Midday · 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%
3-day tape
month →
4td in — ~4td of typical dwell lefttypical
age 4tdtypical dwell ~8td

SPY -1.04% since prior close; Extended Momentum Risk leads (+0.97%), Oversold / Mean-Reversion Watch lags (-4.48%).

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
Gold GLDhit 50% · n 287 · skewed: few big days+16 bp
Semis SMHhit 56% · n 505+14 bp
Tech XLKhit 55% · n 505+6 bp
Biotech XBIhit 49% · n 505 · skewed: few big days+5 bp
· 22 more cells between -6 and +4 bp/d ·
Historically lag
Low Vol SPLVhit 46% · n 505-6 bp
Utilities XLUhit 45% · n 505-6 bp
REITs XLREhit 48% · n 505-7 bp
Staples XLPhit 43% · n 505-9 bp
Today's tape vs this playbook2/4 tracking

biggest divergence: SMH -3.1% rel vs a +12bp/d historical tilt

TODAYWhat usually moves WITH this tape — state description, not a signalcontext
−17 bp0+17 bp
Gold GLDhit 50% · n 283+17 bp
Semis SMHhit 54% · n 506+12 bp
Regional Banks KREhit 48% · n 283 · skewed: few big days+5 bp
· 24 more cells between -4 and +5 bp/d ·
Materials XLBhit 48% · n 506-4 bp
Health Care XLVhit 47% · n 506-5 bp
HY Credit HYGhit 45% · n 506-6 bp

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

Markets are under broad pressure midday, reflected in a decline of 1.27% for large caps and 1.77% for small caps. Breadth is decisively negative with 335 advancers against 661 decliners, and up volume relative to down volume sits at 0.49. Only 10.42% of baskets are positive. The Choppy Neutral regime composite is 0.1075, suggesting a low-conviction environment historically associated with elevated short-term realized volatility and frequent drawdowns.

Session Snapshot →
Factors

The factor move panel reveals a stark bifurcation: Thematic Momentum Leadership slips 0.16% and Institutional Large-Cap Accumulation eases 0.47%, while Broken Momentum / Avoid sinks 2.13% with only 28.89% advancing. The Oversold / Mean-Reversion Watch cohort extends losses to 4.48% on elevated 1.57x relative volume. Extended Momentum Risk bucks the trend, gaining 0.97%. Key spreads confirm risk-off pressure: Momentum minus LowVol drops 2.95%, Semis minus Market plunges 3.09%, and Growth minus Value contracts 1.13%. Credit spreads widen modestly, with HYG outperforming LQD by 0.09%.

Intraday Factor Moves →
Sectors

Energy leads with a 2.12% intraday gain, accompanied by robust breadth as 76.92% of its members advance. Consumer Staples follows, up 0.90% on 72.34% advancing, while Communication Services adds 0.11%. On the downside, Industrials is the worst performer, shedding 3.72% with only 7.43% of components in the green. Materials drops 2.42%, and Information Technology loses 1.72%. Financials and Health Care each decline around 1%, with Financials at -1.09% and Health Care at -0.74%. Real Estate is essentially flat, off 0.06%.

Sector Rotation →
Connections
  • Momentum - LowVol w1 is stretched at -4.1σ — mean-reversion pressure. Sigma Board →
  • Semis - Market w1 is stretched at -3.6σ — mean-reversion pressure. Sigma Board →
  • Sharpest cell: Extended Momentum Risk × Consumer Discretionary +4.0% (n6) vs Broken Momentum / Avoid × Financials -5.8% (n5) — long/short the spread, not the index. Factor × Sector →
  • Rotation spread: Energy +2.1% over Industrials -3.7% (5.8pp). Sector Rotation →

Session Snapshot

CAC -0.45mixed
−risk-off0+risk-on
Equitiesbroad index tape · 0/8 adv
-1.38%med
Rates & Creditduration + credit spread · 0/12 adv
-0.32%med
Commodities & FXgold · oil · the dollar · 1/5 adv
-0.27%med
Globalint'l / EM equity · 3/15 adv
-0.60%med
US Benchmarks8
RSP-0.6%rvol 2.2
SPY-1.0%rvol 1.2
VTI-1.1%rvol 2.0
IJR-1.3%rvol 1.4
QQQ-1.5%rvol 1.6
IWM-1.6%rvol 1.7
MDY-1.7%rvol 0.9
DIA-1.7%rvol 2.8
Rates & Credit12
JAAA+0.0%rvol 0.8
SRLN-0.1%rvol 0.6
SHY-0.1%rvol 2.1
ANGL-0.2%rvol 4.4
HYG-0.3%rvol 1.9
VCIT-0.3%rvol 1.4
FALN-0.3%rvol 1.2
IEF-0.3%rvol 0.7
LQD-0.4%rvol 1.8
TLT-0.5%rvol 1.0
VCLT-0.5%rvol 1.2
PFF-0.6%rvol 1.2
Commodities & FX5
USO+6.8%rvol 2.3
UUP+0.0%rvol 0.4
GLD-0.3%rvol 1.5
IBIT-0.3%rvol 1.3
SLV-0.3%rvol 1.2
Global15KWEB +1.7% · FLKR -4.3%
KWEB+1.7%rvol 1.4
FXI+1.2%rvol 1.2
FLCH+1.2%rvol 0.4
FLIN-0.5%rvol 1.3
EWO-0.5%rvol 0.2
EFV-0.5%rvol 0.5
EWJ-0.6%rvol 1.6
FLJP-0.6%rvol 0.4
EFA-0.7%rvol 1.2
VGK-0.8%rvol 0.9
VXUS-1.1%rvol 1.8
EWZ-1.4%rvol 1.1
EEM-2.0%rvol 1.4
EWY-4.2%rvol 2.5
FLKR-4.3%rvol 2.2
Style & Factor11
USMV+0.1%rvol 1.3
SPLV-0.1%rvol 1.8
IWD-0.5%rvol 0.8
QUAL-0.7%rvol 1.2
JEPI-0.7%rvol 1.3
VTV-0.8%rvol 1.0
VUG-1.1%rvol 1.1
VLUE-1.6%rvol 1.0
IWF-1.7%rvol 0.8
MTUM-2.8%rvol 1.6
SPHB-3.0%rvol 1.1
Sectors11
XLE+2.1%rvol 1.7
XLP+0.7%rvol 1.6
XLC-0.1%rvol 1.0
XLV-0.1%rvol 1.6
XLY-0.2%rvol 1.0
XLRE-0.5%rvol 1.2
XLU-0.6%rvol 1.6
XLF-1.0%rvol 1.7
XLB-1.6%rvol 1.6
XLK-2.1%rvol 1.8
XLI-3.0%rvol 1.8
Industry Themes11IGV +0.5% · DRAM -5.4%
IGV+0.5%rvol 1.0
KRE-0.4%rvol 1.6
XBI-1.8%rvol 1.3
VGT-1.9%rvol 1.4
ARKK-2.3%rvol 1.3
TAN-2.8%rvol 1.9
ITA-3.0%rvol 1.9
XHB-3.9%rvol 1.2
SMH-4.1%rvol 1.4
SOXX-4.8%rvol 2.5
DRAM-5.4%rvol 2.7
Bellwether Singles22DUK +0.6% · NBIS -9.5%
DUK+0.6%rvol 1.1
GOOGL+0.5%rvol 1.0
MSFT+0.1%rvol 1.3
AAPL+0.1%rvol 1.2
ENPH-0.1%rvol 2.7
NEE-0.2%rvol 0.9
META-0.2%rvol 0.9
CEG-0.6%rvol 0.8
AMZN-0.8%rvol 1.0
BAC-1.3%rvol 1.4
FSLR-1.6%rvol 0.8
ORCL-1.9%rvol 0.8
SPCX-2.0%rvol 0.9
TSLA-2.0%rvol 1.2
JPM-2.4%rvol 1.1
BE-3.1%rvol 4.8
CCJ-3.3%rvol 0.9
VST-3.7%rvol 1.3
GS-4.6%rvol 2.0
FCEL-5.1%rvol 1.4
CRWV-8.5%rvol 2.1
NBIS-9.5%rvol 2.9

VIX is not carried on the board (no tradeable-feed source); the Regime volatility component and Sigma Board carry the vol read.

SPY-1.04%gap -0.12% · open -0.92%
Best factor+0.97%Extended Momentum Risk
Worst factor-4.48%Oversold / Mean-Reversion Watch
Breadth10%baskets +ve · A/D 335/661
Up/Down Vol0.49xvolume in advancers vs decliners

Actionable Trading Ideas

High convictionpb:gap_fade_dn1
LONGsame-day

Fade XHB's -1.9% down-gap into the close

Down-gap fade into the close
XHB gapped -1.9% at the open · 1 proxy gapped <= -1%
n=815win 56%avg +0.34%med +0.28%t=4.92021–26
LONG · same-day (open→close) · blocked in Risk-Off Stress, Distribution Risk
InvalidationInvalidated if the gap keeps trending down through ~10:30 ET on expanding volume (not in the backtest).
why / how
EvidenceBacktested edge: n=815, 56% winners, avg +0.34% / median +0.28% per same-day open->close, t=4.9, 2021-26; per-year sign 6/6. Population = current liquid cross-section (survivorship disclosed).
ExpressTop matches by signal: XHB
FramingSmall positive-expectancy same-day mean-reversion — tiny edge, tight risk; the edge inverts in risk-off tape (blocked there).
method / provenance
v_market_proxy_daily (split-adj), dedup QUALIFY; signal = gap at t0 open (o/pc-1 <= -1%); fwd = same-day open->close; h=0 keeps every event; regime_block excludes risk-off tape; harness v1 2026-07-24; population = current-universe (survivorship disclosed); refit quarterly.

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

LeadingExtended Momentum Risk +1.0%Thematic Momentum Leadership -0.2%Low-Vol Aligned Uptrend -0.5%
LaggingOversold / Mean-Reversion Watch -4.5%Broken Momentum / Avoid -2.1%Neutral / Transition -1.4%

Top-to-bottom basket spread 5.5pp today · dispersion Styles z60 +0.9 (typical), Sectors z60 +0.8 (typical) · flow confirms 2/3 leaders.

Extended Momentum Risk62 names · 100% covz +0.5+0.97%
ID+1.0%
1D+1.0%
3D+8.3%
1W+12.5%
MTD+22.6%
1M+22.9%
3M+20.8%
YTD+5.5%
1Y-0.3%
2Y+15.6%
Thematic Momentum Leadership85 names · 100% covz -0.8-0.16%
ID-0.2%
1D-0.2%
3D+2.6%
1W+3.9%
MTD+8.2%
1M+7.7%
3M+29.1%
YTD+36.5%
1Y+56.2%
2Y+71.8%
Low-Vol Aligned Uptrend134 names · 99% covz -0.8-0.46%
ID-0.5%
1D-0.5%
3D+0.9%
1W+1.8%
MTD+3.2%
1M+2.6%
3M+7.7%
YTD+15.3%
1Y+18.7%
2Y+26.4%
Institutional Large-Cap Accumulation36 names · 100% covz -1.1-0.47%
ID-0.5%
1D-0.5%
3D+1.8%
1W+3.8%
MTD+9.4%
1M+8.8%
3M+20.2%
YTD+22.7%
1Y+31.4%
2Y+53.7%
Smaller-Cap High-Beta Breakout21 names · 100% covz -1.1-0.56%
ID-0.6%
1D-0.6%
3D+2.3%
1W+2.3%
MTD+10.3%
1M+11.8%
3M+56.7%
YTD+81.0%
1Y+111.5%
2Y+100.2%
Neutral / Transition496 names · 100% covz -1.9-1.40%
ID-1.4%
1D-1.4%
3D+0.1%
1W+0.0%
MTD-1.2%
1M-1.2%
3M+5.6%
YTD+14.4%
1Y+26.1%
2Y+46.0%
Unclassified / Insufficient Data thin — n<107 names · 100% covz -1.2-1.92%
ID-1.9%
1D-1.9%
3D+0.7%
1W+0.8%
MTD-4.3%
1M-2.9%
3M+13.3%
YTD+34.6%
Broken Momentum / Avoid90 names · 100% covz -1.7-2.13%
ID-2.1%
1D-2.1%
3D-0.9%
1W-2.8%
MTD-7.3%
1M-7.3%
3M-16.4%
YTD-14.4%
1Y-7.2%
2Y+42.6%
Oversold / Mean-Reversion Watch74 names · 99% covz -1.5-4.48%
ID-4.5%
1D-4.5%
3D-11.4%
1W-17.0%
MTD-29.8%
1M-28.8%
3M-18.0%
YTD+22.1%
1Y+66.4%
2Y+131.9%

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+2.12%
Consumer Staples+0.90%
Communication Services+0.11%
Real Estate-0.06%
Consumer Discretionary-0.54%
Health Care-0.74%
Utilities-1.06%
Financials-1.09%
Information Technology-1.72%
Materials-2.42%
Industrials-3.72%
Themes and Keyword Baskets
Cloud Software-0.2%1D
285 names · 77% covaggregate only
ID-0.3%WTD+4.0%MTD+3.1%YTD+10.4%
Consumer / Retail-0.2%1D
503 names · 72% cov
ID-0.3%WTD+3.4%MTD+3.8%YTD+10.4%
Financials / Credit-0.4%1D
689 names · 61% cov
ID-0.7%WTD+2.3%MTD+3.2%YTD+12.7%
Oil & Gas-0.4%1D
295 names · 79% cov
ID-0.7%WTD-1.2%MTD-0.8%YTD+15.5%
Healthcare / Biotech degraded-0.5%1D
721 names · 55% cov
ID-1.2%WTD+0.4%MTD-0.7%YTD+19.9%
Cybersecurity-0.5%1D
100 names · 68% covaggregate only
ID-0.9%WTD+3.2%MTD+2.0%YTD+17.1%
Housing / Real Estate-0.6%1D
465 names · 69% cov
ID-1.1%WTD+1.3%MTD+1.7%YTD+11.1%
Macro Rates / Inflation-0.7%1D
560 names · 75% covaggregate only
ID-1.1%WTD+0.9%MTD-0.1%YTD+16.9%
AI Infrastructure-1.0%1D
919 names · 77% covaggregate only
ID-1.7%WTD+0.3%MTD-3.8%YTD+14.9%
Energy Transition-1.0%1D
286 names · 79% cov
ID-1.7%WTD-1.5%MTD-6.7%YTD+13.7%
Commodities / Materials-1.2%1D
184 names · 71% cov
ID-2.2%WTD-1.9%MTD-5.1%YTD+8.2%
Crypto / Digital Assets-1.2%1D
157 names · 68% covaggregate only
ID-1.9%WTD+0.3%MTD+0.8%YTD+12.7%
Industrial Automation-1.3%1D
540 names · 74% covaggregate only
ID-2.3%WTD-1.1%MTD-5.1%YTD+16.8%
Semiconductors-2.0%1D
207 names · 84% cov
ID-3.0%WTD-4.1%MTD-13.6%YTD+39.1%
Defense / Aerospace-2.2%1D
220 names · 76% cov
ID-4.0%WTD-2.6%MTD-9.9%YTD+19.5%

Theme performance at midday reflects a stark divergence. Defense / Aerospace is the worst performer, sliding -4.04% intraday and -2.56% week-to-date, with only 12.9% of constituents advancing. Semiconductors also under pressure, down -2.95% intraday and -4.10% wtd on 20.0% breadth. In contrast, Oil & Gas edges down just -0.67% intraday with 39.58% advancing, while Cloud Software dips -0.27% and Consumer/Retail -0.31%. Year-to-date, Semiconductors remain up 39.1% despite recent weakness; Defense / Aerospace holds 19.54% YTD.

Sigma Board
−3σ0+3σ
Momentum - LowVol w1spread · -12.14% · 252d · n=252-4.08σ
Semis - Market w1spread · -11.58% · 252d · n=252-3.58σ
Growth - Value w1spread · -6.56% · 252d · n=252-3.31σ
EqualWeight - CapWeight w1spread · +3.61% · 252d · n=252+3.14σ
Oversold / Mean-Reversion Watch d1basket · -4.48% · 60d · n=40-2.79σ
HighBeta - LowVol w1spread · -9.03% · 252d · n=252-2.59σ
Broken Momentum / Avoid d1basket · -2.13% · 60d · n=40-2.49σ
Neutral / Transition d1basket · -1.39% · 60d · n=40-2.20σ

The style board shows extreme downside in the highest-risk buckets: Oversold / Mean-Reversion Watch plunges 4.48% intraday, with only 8.22% of members advancing, and High-Vol Breakdown drops 3.61% (14.89% advancing). Conversely, Momentum Breakout / Leadership gains 0.77%, while Base Building / Coiled loses 1.26%. Low-Vol Uptrend is down a modest 0.32%. The top 3 style baskets by performance are Momentum Breakout / Leadership, Extended Overbought Momentum (-0.15%), and Persistent Uptrend / Compounder (-0.72%). The bottom are Oversold / Mean-Reversion Watch, High-Vol Breakdown, and Weak Downtrend / Avoid Momentum (-2.13%).

Factor × Sector Map
Extended Momentum Riskn6
Consumer Discretionary
+4.0%1D
ID+4.0%WTD+9.4%MTD+24.3%
Broken Momentum / Avoidn5
Energy
+3.3%1D
ID+3.3%WTD-0.5%MTD+1.8%
Extended Momentum Riskn5
Health Care
+2.4%1D
ID+2.4%WTD+12.5%MTD+27.3%
Neutral / Transitionn25
Energy
+2.1%1D
ID+2.1%WTD-3.3%MTD+6.5%
Smaller-Cap High-Beta Breakoutn5
Consumer Discretionary
+2.0%1D
ID+2.0%WTD+6.1%MTD+15.8%
Thematic Momentum Leadershipn11
Information Technology
+1.9%1D
ID+1.9%WTD+6.2%MTD+7.4%
Extended Momentum Riskn24
Information Technology
+1.5%1D
ID+1.5%WTD+10.8%MTD+24.2%
Institutional Large-Cap Accumulationn3
Energy
+1.2%1D
ID+1.2%WTD+0.3%MTD+20.2%
Thematic Momentum Leadershipn4
Consumer Staples
+1.2%1D
ID+1.2%WTD+4.0%MTD+10.7%
Neutral / Transitionn26
Consumer Staples
+1.1%1D
ID+1.1%WTD+5.0%MTD+6.1%
Low-Vol Aligned Uptrendn6
Communication Services
+0.8%1D
ID+0.8%WTD+4.3%MTD+6.6%
Oversold / Mean-Reversion Watchn3
Energy
+0.6%1D
ID+0.6%WTD-6.1%MTD-12.7%
Broken Momentum / Avoidn4
Consumer Staples
+0.4%1D
ID+0.4%WTD+4.8%MTD+0.9%
Neutral / Transitionn25
Communication Services
+0.4%1D
ID+0.4%WTD+5.6%MTD+2.8%
Broken Momentum / Avoidn6
Real Estate
+0.1%1D
ID+0.1%WTD+2.9%MTD+2.6%
Thematic Momentum Leadershipn9
Consumer Discretionary
+0.1%1D
ID+0.1%WTD+5.0%MTD+10.8%
Low-Vol Aligned Uptrendn9
Consumer Staples
+0.1%1D
ID+0.1%WTD+2.7%MTD+1.8%
Extended Momentum Riskn19
Financials
+0.1%1D
ID+0.1%WTD+5.8%MTD+20.3%
Low-Vol Aligned Uptrendn27
Real Estate
-0.0%1D
ID-0.0%WTD+0.4%MTD+4.1%
Thematic Momentum Leadershipn11
Real Estate
-0.1%1D
ID-0.1%WTD+1.5%MTD+7.1%
Neutral / Transitionn21
Real Estate
-0.1%1D
ID-0.1%WTD+1.4%MTD+2.4%
Broken Momentum / Avoidn9
Communication Services
-0.1%1D
ID-0.1%WTD+4.5%MTD+2.2%
Low-Vol Aligned Uptrendn36
Financials
-0.1%1D
ID-0.1%WTD+1.6%MTD+4.0%
Low-Vol Aligned Uptrendn21
Utilities
-0.3%1D
ID-0.3%WTD-0.6%MTD+3.0%
Institutional Large-Cap Accumulationn8
Health Care
-0.3%1D
ID-0.3%WTD+1.6%MTD+6.3%
Thematic Momentum Leadershipn17
Financials
-0.4%1D
ID-0.4%WTD+2.2%MTD+8.5%
Extended Momentum Riskn5
Industrials
-0.6%1D
ID-0.6%WTD+4.0%MTD+18.5%
Institutional Large-Cap Accumulationn9
Financials
-0.6%1D
ID-0.6%WTD+2.1%MTD+10.4%
Broken Momentum / Avoidn13
Consumer Discretionary
-0.6%1D
ID-0.6%WTD+3.1%MTD-2.9%
Broken Momentum / Avoidn4
Health Care
-0.7%1D
ID-0.7%WTD+3.0%MTD-2.5%
Neutral / Transitionn67
Health Care
-0.8%1D
ID-0.8%WTD+1.4%MTD-0.2%
Low-Vol Aligned Uptrendn6
Health Care
-0.8%1D
ID-0.8%WTD+1.8%MTD+4.0%
Thematic Momentum Leadershipn25
Health Care
-0.8%1D
ID-0.8%WTD+1.6%MTD+6.5%
Neutral / Transitionn66
Consumer Discretionary
-0.9%1D
ID-1.0%WTD+2.9%MTD+0.5%
Neutral / Transitionn15
Utilities
-1.0%1D
ID-1.0%WTD-2.3%MTD-2.9%
Broken Momentum / Avoidn7
Materials
-1.2%1D
ID-1.2%WTD-4.0%MTD-3.5%
Low-Vol Aligned Uptrendn21
Industrials
-1.5%1D
ID-1.5%WTD-0.1%MTD+1.7%
Smaller-Cap High-Beta Breakoutn7
Information Technology
-1.6%1D
ID-1.6%WTD+2.4%MTD+3.3%
Neutral / Transitionn79
Information Technology
-1.7%1D
ID-1.7%WTD-1.2%MTD-6.5%
Smaller-Cap High-Beta Breakoutn8
Health Care
-1.9%1D
ID-1.9%WTD-0.3%MTD+9.4%
Institutional Large-Cap Accumulationn10
Industrials
-1.9%1D
ID-1.9%WTD-0.9%MTD+7.4%
Neutral / Transitionn58
Financials
-1.9%1D
ID-1.9%WTD-0.0%MTD+1.1%
Oversold / Mean-Reversion Watchn3
Health Care
-2.0%1D
ID-2.0%WTD-5.2%MTD-24.9%
Thematic Momentum Leadershipn4
Materials
-2.0%1D
ID-2.0%WTD+1.3%MTD+9.7%
Broken Momentum / Avoidn4
Utilities
-2.2%1D
ID-2.2%WTD-8.6%MTD-6.2%
Neutral / Transitionn18
Materials
-2.5%1D
ID-2.5%WTD-0.4%MTD-3.0%
Unclassified / Insufficient Datan3
Information Technology
-2.6%1D
ID-2.6%WTD-0.4%MTD-6.8%
Low-Vol Aligned Uptrendn3
Consumer Discretionary
-2.9%1D
ID-2.9%WTD+1.8%MTD+1.0%
Broken Momentum / Avoidn13
Information Technology
-3.1%1D
ID-3.1%WTD-1.8%MTD-16.0%
Oversold / Mean-Reversion Watchn5
Materials
-3.5%1D
ID-3.5%WTD-6.6%MTD-20.2%
Oversold / Mean-Reversion Watchn3
Financials
-3.6%1D
ID-3.6%WTD-6.8%MTD-29.1%
Neutral / Transitionn96
Industrials
-3.8%1D
ID-3.8%WTD-3.0%MTD-5.4%
Oversold / Mean-Reversion Watchn4
Utilities
-4.2%1D
ID-4.2%WTD-7.5%MTD-17.8%
Oversold / Mean-Reversion Watchn3
Consumer Discretionary
-4.3%1D
ID-4.3%WTD-8.6%MTD-21.8%
Low-Vol Aligned Uptrendn3
Information Technology
-4.9%1D
ID-4.9%WTD-4.0%MTD-2.6%
Oversold / Mean-Reversion Watchn27
Information Technology
-5.4%1D
ID-5.4%WTD-15.0%MTD-39.1%
Oversold / Mean-Reversion Watchn23
Industrials
-5.5%1D
ID-5.5%WTD-13.2%MTD-28.8%
Broken Momentum / Avoidn20
Industrials
-5.6%1D
ID-5.6%WTD-4.7%MTD-16.3%
Broken Momentum / Avoidn5
Financials
-5.8%1D
ID-5.8%WTD-4.9%MTD-14.9%
Where each factor basket is working by sector — sorted by 1-day equal-weight return, ≥3 names per cell.
Regime Assessment
16 days · 70 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+0.90
Jul 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-0.15
breadth+0.60
volatility+0.75
rotation+1.90
size-0.10
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 market is in a Choppy Neutral regime (composite 0.1075), which historically precedes elevated volatility and an above-average frequency of drawdowns. The reading has persisted for 4 trading days since July 23, with a high 87% probability of remaining unchanged tomorrow and an expected dwell of 7.7 days—implying a transition window around early August. When exits occur, they most often resolve into Constructive Rotation (52.5%) or Distribution Risk (28.8%), while Risk-Off Stress (10.2%) and Risk-On Trend (8.5%) are less common. Current components show mixed signals: breadth is supportive (0.6), but style dispersion (-1.75) and tepid risk appetite (volatility 0.75) cap upside conviction.

Top Single-Stock Setups (4h–1 Week)

#1HEIIndustrials99
▲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%
#2CTVAMaterials99
▲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%
#3VTRSHealth Care98
▲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%
#4NTAPInformation Technology98
▲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%
#5LQDAHealth Care98
▲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.
BoltFactors © 2026 · MIDDAY edition · 2026-07-29 · GitHub · every number is computed deterministically from report.json before narration; ideas pair today's live trigger with a static historical prior.