Market scan
Jun 30, 2026
Tier mix
- MEDIUM3
- WATCH7
- ADVISORY3
- STOOD_DOWN1
Tier mix — data table
| Tier | Calls |
|---|---|
| MEDIUM | 3 |
| WATCH | 7 |
| ADVISORY | 3 |
| STOOD_DOWN | 1 |
Directional book
Sizing is removed from every call by policy — see the disclaimer.
AMZN
MEDIUMShortlaneOI_FADE10dCleanest mid-range call-dominated build among the mega-cap-internet cluster; taken once as the cluster representative. Pairs with the near-52w-high semis basket for a roughly tech-neutral RV posture.
- Invalidation
- 5d call-OI build (+409k, net +233k) reverses / tech leadership broadens the rebound
regime crashNOTE
OI-fade not s1-gated; mid pct52 (0.51); tech-led rebound -> fade for h10 RELATIVE underperformance, not an outright directional short -> starter/half
liquidityPASS
pass ($-ADV ~$14.9B; px $238)
clusterNOTE
mega-cap-internet cluster (AMZN/GOOGL/META) -> sized ONCE via AMZN (representative)
fundamentalsNOTE
CAUTION: dominant franchise -> tactical OI-fade, do not oversize
event riskNOTE
next ER 2026-07-30 -- outside h10
TSLA
MEDIUMShortlaneOI_FADE10dHeavy call-dominated 5d build in a highly liquid single at mid-upper 52w range; h10 relative-underperformance fade, sector-independent.
- Invalidation
- 5d call-OI build (+605k, net +115k) reverses / rip extends through resistance
regime crashNOTE
OI-fade not s1-gated; mid-UPPER pct52 (0.63) -> not a near-low squeeze; fading strength on a 2-day rip is a favorable entry
liquidityPASS
pass ($-ADV ~$20B; px $421)
clusterNOTE
single (auto / Musk-reflexive; independent of mega-cap tech & internet clusters)
fundamentalsNOTE
CAUTION: high-multiple reflexive name -> tactical fade only
event riskNOTE
next ER 2026-07-22 -- outside h10
WEN
MEDIUMShortlaneOI_FADE10dCleanest GENUINE crowded-call extreme in the liquid universe: 5d call-OI build = 1.13x its own 30d-avg call OI (vs ~0.12-0.16x for the mega-caps), at a non-squeeze mid-low pct52 with no near catalyst.
- Invalidation
- call-OI build (5d +290k, ~1.1x 30d-avg call OI) reverses / breaks out on catalyst
regime crashNOTE
OI-fade not s1-gated; mid-low pct52 (0.37) -> NOT a V-rebound squeeze candidate; half-cap regime
liquidityPASS
pass ($-ADV ~$235M >= $50M floor; px $8.29 >= $5)
clusterNOTE
single (small-cap restaurant/consumer; sector-diversifies the tech-heavy book)
fundamentalsNOTE
CAUTION: weakening QSR franchise -> tactical fade, do not oversize
event riskNOTE
next ER 2026-08-14 -- outside h10
COST
ADVISORYLonglaneS2_dp_revert5dLargest, cleanest extreme one-sided DP dollar concentration (SELL-heavy) with no near catalyst, mid-low pct52 -> small reversion-long tag (long-tilted edge), advisory only.
- Invalidation
- concentration not repeated next session / news emerges to explain the one-sided prints
regime crashNOTE
no_op
liquidityPASS
pass ($-ADV ~$2.4B)
clusterNOTE
S2 advisory cohort; COST DP SELL-heavy extreme (buy_frac 0.093 on $484M directional prem)
fundamentalsN/A
NA
event riskNOTE
next ER 2026-09-24 -- clear of h5
SHW
ADVISORYLonglaneS4_pcr_fade5dCleanest liquid high-PCR put-heavy crowd (mid-range 52w, ER clear); advisory LONG fade only, never sized. Mirror (short call-heavy crowd) measured negative and is not fired.
- Invalidation
- put-heavy crowd turns out informed (gap down on news)
regime crashNOTE
no_op
liquidityPASS
pass ($-ADV ~$998M -- most liquid of the high-PCR set)
clusterNOTE
S4 advisory cohort -- never sized; PCR 8.1 put-heavy, mid pct52 (0.61)
fundamentalsN/A
NA
event riskNOTE
next ER 2026-07-28 -- clear of h5-10
XOM
ADVISORYLonglaneS2_dp_revert5dClean extreme one-sided DP concentration in a liquid energy name; advisory reversion tag, sector-diversifying vs the tech-heavy watch list.
- Invalidation
- concentration not repeated / crude gaps
regime crashNOTE
no_op
liquidityPASS
pass ($-ADV ~$2.4B)
clusterNOTE
S2 advisory cohort; XOM DP BUY-heavy extreme (buy_frac 0.940 on $330M directional prem); energy diversifies
fundamentalsN/A
NA
event riskNOTE
next ER 2026-08-07 -- clear of h5
Vol book
Non-directional, delta-neutral, net-of-cost — advisory only, 0 directional points.
FDS
vol_earningssell premium- Vol state
- iv_rank 88, iv30d 0.676 (rich)
- Implied move
- 9.90%
Richest near-dated large-cap IV; delta-neutral iron condor into 07-01 AM print, harvest crush if realized < 9.9% implied. NET-OF-COST, size small.
GIS
vol_earningssell premium- Vol state
- iv_rank 85, iv30d 0.413
- Implied move
- 6.10%
Liquid consumer-defensive; delta-neutral condor into 07-01 AM print, net-of-cost.
PENG
vol_earningssell premium- Vol state
- iv_rank 97 (richest), iv30d 1.637 (small-cap)
- Implied move
- 23.70%
Very rich IV but 23.7% implied move + small-cap gap risk -> size MINIMAL, defined-risk only, into 07-07 PM.
AZZ
vol_earningssell premium- Vol state
- iv_rank 87, iv30d 0.515
- Implied move
- 7.50%
Defined-risk condor into 07-08 PM, net-of-cost; mid-cap, size small.
PEP
vol_earningssell premium- Vol state
- iv_rank 84, iv30d 0.285 (most liquid mega-cap)
- Implied move
- 1.30%
Liquid mega-cap, tiny 1.3% implied move -> tight defined-risk condor into 07-09 AM, net-of-cost.
JNJ
vol_earningssell premium- Vol state
- iv_rank 83, iv30d 0.264 (very liquid)
- Implied move
- 1.50%
Post-holiday mega-cap; tight condor into 07-15 AM, net-of-cost. Q2 season kickoff.
BNY
vol_earningssell premium- Vol state
- iv_rank 79, iv30d 0.358
- Implied move
- 5.20%
Q2 bank-earnings kickoff; delta-neutral condor into 07-15 AM, net-of-cost.
SPY/QQQ-0DTE
vol_0dtebuy premium- Vol state
- SPY GEX still NEGATIVE (spot 746.55 < ZGL 749.07) + NFP 07-02 + Jul-3 holiday thin tape
Stand aside 0DTE-VRP premium-selling LESS safe net-of-cost under negative gamma: realized can spike and dealer hedging amplifies; NFP 07-02 + Jul-3 thin holiday tape add gap risk. STAND ASIDE this week. NOTE: spot is right at the ZGL flip -- a close above ~749 flips dealer gamma positive (stabilizing) and would re-open 0DTE-VRP, but not yet.
Watch / stood-down
| Ticker | Tier | Lane | Direction | Invalidation |
|---|---|---|---|---|
| AMD | WATCH | MOM_LONG | Long | basket loses its 52w-high breakouts / sharp risk-off reversal |
| ASTS | WATCH | OI_FADE | Short | call build (0.23x 30d, net +124k) reverses / risk-on melt-up continues |
| CG | WATCH | OI_FADE | Short | confirmed catalyst/M&A behind the call build (then this is NOT a fade) / build reverses with no news |
| 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) |
| NVDA | WATCH | OI_FADE | Short | rebound leadership rotates away from semis (then revisit as short) |
| CME | STOOD_DOWN | MOM_SHORT | Short | n/a -- S1 short leg suppressed on live V-rebound squeeze guard |
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 2026-06-30 panel export, ~20:15 EDT). Scoring currency = excess-vs-SPY (conditional), never raw win-rate. Regime is path-aware (Yahoo chart API + live
uw06-30), not the stale harness fallback (see note). Phase A/B run directly in the foreground this session — the background sub-agent channel was failing (dying after one tool call), so all lane data was gathered via direct DuckDB reads of the panel parquets.
Regime & Verdict#
- Regime: UPTREND_RESUMPTION / TRANSITIONAL · SPY 746.77 (+0.78%), now back above 20dma (742.24) AND 50dma (735.87), −1.79% from 90d high · QQQ 736.40 (+1.70%), ret5 +3.19% (tech-led) · ret5(SPY) +1.80%, ret10 −1.07%.
- The V-rebound has EXTENDED and CONFIRMED. The 06-22→06-26 dip (SPY 744→729, −2%) is now fully round-tripped by a two-day snapback (06-29 +1.65%, 06-30 +0.78%); SPY sits above the pre-dip level. Yesterday's PULLBACK_IN_UPTREND has resolved to the upside.
- vol-state (2nd-moment, NOT a direction): VIX 16.45, −6.8% today / ret5 −15.6% / −36% off 90d high / near 90d low (below both MAs). Front-end flipped BACKWARDATION→CONTANGO (0.903) — the fear structure normalized. SPY GEX still NEGATIVE but spot 746.55 right at the ZGL flip (749.07; gap 0.34% vs 3.2% yesterday) → dealers short-gamma yet on the cusp of flipping to stabilizing. 1y skew TAIL_HEDGING (1.44). Rapidly normalizing toward complacency.
- breadth: WEAK / DIVERGENT (persists). 38% bullish (2372 bullish vs 3873 bearish flow tickers, n=6245) on an up day → a narrow, mega-cap/tech-led rebound. Sector rotation: Technology +$257M (dominant), Industrials, Utilities in; Financials, Healthcare, Comm-Services out.
directional_tradable: true(half-cap — TRANSITIONAL + weak breadth; uw guidance "half sizes, defined-risk") ·s1_standdown: **true** (persisting / strengthening).
⚠ Harness/truth-set staleness (unchanged):
retro_harness.py --date 2026-06-30falls back to the 06-26 regime becausedata/{returns,prices,features}.parquetmax at 2026-06-26 — it cannot classify 06-30. 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-fighting environment. The one robust regime-agnostic lane (OI-fade short) is live → 3 starter/half OI-fade shorts after correlation-collapse, sector-diversified and confined to mid-range names (near-52w-low reflexive builds are deferred as squeeze-prone).
s1_standdownsuppresses the entire MOM_SHORT leg — day-2 of a confirmed snapback with VIX collapsing is peak momentum-crash risk. MOM_LONG is a WATCH-only near-52w-high semis basket (weak breadth). As on 06-29, the richest actionable menu is the VOL BOOK (early-July earnings IV-crush into a shortened holiday week); 0DTE-VRP stands aside under negative gamma + NFP + holiday.
Directional Book (excess-scored)#
| Ticker | Lane | Dir | H | validated_excess | regime_fit | tier | gates / why |
|---|---|---|---|---|---|---|---|
| WEN | OI_FADE | short | 10 | +0.0088 (hit−base +0.205, n=640) | 1.0 | MEDIUM | Cleanest genuine crowded-call extreme: 5d call-OI build = 1.13× its own 30d-avg (vs ~0.12–0.16× for megas); pct52 0.37 (no squeeze); ER 08-14 outside h10; consumer-diversifying; fund CAUTION |
| TSLA | OI_FADE | short | 10 | +0.0088 | 1.0 | MEDIUM | Heavy call-dominated build (+605k, net +115k), pct52 0.63 mid-upper (fade strength, not near-low); ER 07-22 outside h10; auto-independent; fund CAUTION |
| AMZN | OI_FADE | short | 10 | +0.0088 | 1.0 | MEDIUM | Mega-cap-internet cluster rep (AMZN/GOOGL/META → sized once); build +409k net +233k, pct52 0.51; ER 07-30 outside h10; fund CAUTION |
Why these three (the discipline):
- No additive confluence — each scores on the OI-fade lane alone at its measured +0.88% h10 excess (MEDIUM). Nothing is summed.
- Relative-build, not absolute. The fade signal is a crowded-call extreme, so ranking is by 5d call build ÷ 30d-avg call OI — which promotes WEN (1.13×) and demotes the mega-caps (~0.14×), whose huge absolute builds are normal for their OI base. CG is the single most extreme (4.58×) but sits at pct52 ~0.08 with near-pure-call PCR (0.045) → a classic M&A/catalyst-speculation profile you must not fade blindly → WATCH pending a news gate.
- Correlation-cluster collapse (corr ≥ 0.70 = one position): mega-cap-internet (AMZN/GOOGL/META) → 1 (AMZN); mega-cap-semi (NVDA/AVGO) → watch (NVDA is leading the tape → times poorly); crypto (MSTR/MARA/BMNR) → 1 watch. Sized book kept sector-diverse: consumer (WEN) / auto (TSLA) / internet-mega (AMZN).
- V-rebound squeeze overlay → near-52w-low reflexive builds deferred: MSTR/BMNR/MARA (crypto), PLTR/SOFI, BABA (China) are heavy builds at 52w lows = exactly what squeezes on a confirmed rebound → WATCH, not sized. Sized names are all mid-range pct52.
- Half-cap, no auto-full (invariant #4): everything caps at starter/MEDIUM.
- Structural note: short crowded-call mega-caps + WATCH-long near-52w-high semis basket ≈ a roughly tech-neutral RV posture, which suits a no-clear-direction, weak-breadth TRANSITIONAL tape.
Vol Book (non-directional) — the meat again#
Delta-neutral, quoted net-of-cost, 0 directional points. Rich early-July earnings cluster into a shortened holiday week:
| Symbol | ER | IVR | implied move | note |
|---|---|---|---|---|
| FDS | 07-01 AM | 88 | 9.9% | Richest near-dated liquid large-cap → condor, harvest crush if realized < implied |
| GIS | 07-01 AM | 85 | 6.1% | Liquid consumer-defensive |
| PENG | 07-07 PM | 97 | 23.7% | Richest IV but wide move + small-cap gap → MINIMAL, defined-risk only |
| AZZ | 07-08 PM | 87 | 7.5% | Mid-cap, small size |
| PEP | 07-09 AM | 84 | 1.3% | Liquid mega-cap, tiny move → tight condor |
| JNJ | 07-15 AM | 83 | 1.5% | Post-holiday mega-cap; Q2 kickoff |
| BNY | 07-15 AM | 79 | 5.2% | Q2 bank-earnings kickoff |
- 0DTE-VRP → STAND ASIDE this week. SPY GEX still NEGATIVE (spot 746.55 < ZGL 749.07) + NFP 07-02 + Jul-3 holiday thin tape → premium-selling less safe net-of-cost (realized can spike, dealer hedging amplifies). Watch item: a SPY close above ~749 flips dealer gamma positive (stabilizing) and would re-open 0DTE-VRP — not there yet.
Watch / Stood-down#
- MOM_SHORT — ENTIRE LEG STOOD DOWN (
s1_standdown): genuine near-52w-low cohort (CME/ICE/T/TMUS/BSX/AMT/NKE…). Data note: the raw near-low screen is partly polluted by split artifacts (NFLX/BKNG/ISRG/INTU/KLAC carry unadjusted 52w-highs → spurious pct52≈0); the names listed are genuine. - MOM_LONG — WATCH/basket only: near-52w-high, semis-heavy basket (AMD/AMAT/LRCX/GLW/ALAB/TER/SNDK/INTC/PANW + CAT/GEV/LLY/UNH). Tail-driven, never per-name; capped to watch by weak (38%) breadth.
- OI-fade WATCH: NVDA/AVGO (semi cluster, leading the tape), GOOGL/META (internet dup via AMZN), MSTR/MARA/BMNR (crypto squeeze), BABA (China), PLTR/SOFI (near-low high-beta), CG (news-gate), ASTS (high-flyer).
- S2 dark-pool reversion (advisory long-tilted): COST (SELL-heavy extreme, buy_frac 0.093 on $484M directional; ER far) · XOM (BUY-heavy extreme 0.940, energy-diversifying). News-gate is a manual check.
- S4 PCR-fade (advisory long): SHW (PCR 8.1, most liquid, mid-range, ER clear); secondary FERG/EXPE. Never sized. The mirror (short the call-heavy crowd) measured negative and is not fired.
Risk#
- Correlation clusters: mega-cap-internet (AMZN·GOOGL·META), mega-cap-semi (NVDA·AVGO), crypto (MSTR·MARA·BMNR), semis-long-basket. Each collapses to one position; sized book deliberately spans consumer/auto/internet.
- Event calendar: ISM 07-01 (T2) · NFP 07-02 (T1, moved up) · market HOLIDAY 07-03 (thin) · CPI + Q2 banks begin ~07-14/15 (at/just past h10). NFP is inside all horizons → a market-wide gap risk absorbed via half-cap.
- Tail caps applied: OI-fade shorts sized for the squeeze tail on a risk-on, negative-gamma tape (starter, not half); crypto/high-flyer/near-low builds deferred; vol-shorts defined-risk & net-of-cost; 0DTE stood aside.
- Hedge note: dealers short gamma amplifies intraday moves until SPY clears ~749; the short-OI-fade / long-semis-basket pairing is intentionally tech-neutral to limit directional beta into NFP + the holiday.