Market scan
Jun 29, 2026
Tier mix
- MEDIUM3
- WATCH4
- ADVISORY2
- STOOD_DOWN1
- DROP1
Tier mix — data table
| Tier | Calls |
|---|---|
| MEDIUM | 3 |
| WATCH | 4 |
| ADVISORY | 2 |
| STOOD_DOWN | 1 |
| DROP | 1 |
Directional book
Sizing is removed from every call by policy — see the disclaimer.
AMZN
MEDIUMShortlaneOI_FADE10dHeaviest clean 5d net CALL-OI build in the liquid universe; fade for h10 relative underperformance.
- Invalidation
- 5d net call-OI build (+111k, +7.9%) reverses / breaks out on real catalyst / market V-rebound extends
regime crashNOTE
no_op (OI-fade not s1-gated); LIVE V-rebound overlay -> sized for squeeze tail
liquidityPASS
pass
clusterNOTE
megacap-internet cluster (AMZN/GOOGL/META) -> sized ONCE (representative)
fundamentalsNOTE
CAUTION: strong franchise -> tactical OI-fade, do not oversize
event riskNOTE
next ER 2026-07-30 -- outside h10
DVN
MEDIUMShortlaneOI_FADE10dEnergy call-OI build (+11.3%); orthogonal sector exposure vs tech-heavy book.
- Invalidation
- 5d call-OI build (+11.3%) reverses / crude rips
regime crashNOTE
no_op; LIVE V-rebound overlay
liquidityPASS
pass
clusterNOTE
single (energy; sector-diversifies the short book)
fundamentalsNOTE
CAUTION: commodity-beta
event riskNOTE
next ER 2026-08-04 -- outside h10
IBM
MEDIUMShortlaneOI_FADE10dHeaviest *relative* call-OI build (+22.6%) among large liquid names; sector-diversifying short.
- Invalidation
- 5d call-OI build (+22.6%) reverses / reclaims breakout
regime crashNOTE
no_op; LIVE V-rebound overlay
liquidityPASS
pass
clusterNOTE
single (legacy-tech; uncorrelated to mega-cap-internet & energy)
fundamentalsNOTE
CAUTION: durable cash-flow franchise -> tactical fade
event riskNOTE
next ER 2026-07-22 -- outside h10
ACN
ADVISORYLonglaneS4_pcr_fade5dModerate-high PCR put-heavy crowd, liquid; advisory LONG fade only, never sized.
- Invalidation
- put-heavy turns out informed (gap down on news)
regime crashNOTE
no_op
liquidityPASS
pass
clusterNOTE
S4 advisory cohort -- never sized; extreme-PCR outliers (PCVX 406 etc.) excluded as 1-day artifacts
fundamentalsN/A
NA
event riskNOTE
next ER 2026-09-24
DLTR
ADVISORYLonglaneS2_dp_revert5dCleanest extreme one-sided DP liquidity event (mid-range pct52, no near catalyst) -> small reversion-long tag.
- Invalidation
- concentration not repeated next session / news emerges
regime crashNOTE
no_op
liquidityPASS
pass
clusterNOTE
S2 cohort (DLTR/SHW/BRKB/CSCO), news-gated; DLTR DP BUY-heavy 0.985 extreme
fundamentalsN/A
NA
event riskNOTE
next ER 2026-09-02 -- clear of h5
Vol book
Non-directional, delta-neutral, net-of-cost — advisory only, 0 directional points.
NKE
vol_earningssell premium- Vol state
- iv_rank 81, iv30d 0.487
- Implied move
- 8.00%
Delta-neutral short strangle / iron condor into 06-30 PM print; harvest IV crush if realized < 8% implied. NET-OF-COST: positive only if realized move < implied; size small.
STZ
vol_earningssell premium- Vol state
- iv_rank 64, iv30d 0.361
- Implied move
- 5.00%
Delta-neutral premium-sell into 06-30 PM print; defined-risk condor, net-of-cost.
FDS
vol_earningssell premium- Vol state
- iv_rank 91 (rich), iv30d 0.668
- Implied move
- 10.00%
Richest IV-rank of the menu; delta-neutral condor into 07-01 AM print, net-of-cost.
PEP
vol_earningssell premium- Vol state
- iv_rank 75, iv30d 0.268 (most liquid)
- Implied move
- 2.00%
Liquid large-cap; small implied move (2%) -> tight defined-risk condor into 07-09 AM, net-of-cost.
PENG
vol_earningssell premium- Vol state
- iv_rank 97 (richest), iv30d 1.535 (small-cap)
- Implied move
- 23.00%
Very rich IV but wide 23% implied move + small-cap gap risk -> size MINIMAL, defined-risk only.
SPY/QQQ-0DTE
vol_0dtebuy premium- Vol state
- dealers SHORT GAMMA (below ZGL 764) + holiday-week thin liquidity + NFP 07-02
Stand aside 0DTE-VRP premium-selling LESS safe net-of-cost under short-gamma: realized can spike, dealer hedging amplifies moves; NFP 07-02 + Jul-3 thin tape add gap risk. STAND ASIDE this week; favor defined earnings IV-crush instead.
Watch / stood-down
| Ticker | Tier | Lane | Direction | Invalidation |
|---|---|---|---|---|
| AMAT | WATCH | MOM_LONG | Long | basket loses 52w-high breakouts / sharp risk-off reversal |
| GOOGL | WATCH | OI_FADE | Short | part of mega-cap-internet OI-fade basket; taken once via AMZN |
| META | WATCH | OI_FADE | Short | part of mega-cap-internet OI-fade basket; taken once via AMZN |
| MSTR | WATCH | OI_FADE | Short | OI build reverses / BTC rolls over (then revisit as short) |
| CME | STOOD_DOWN | MOM_SHORT | Short | n/a -- S1 short leg suppressed on live V-rebound squeeze guard |
| CRM | DROP | OI_FADE | Short | n/a -- dropped on lane conflict |
Lane status
No lane produced a conceptual fire without a sized call tonight.
Watchlist write-back
Carried forward to the next session's watchlist — not calls.
Lane glossary (7)
- OI_FADE
- OI-flow fade — fades persistent multi-day net call-OI building; heavy call-OI build precedes underperformance. The most robust lane measured (short, h10).
- MOM_SHORT
- Momentum, short leg — near-52w-low relative weakness. Regime-gated against momentum-crash/squeeze rebounds (h10).
- MOM_LONG
- Momentum, long leg — near-52w-high relative strength. Tail-driven; basket-only, never sized per-name (h10).
- S2_dp_revert
- Liquidity reversion — fades an extreme one-sided dark-pool liquidity event as short-horizon mean reversion (long-tilted), news/earnings-gated (h3-5).
- S4_pcr_fade
- Sentiment contrarian — fades a put-heavy (high put/call ratio) crowd long; the only sentiment leg that measured positive. Advisory size only (h5-10).
- vol_earnings
- Vol book — sells volatility into an earnings IV-crush. Non-directional, delta-neutral, 0 directional points.
- vol_0dte
- Vol book — 0DTE variance-risk-premium premium-selling. Non-directional, delta-neutral, 0 directional points.
Live post-market scan (fresh 2026-06-29 panel export, 20:08 EDT). Scoring currency = excess-vs-SPY (conditional), never raw win-rate. Regime is path-aware (Yahoo chart API + live
uw06-29), not the stale harness fallback (see note).
Regime & Verdict#
- Regime: PULLBACK_IN_UPTREND / TRANSITIONAL · SPY 741 (below 20dma 742.83, above 50dma 735.14; −2.55% from 90d high) · ret5 −0.46% · ret10 −0.10% · breadth weak/divergent (37.9% bullish flow; 3879 bearish vs 2366 bullish tickers on an up-day).
- Today = sharp V-rebound: SPY +1.65%, QQQ +2.49% off a 2–4% multi-day dip; VIX 17.65, −4.1% today / −20.6% off its 15d high (22.2).
- vol-state (2nd-moment, NOT a direction): VIX falling but dealers NET SHORT GAMMA (SPY GEX negative, spot 740.7 < ZGL 764.2 → hedging amplifies moves); front-end BACKWARDATION 1.12; term-skew TAIL_HEDGING. Normalizing, not complacent.
directional_tradable: true(half-cap — TRANSITIONAL + weak breadth) ·s1_standdown: **true**(live overlay).
⚠ Harness/truth-set staleness (important):
retro_harness.py --date 2026-06-29returnsCHOP, ret5 −2.38%, s1_standdown False— butdata/{returns,prices,features}.parquetmax out at 2026-06-26, so the harness silently falls back to the 06-26 regime. It cannot classify 06-29 until the truth-set is rebuilt. The numbers above are the live path-aware read and are authoritative for this scan. (Lane priors are cross-year backtested constants and remain valid.)
- Bottom line: Low-conviction tape. The one robust directional lane (OI-fade short) is live and regime-appropriate, but today's V-rebound + short-gamma make fresh shorts timing-risky → 3 starter/half OI-fade shorts after correlation collapse, sized for the squeeze tail.
s1_standdownsuppresses the entire MOM_SHORT leg (the V-rebound off a dip is the momentum-crash trap). MOM_LONG is basket-WATCH only. The actionable book today is the VOL BOOK (a genuinely rich early-July earnings IV-crush menu) — the modal "thin directional edge, here's the vol book + watch list" output.
Directional Book (excess-scored)#
| Ticker | Lane | Dir | H | validated_excess | regime_fit | tier | gates |
|---|---|---|---|---|---|---|---|
| AMZN | OI_FADE | short | 10 | +0.0088 (hit−base +0.205, n=640) | 1.0 | MEDIUM | mega-cap-internet cluster (AMZN/GOOGL/META) → sized once; +111k/+7.9% 5d call-OI build; ER 07-30 outside h10; fund CAUTION |
| IBM | OI_FADE | short | 10 | +0.0088 | 1.0 | MEDIUM | single (legacy-tech, uncorrelated); heaviest relative build +22.6%; ER 07-22 outside h10 |
| DVN | OI_FADE | short | 10 | +0.0088 | 1.0 | MEDIUM | single (energy, sector-diversifying); build +11.3%; ER 08-04 outside h10 |
Why these three and not the other ~17 OI-fade fires (the discipline):
- No additive confluence — each scores on the OI-fade lane alone. CRM dropped: OI_FADE-short (+53.6k build) AND S2_dp_revert-long (DP SELL-heavy 0.034 extreme) → lanes conflict, they don't net.
- Correlation-cluster collapse (corr ≥ 0.70 = one position): mega-cap-internet (AMZN/GOOGL/META) → 1 (AMZN rep); crypto-proxy (MSTR/BMNR/MARA) → 1 (watch). Picked uncorrelated singles (IBM legacy-tech, DVN energy) for breadth.
- Live V-rebound overlay → squeeze-prone OI-fade names deferred: MSTR/BMNR/MARA are heavy call-OI builds but near 52w-low + crypto-reflexive = exactly what squeezes on a V-rebound day → WATCH, not sized. Sized names are mid-range pct52 (AMZN 0.54, IBM 0.55, DVN 0.50), not squeeze-from-the-lows.
- Nice structural property: short crowded-call mega-caps (AMZN) + WATCH long new-high semis (MOM_LONG basket) ≈ a roughly tech-neutral relative-value posture, which suits a no-clear-direction TRANSITIONAL tape.
- Half-cap, no auto-full (invariant #4): nothing sizes full; caps at MEDIUM.
Vol Book (non-directional) — the meat today#
Delta-neutral, quoted net-of-cost, 0 directional points. A real early-July earnings cluster (not the pre-season quiet I expected):
| Symbol | ER | iv_rank | implied move | note |
|---|---|---|---|---|
| NKE | 06-30 PM | 81 | ~8% | most liquid ($992M ADV); short strangle/condor, harvest crush if realized < implied |
| STZ | 06-30 PM | 64 | ~5% | defined-risk condor |
| FDS | 07-01 AM | 91 | ~10% | richest IV-rank of the liquid menu |
| PEP | 07-09 AM | 75 | ~2% | liquid large-cap; tight condor |
| PENG | 07-07 PM | 97 | ~23% | richest IV but wide move + small-cap gap risk → minimal, defined-risk only |
- 0DTE-VRP: STAND ASIDE this week. Dealers short gamma (below ZGL 764) → realized can spike and hedging amplifies moves; NFP 07-02 + Jul-3 holiday thin tape add gap risk → premium-selling is negative/too-risky net-of-cost. Favor the defined earnings IV-crush plays instead.
Watch / Stood-down#
- STOOD DOWN — MOM_SHORT cohort (
s1_standdown=true): near-52w-low names NOG / CPRT / TU / INGR / CME / ICE / T / TMUS / CTSH / NDAQ / BSX / ROL / HLI / SSNC. Entire S1 short leg suppressed on the live V-rebound. regime_fit 0 today. - WATCH — OI-fade clustered/deferred: GOOGL, META (via AMZN cluster); MSTR/BMNR/MARA (crypto squeeze tail).
- WATCH — MOM_LONG basket (tail-driven, median ≈ 0, hit−base −0.093; basket only, never per-name): semis AMAT / GLW / PANW / ALAB / ACMR / UCTT / ICHR / OUST / ALGM (+ AIP) and biotech RVMD / CYTK / LGND / HNGE. regime_fit 0.5 into a weak-breadth bounce. Heavy semis correlation — would collapse to ~1 position if sized.
- ADVISORY (never sized) — S2_dp_revert longs: DLTR (DP BUY 0.985), SHW (0.979), BRKB (0.922), CSCO (0.982) — extreme one-sided DP liquidity events, news-gated reversion (+0.47%, h3–5).
- ADVISORY — S4_pcr_fade longs: ACN, CTSH (high PCR). Extreme-PCR outliers (PCVX 406, MDLN 38, VIK 36) excluded as 1-day artifacts (the reason
put-call-extremeswas deprecated for z-score). Never sized. - DROP: CRM (lane conflict). CTSH also sits in both the stood-down MOM_SHORT cohort and the S4 advisory list → conflicting orthogonal signals → no action.
Risk#
- Correlation clusters are load-bearing: ~20 raw OI-fade fires + the whole MOM_SHORT/MOM_LONG screens collapse to 3 sized, uncorrelated shorts (mega-cap-internet / legacy-tech / energy). Without collapse the book is one levered "mega-cap + crypto down" bet.
- Event calendar (in-horizon): June NFP ~07-02 (Tier-1, inside all horizons), US market holiday 07-03 (thin liquidity), CPI + Q2 banks ~07-14 (just past h10). All sized names' earnings are outside h10 (verified: 07-22 to 08-04).
- Tail caps applied: AMZN half (mega-cap squeeze tail + live V-rebound); IBM/DVN starter; vol-shorts sized for the unsampled left tail and quoted net-of-cost; 0DTE-VRP stood aside under short-gamma.
- Fundamentals gate: marked CAUTION on the sized shorts (AMZN/IBM/DVN are fundamentally sound → fades are tactical, not fundamental shorts) → reinforces starter/half. (Live
fundamentals-gateagent not separately run — subagent tool-execution was intermittently blacked out this session; the directional book is baskets/starters, not single high-conviction sizes, so the veto channel is advisory-pending, not load-bearing here.) - Hedge note: book is net-short into a fresh +1.65% V-rebound with dealers short-gamma (up-moves amplified) → the risk is a continuation squeeze. Half/starter sizing + the squeeze-prone-name deferral + h10 horizon are the hedges; invalidations are the per-name OI-build reversals / breakout reclaims.
Generated by /market-scan (live). Lanes computed inline via the same DuckDB screener / dark-pool / OI queries the retro_harness reference uses (subagent layer was unreliable this session; ran direct). Outcomes unresolved — /calibration-audit grades forward excess per lane per regime after the truth-set rebuild past 06-29. No lane/threshold changed this run → regression gate not triggered. Envelope: decision.json (v2, schema-valid).