Momentum / Avoid -0.1%Smaller-Cap High-Beta Breakout -0.1%
Top-to-bottom basket spread 1.1pp today · dispersion Styles z60 +0.9 (typical), Sectors z60 +0.8 (typical) · flow confirms 2/3 leaders.
Oversold / Mean-Reversion Watch74 names · 99% covz +0.2+0.45%
ID+0.5%
1D+0.3%
3D-7.1%
1W-12.9%
MTD-26.6%
1M-25.4%
3M-13.8%
YTD+29.1%
1Y+75.6%
2Y+142.1%
Institutional Large-Cap Accumulation36 names · 100% covz -0.1+0.20%
ID+0.2%
1D+0.1%
3D+2.4%
1W+4.5%
MTD+10.0%
1M+9.4%
3M+20.8%
YTD+23.4%
1Y+32.1%
2Y+54.7%
Low-Vol Aligned Uptrend134 names · 99% covz -0.1+0.07%
ID+0.1%
1D+0.0%
3D+1.4%
1W+2.3%
MTD+3.7%
1M+3.1%
3M+8.2%
YTD+15.9%
1Y+19.2%
2Y+27.1%
Thematic Momentum Leadership85 names · 100% covz -0.5+0.07%
ID+0.1%
1D+0.0%
3D+2.8%
1W+4.0%
MTD+8.3%
1M+7.9%
3M+29.4%
YTD+37.0%
1Y+56.9%
2Y+72.4%
Neutral / Transition496 names · 100% covz -0.1+0.04%
ID+0.0%
1D+0.0%
3D+1.5%
1W+1.4%
MTD-0.0%
1M+0.1%
3M+7.1%
YTD+16.5%
1Y+28.6%
2Y+48.7%
Smaller-Cap High-Beta Breakout21 names · 100% covz -0.7-0.10%
ID-0.1%
1D-0.1%
3D+2.8%
1W+2.8%
MTD+10.8%
1M+12.3%
3M+57.8%
YTD+82.5%
1Y+113.2%
2Y+101.8%
Broken Momentum / Avoid90 names · 100% covz +0.1-0.11%
ID-0.1%
1D-0.1%
3D+1.2%
1W-0.8%
MTD-5.6%
1M-5.6%
3M-14.7%
YTD-12.3%
1Y-4.8%
2Y+45.1%
Unclassified / Insufficient Data thin — n<107 names · 100% covz -0.3-0.36%
ID-0.4%
1D-0.2%
3D+2.3%
1W+2.4%
MTD-3.0%
1M-1.5%
3M+14.9%
YTD+37.7%
Extended Momentum Risk62 names · 100% covz -0.7-0.64%
ID-0.6%
1D-0.3%
3D+6.9%
1W+11.0%
MTD+20.9%
1M+21.2%
3M+19.2%
YTD+4.4%
1Y-1.2%
2Y+14.6%
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
Energy+1.31%
Materials+0.74%
Health Care+0.36%
Utilities+0.33%
Consumer Staples+0.19%
Financials+0.15%
Consumer Discretionary+0.09%
Communication Services-0.16%
Information Technology-0.20%
Industrials-0.39%
Real Estate-0.88%
Themes and Keyword Baskets
Oil & Gas+0.2%1D
295 names · 79% cov
ID+0.5%WTD-0.6%MTD-0.4%YTD+16.2%
Energy Transition+0.1%1D
286 names · 79% cov
ID+0.3%WTD-0.4%MTD-5.7%YTD+15.2%
Consumer / Retail+0.1%1D
503 names · 72% cov
ID+0.2%WTD+3.6%MTD+4.0%YTD+10.7%
Healthcare / Biotech degraded+0.1%1D
721 names · 55% cov
ID+0.3%WTD+0.9%MTD-0.2%YTD+20.7%
Industrial Automation+0.1%1D
540 names · 74% covaggregate only
ID+0.1%WTD+0.2%MTD-4.0%YTD+18.7%
Macro Rates / Inflation+0.0%1D
560 names · 75% covaggregate only
ID+0.1%WTD+1.6%MTD+0.4%YTD+17.9%
Financials / Credit+0.0%1D
689 names · 61% cov
ID+0.0%WTD+2.6%MTD+3.5%YTD+13.2%
AI Infrastructure-0.0%1D
919 names · 77% covaggregate only
ID-0.1%WTD+1.3%MTD-3.1%YTD+16.5%
Crypto / Digital Assets-0.1%1D
157 names · 68% covaggregate only
ID-0.1%WTD+1.5%MTD+1.8%YTD+14.3%
Semiconductors-0.1%1D
207 names · 84% cov
ID-0.1%WTD-2.4%MTD-12.2%YTD+42.2%
Housing / Real Estate-0.1%1D
465 names · 69% cov
ID-0.3%WTD+1.8%MTD+2.1%YTD+11.8%
Cloud Software-0.1%1D
285 names · 77% covaggregate only
ID-0.2%WTD+4.0%MTD+2.9%YTD+11.0%
Cybersecurity-0.2%1D
100 names · 68% covaggregate only
ID-0.6%WTD+3.4%MTD+2.2%YTD+18.2%
Defense / Aerospace-0.2%1D
220 names · 76% cov
ID-0.7%WTD-0.6%MTD-8.1%YTD+22.1%
Themes reveal a similar split: Consumer/Retail leads month-to-date at 3.96%, while Cloud Software adds 2.94% and Housing/Real Estate 2.10%. In contrast, Semiconductors plummets -12.22%, Defense/Aerospace -8.10%, and Energy Transition -5.74%. Premarket action extends these trends, with Commodities/Materials up 0.69% and Defense/Aerospace down -0.71%. The sharp drawdown in Semis, coupled with its -19.04% spread vs the market MTD, underscores the ongoing rotation away from growth/tech themes.
Sigma Board
−3σ0+3σ
Momentum - LowVol w1spread · -10.12% · 252d · n=252-3.43σ
Semis - Market w1spread · -9.51% · 252d · n=252-3.00σ
EqualWeight - CapWeight w1spread · +3.29% · 252d · n=252+2.86σ
Growth - Value w1spread · -5.52% · 252d · n=252-2.76σ
% above SMA200breadth · 72.24 · 60d · n=60+1.94σ
HighBeta - LowVol w1spread · -6.25% · 252d · n=252-1.84σ
% above SMA50breadth · 68.84 · 60d · n=60+1.77σ
Duration w1spread · +0.77% · 60d · n=60+0.75σ
The regime composite registers at 0.2975, firmly within Choppy Neutral bands, with 87% confidence. The volatility component drives the reading at 2.0, reflecting realized vol in the 17.1st percentile of its two-year range and a true range/ATR20 ratio of 0.354. Breadth remains constructive at 1.0, but style and rotation scores of -1.75 and -0.1 weigh, as momentum/quality spreads compress. The transition model assigns a 52.5% probability of exiting into Constructive Rotation, with an expected remaining dwell of 3.7 days.
Factor × Sector Map
Neutral / Transitionn25
Energy
+1.3%1D
ID+1.5%WTD-4.1%MTD+5.6%
Broken Momentum / Avoidn4
Health Care
+1.3%1D
ID+1.7%WTD+5.0%MTD-0.6%
Extended Momentum Riskn5
Health Care
+1.2%1D
ID+2.1%WTD+11.3%MTD+25.9%
Thematic Momentum Leadershipn11
Information Technology
+0.9%1D
ID+1.1%WTD+5.1%MTD+6.1%
Extended Momentum Riskn6
Consumer Discretionary
+0.9%1D
ID+1.8%WTD+6.2%MTD+20.5%
Broken Momentum / Avoidn7
Materials
+0.8%1D
ID+0.9%WTD-2.0%MTD-1.6%
Oversold / Mean-Reversion Watchn3
Financials
+0.7%1D
ID+2.2%WTD-2.7%MTD-26.3%
Oversold / Mean-Reversion Watchn5
Materials
+0.6%1D
ID+0.7%WTD-2.7%MTD-17.1%
Institutional Large-Cap Accumulationn3
Energy
+0.5%1D
ID+0.8%WTD-0.4%MTD+19.3%
Oversold / Mean-Reversion Watchn3
Energy
+0.5%1D
ID+0.8%WTD-6.2%MTD-12.9%
Oversold / Mean-Reversion Watchn23
Industrials
+0.4%1D
ID+0.6%WTD-7.8%MTD-24.8%
Oversold / Mean-Reversion Watchn27
Information Technology
+0.3%1D
ID+0.4%WTD-9.9%MTD-35.5%
Neutral / Transitionn18
Materials
+0.3%1D
ID+0.8%WTD+2.5%MTD-0.4%
Neutral / Transitionn67
Health Care
+0.3%1D
ID+0.7%WTD+2.5%MTD+0.7%
Smaller-Cap High-Beta Breakoutn5
Consumer Discretionary
+0.2%1D
ID+1.2%WTD+4.3%MTD+13.8%
Broken Momentum / Avoidn5
Energy
+0.2%1D
ID+0.8%WTD-3.5%MTD-1.3%
Broken Momentum / Avoidn4
Utilities
+0.1%1D
ID+0.3%WTD-6.5%MTD-4.0%
Broken Momentum / Avoidn13
Information Technology
+0.1%1D
ID+0.2%WTD+1.3%MTD-13.7%
Institutional Large-Cap Accumulationn8
Health Care
+0.1%1D
ID+0.1%WTD+2.0%MTD+6.8%
Institutional Large-Cap Accumulationn10
Industrials
+0.1%1D
ID+0.3%WTD+1.1%MTD+9.6%
Neutral / Transitionn26
Consumer Staples
+0.1%1D
ID+0.2%WTD+4.0%MTD+5.1%
Low-Vol Aligned Uptrendn9
Consumer Staples
+0.1%1D
ID+0.2%WTD+2.7%MTD+1.8%
Low-Vol Aligned Uptrendn21
Utilities
+0.1%1D
ID+0.5%WTD-0.2%MTD+3.4%
Neutral / Transitionn58
Financials
+0.1%1D
ID+0.2%WTD+1.9%MTD+3.0%
Low-Vol Aligned Uptrendn36
Financials
+0.1%1D
ID+0.2%WTD+1.7%MTD+4.2%
Extended Momentum Riskn5
Industrials
+0.0%1D
ID+0.2%WTD+4.6%MTD+19.2%
Low-Vol Aligned Uptrendn21
Industrials
+0.0%1D
ID+0.1%WTD+1.4%MTD+3.2%
Neutral / Transitionn15
Utilities
+0.0%1D
ID+0.6%WTD-1.3%MTD-1.8%
Thematic Momentum Leadershipn11
Real Estate
+0.0%1D
ID+0.1%WTD+1.6%MTD+7.2%
Broken Momentum / Avoidn5
Financials
+0.0%1D
ID+0.0%WTD+0.8%MTD-9.8%
Low-Vol Aligned Uptrendn6
Communication Services
+0.0%1D
ID+0.1%WTD+3.4%MTD+5.7%
Low-Vol Aligned Uptrendn6
Health Care
+0.0%1D
ID+0.0%WTD+2.7%MTD+4.9%
Neutral / Transitionn66
Consumer Discretionary
+0.0%1D
ID+0.1%WTD+3.9%MTD+1.4%
Oversold / Mean-Reversion Watchn4
Utilities
+0.0%1D
ID+0.0%WTD-3.5%MTD-14.3%
Low-Vol Aligned Uptrendn3
Consumer Discretionary
+0.0%1D
ID·WTD+4.8%MTD+4.0%
Low-Vol Aligned Uptrendn3
Information Technology
+0.0%1D
ID+0.0%WTD+1.0%MTD+0.8%
Thematic Momentum Leadershipn4
Consumer Staples
+0.0%1D
ID+0.0%WTD+2.7%MTD+9.3%
Thematic Momentum Leadershipn17
Financials
-0.0%1D
ID-0.0%WTD+2.6%MTD+8.9%
Thematic Momentum Leadershipn4
Materials
+0.0%1D
ID·WTD+3.4%MTD+12.1%
Broken Momentum / Avoidn20
Industrials
-0.0%1D
ID-0.1%WTD+1.0%MTD-11.4%
Extended Momentum Riskn19
Financials
-0.0%1D
ID-0.1%WTD+5.7%MTD+20.2%
Broken Momentum / Avoidn4
Consumer Staples
-0.0%1D
ID-0.0%WTD+4.3%MTD+0.5%
Neutral / Transitionn21
Real Estate
-0.0%1D
ID-0.1%WTD+1.4%MTD+2.5%
Smaller-Cap High-Beta Breakoutn8
Health Care
-0.0%1D
ID-0.1%WTD+1.6%MTD+11.5%
Institutional Large-Cap Accumulationn9
Financials
-0.0%1D
ID-0.1%WTD+2.7%MTD+11.1%
Neutral / Transitionn25
Communication Services
-0.1%1D
ID-0.2%WTD+5.1%MTD+2.2%
Oversold / Mean-Reversion Watchn3
Health Care
-0.1%1D
ID-0.1%WTD-3.3%MTD-23.4%
Broken Momentum / Avoidn13
Consumer Discretionary
-0.1%1D
ID-0.2%WTD+3.7%MTD-2.3%
Thematic Momentum Leadershipn9
Consumer Discretionary
-0.1%1D
ID-0.2%WTD+4.7%MTD+10.6%
Broken Momentum / Avoidn9
Communication Services
-0.1%1D
ID-0.2%WTD+4.4%MTD+2.1%
Low-Vol Aligned Uptrendn27
Real Estate
-0.1%1D
ID-0.5%WTD+0.3%MTD+4.0%
Neutral / Transitionn79
Information Technology
-0.2%1D
ID-0.2%WTD+0.1%MTD-5.6%
Oversold / Mean-Reversion Watchn3
Consumer Discretionary
-0.3%1D
ID-0.4%WTD-5.1%MTD-18.7%
Thematic Momentum Leadershipn25
Health Care
-0.3%1D
ID-0.9%WTD+2.1%MTD+7.0%
Smaller-Cap High-Beta Breakoutn7
Information Technology
-0.4%1D
ID-0.5%WTD+3.5%MTD+4.4%
Neutral / Transitionn96
Industrials
-0.4%1D
ID-0.9%WTD+0.3%MTD-2.3%
Unclassified / Insufficient Datan3
Information Technology
-0.6%1D
ID-0.8%WTD+1.5%MTD-5.1%
Extended Momentum Riskn24
Information Technology
-1.4%1D
ID-1.9%WTD+7.6%MTD+20.6%
Broken Momentum / Avoidn6
Real Estate
-2.8%1D
ID-4.2%WTD-0.3%MTD-0.5%
Regime Assessment
16 days · 68 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 24Jul 29
8 expected runs missing in window
Choppy NeutralChoppy 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+0.25
breadth+1.00
volatility+2.00
rotation-0.10
size+0.05
style-1.75
p(stay 1d)0.87
p(persist 5d)0.55
expected dwell7.7 td
samplen=506
Labels are monotone in forward VOLATILITY, not direction — size positions to the risk state, don't chase the label. Transition is empirical; a label change needs two-run confirmation.
The regime is Choppy Neutral (composite 0.2975, confidence 0.87), initiated July 23 and now 4 days into an expected 7.7-day dwell. Exits lean toward Constructive Rotation (52.5%) or Distribution Risk (28.8%). Component drivers: volatility score 2.0 (realized vol at 17.1th percentile of two-year range), breadth score 1.0 (68.84% above 50-day, 72.24% above 200-day), trend 0.25, rotation -0.1, size 0.05, and style -1.75, reflecting sharp momentum-to-low-vol compression (momentum - low vol spread -10.12% w1).
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 641w +6.8%MACD+CMF+Force+
Last$363.44
RSI65
1wk+6.8%
ATR stop−4.2%
1-week return vs Thematic Momentum Leadership basket (n=85)
-7%+21%
Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.7/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 641w +2.3%MACD+CMF+Force+
Last$88.95
RSI65
1wk+2.3%
ATR stop−3.3%
1-week return vs Thematic Momentum Leadership basket (n=85)
-7%+21%
Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.8/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 641w +1.5%MACD+CMF+Force+
Last$17.86
RSI65
1wk+1.5%
ATR stop−4.2%
1-week return vs Thematic Momentum Leadership basket (n=85)
-7%+21%
Momentum continuation4h–1 week
Smaller-Cap High-Beta Breakout · factor score 8.4/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 611w +5.3%MACD+CMF+Force+
Last$174.53
RSI62
1wk+5.3%
ATR stop−6.4%
1-week return vs Smaller-Cap High-Beta Breakout basket (n=21)
-8%+8%
Momentum continuation4h–1 week
Smaller-Cap High-Beta Breakout · factor score 7.7/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 611w +7.3%MACD+CMF+Force+
Last$86.82
RSI62
1wk+7.3%
ATR stop−9.0%
1-week return vs Smaller-Cap High-Beta Breakout basket (n=21)
-8%+8%
Long-only opportunity lens: names where the factor basket and the technical state agree over a 4-hour-to-1-week window. Confluence score, not a price target — size to the ATR stop and treat every setup as a probability, not a promise.
Long-only confluence screen: the factor engine's basket and the technical state pointing the same way over a 4-hour-to-1-week window.Deep Data — Analyst Digest
what stands out · tap a line to jumpSize and Breadth
TAKE Large and Nano are flat against each other today; 69% of the universe above the 50-DMA — breadth strong.
254 adv186 dec
>50-DMA69%share of universe
>200-DMA72%share of universe
Baskets +ve58%baskets green
Up/Down Vol1.25xvolume in advancers
Size buckets
Large (>=5B)+0.02%
1D+0.0%1W+1.2%MTD+0.6%YTD+17.5%
Small Cap $1B-$5B+0.00%
1D+0.0%1W+0.9%MTD-0.1%YTD+19.2%
Micro Cap $250M-$1B+0.00%
1D+0.0%1W-0.7%MTD-2.3%YTD+12.0%
Nano Cap <$250M+0.00%
1D+0.0%1W-4.9%MTD+13.2%YTD+28.5%
Cross-Sectional Dispersion
TAKE Dispersion is mid-range across cross-sections — no structural edge to spread trades vs index exposure.
compressed −3σ0wide +3σ
Stylesstdev 1.40pp · IQR 1.64pp · n10+0.94σ
Sectorsstdev 1.45pp · IQR 2.23pp · n11+0.77σ
Volume and Participation
No session volume yet — participation populates after the open (first read: morning edition).
Cross-Asset Confirmation
TAKE Cross-asset tape (CAC -0.45, mixed) does NOT confirm the “Choppy Neutral” equity regime — treat equity signals with less conviction until rates/credit/commodities agree.
CAC -0.45mixed
−risk-off0+risk-on
Equitiesbroad index tape · 5/6 adv
+0.18%med
Rates & Creditduration + credit spread · 0/4 adv
-0.14%med
Commodities & FXgold · oil · the dollar · 4/4 adv
+0.83%med
Globalint'l / EM equity · 5/8 adv
+0.41%med
Opportunity Watchlist
TAKE 5 names led by SWKS (score 95, Wave 1 / accumulation); 3/5 confirming intraday — but the leader sits in an Avoid basket.
fading intraday — -10.53% vs its basket
factor engine disagrees: sits in Broken Momentum / Avoid
confirming intraday — +0.37% vs its basket
confirming intraday — -0.28% vs its basket
88MTDREnergy · Mixed / transition · regime fit 90
fading intraday
confirming intraday — -0.20% vs its basket
Multi-Horizon Context
TAKE 2 baskets trading against their monthly trend today: Oversold / Mean-Reversion Watch, Extended Momentum Risk.
Oversold / Mean-Reversion Watch↺ against monthly trend74 names+0.34%
1D+0.3%3D-7.1%1W-12.9%MTD-26.6%3M-13.8%YTD+29.1%
Institutional Large-Cap Accumulation36 names+0.12%
1D+0.1%3D+2.4%1W+4.5%MTD+10.0%3M+20.8%YTD+23.4%
Thematic Momentum Leadership85 names+0.03%
1D+0.0%3D+2.8%1W+4.0%MTD+8.3%3M+29.4%YTD+37.0%
Low-Vol Aligned Uptrend134 names+0.02%
1D+0.0%3D+1.4%1W+2.3%MTD+3.7%3M+8.2%YTD+15.9%
Neutral / Transition496 names+0.02%
1D+0.0%3D+1.5%1W+1.4%MTD-0.0%3M+7.1%YTD+16.5%
Smaller-Cap High-Beta Breakout21 names-0.05%
1D-0.1%3D+2.8%1W+2.8%MTD+10.8%3M+57.8%YTD+82.5%
Broken Momentum / Avoid90 names-0.07%
1D-0.1%3D+1.2%1W-0.8%MTD-5.6%3M-14.7%YTD-12.3%
Unclassified / Insufficient Data7 names-0.21%
1D-0.2%3D+2.3%1W+2.4%MTD-3.0%3M+14.9%YTD+37.7%
Extended Momentum Risk↺ against monthly trend62 names-0.35%
1D-0.3%3D+6.9%1W+11.0%MTD+20.9%3M+19.2%YTD+4.4%
Data Quality and Coverage
TAKE Coverage 50.6% — below the 70% claim floor; 1 degraded basket, 4 missing report days. Read thin-basket claims accordingly.
Coverage50.6%
share of the universe with usable data this run
warn premarket rvol suppressed: <1% of a day's volume prints by 07:00 ET, so relative volume is structurally meaningless before the open
warn thin production basket: Unclassified / Insufficient Data n_members=7 (<10); exclude from broad leadership claims
Degraded baskets
theme:Healthcare / Biotech
Missing report days (4)
2026-07-01, 2026-07-02, 2026-07-06, 2026-07-07