Market scan · Jul 2, 2026

Tier mix

WATCH5
ADVISORY2

Tier mix — data table

Tier mix: tier and call count
Tier	Calls
WATCH	5
ADVISORY	2

BKNG

ADVISORYLonglaneS2_dp_revert5d

Repeat one-sided DP buy concentration (97.3%). Advisory lane, below the sizing bar.

Structure: advisory long-tilt only
Entry / trigger: advisory; not sized
Invalidation: concentration not repeated next session / news

validated excess+0.47% (n=336)regime fit0.40

Key risks

holiday gap
concentration not repeated

Gates

regime crashN/A

n/a (long-tilt reversion).

liquidityPASS

pass ($1.1B DP, 97.3% buy-heavy).

clusterNOTE

isolated.

fundamentalsN/A

not run — advisory only.

event riskNOTE

3-day holiday gap; h5 spans the gap.

JXN

ADVISORYLonglaneS4_pcr_fade5d

Cleanest liquid high-PCR fade-long (PCR 85). Advisory, below the sizing bar.

Structure: advisory long-tilt only
Entry / trigger: advisory; not sized
Invalidation: put crowd is informed (gap down)

validated excess+0.71% (n=331)regime fit0.35

Key risks

informed put crowd
holiday gap

Gates

regime crashN/A

n/a.

liquidityPASS

pass (liquid insurer).

clusterNOTE

isolated (insurer PCR extreme; THG also flagged).

fundamentalsN/A

not run — advisory only.

event riskNOTE

3-day holiday gap.

SPY/QQQ-0DTE

vol_0dtebuy premium

Vol state: VIX 16.15 (crushed post-NFP). No 0DTE tomorrow (NYSE closed Fri 07-03).

Stand aside STAND ASIDE. No session tomorrow (closed Fri 07-03); premium sold today bleeds theta over a closed Friday + weekend, MMs mark holiday vol down. Next 0DTE opportunity Mon 07-06.

Q2-EARNINGS-SLATE

vol_earningsbuy premium

Vol state: TSM/ASML iv_rank 100, NFLX 93, ABT 96, JNJ 79, CTAS 92 — all reporting 07-15/16.

Stand aside PRE-REGISTERED, not entered. The IV-crush fuel is Q2 season start 07-15/16 — ~2 weeks out, too early to sell (would hold the vol-short at risk for 10 sessions). Near names below the net-of-cost bar (PENG 07-07 small-cap 20%+ gap; AZZ 07-08; PEP 07-09 tiny implied move). Work this slate from Monday/mid-month.

Ticker	Tier	Lane	Direction	Invalidation
ALL	WATCH	MOM_LONG	Long	loses breakout / risk-off reversal
CG	WATCH	OI_FADE	Short	confirmed M&A behind the build
NVDA	WATCH	OI_FADE	Short	insider buying / real AI-capex catalyst breakout; OI build reverses
OLED	WATCH	MOM_SHORT	Short	broad-green tape firms laggards / squeeze
VRTX	WATCH	MOM_LONG	Long	rotation reverses / mega-tech V-bounces Monday / broad risk-off

No lane produced a conceptual fire without a sized call tonight.

VRTXALLCBCINFAXSMRNAPTGXIBBILMNDVACGNVDAOLEDBKNGJXNTSMASMLNFLX

Lane glossary (7)

MOM_LONG: Momentum, long leg — near-52w-high relative strength. Tail-driven; basket-only, never sized per-name (h10).
MOM_SHORT: Momentum, short leg — near-52w-low relative weakness. Regime-gated against momentum-crash/squeeze rebounds (h10).
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).
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_0dte: Vol book — 0DTE variance-risk-premium premium-selling. Non-directional, delta-neutral, 0 directional points.
vol_earnings: Vol book — sells volatility into an earnings IV-crush. Non-directional, delta-neutral, 0 directional points.

Regime & Verdict#

Regime: CHOP / ROTATION (post-NFP) · vol-state: VIX 16.15 (−2.7% d, −14.5% wk — event vol released post-NFP), VVIX 88.8 (low). QQQ iv_rank 73 vs SPY iv_rank 17 = tech-specific IV stress even as index vol collapses · breadth split: 61% price-green (broad) but 35% bullish flow (defensive positioning) · SPY above 20/50-SMA (structural uptrend), ret10 +0.52% (CHOP) · directional_tradable = TRUE (gate OPEN) · s1_standdown = FALSE
Bottom line: No directional entry sized today — but the posture is upgraded from yesterday's hard stand-down. The regime gate opened (s1_standdown cleared; the blocking NFP binary has now printed with VIX crushed), yet the tape blocks entry: a one-day-old rotation on a CHOP tape into a 3-day holiday gap (NYSE closed Fri 07-03) with holiday-thin liquidity. The corroborated rotation out of mega-tech into defensive/value is pre-registered as Monday 2026-07-06's MOM_LONG candidate, sized only on trend confirmation.

Regime is live-Yahoo authoritative (truth-set parquet stale at 06-26 → retro_harness --date falls back to a stale regime and is NOT used). The key day-over-day change: s1_standdown flipped FALSE. Yesterday ret5 was +1.71% (> the 1.5% floor, dd15 −3.32%) → the momentum-crash/V-rebound guard fired. Today the thrust decayed: ret5 +1.427% (below the 1.5% floor), dd15 −1.62% (above −2%) → both stand-down conditions fail. QQQ round-tripped almost its entire 06-29/30 V-rebound (736.40 → 712.60), unwinding the "junk-rally" shape. Per the harness's own 58-day history, s1_standdown fires only 6/58 days — FALSE is the normal state; yesterday was the rare exception, and we've reverted.

Directional Book (excess-scored)#

Empty for ENTRY. Every row below is WATCH / ADVISORY — the gate is open but the calendar (3-day holiday gap) and the tape (CHOP, tail-lane, defensive flow) block sizing. This is the correct output.

Ticker	Lane	Dir	Horizon	validated_excess (58d)	regime_fit	invalidation	gates
VRTX	MOM_LONG	long	h10	+2.35% (tail-driven, hit 0.50<0.59)	0.45	rotation reverses / tech V-bounces Mon	healthcare leader near 52w-high; basket rep, never per-name; sector inflow
ALL	MOM_LONG	long	h10	+2.35% (tail-driven)	0.45	loses breakout / risk-off	insurer leader; same MOM_LONG basket (Financials/Healthcare/Industrials); noted, not summed
OLED	MOM_SHORT	short	h10	+0.81% / +9.5pp hit	0.25	61% broad-green tape firms laggards	lane un-gated (s1_standdown FALSE) BUT shorting a laggard into broad-green + VIX-crush = fighting breadth; NOT a tech-rotation name
CG	OI_FADE	short	h10	+0.88% / +20.5pp hit	0.10	—	4.24× / 0.74 rel-build (most extreme) BUT M&A-speculation near 52w-low → DO NOT fade a takeover (unchanged from 07-01)
NVDA	OI_FADE	short	h10	+0.88% (lane prior)	0.20	insider buying / AI catalyst	mega-tech cluster = QQQ-beta trap (rel-build 0.007; hist mega-heavy-day excess −0.43%); only idiosyncratic sliver, not sized
BKNG	S2_dp_revert	long	h5	+0.47%	0.40	concentration not repeated / news	ADVISORY; DP buy-heavy 97.3% (repeat) — below sizing bar
JXN	S4_pcr_fade	long	h5	+0.71%	0.35	put crowd informed	ADVISORY; cleanest liquid high-PCR (insurer, PCR 85)

Why nothing sizes today (the gate is open — this is a calendar/tape call, not a stand-down):

MOM_LONG defensive-leadership basket — the real candidate, wrong day to enter. This is the cleanest expression of a rotation corroborated four independent ways: (1) QQQ −1.73% / dd15 −4.22% vs SPY flat vs IWM firm (ret10 +2.66%); (2) uw sector flow Technology −$590M OUT, Healthcare +$22M / Industrials +$14M IN; (3) the MOM_LONG scan itself is Healthcare/biotech (MRNA/PTGX/VRTX/IBB/ILMN/DVA) + insurers (AXS/ALL/CB/CINF/KIE) near 52w-highs; (4) broad 61% price breadth. But the lane is tail-driven (mean +2.35% from a few winners; hit 0.50 < 0.59 base, median −0.0007) and needs a trending, broad-participation tape — today is CHOP (ret10 +0.52%), uw is TRANSITIONAL/half-size, and flow breadth is defensive (35% bullish). You do not chase a one-day-old rotation on a tail-lane into a 3-day holiday gap. Pre-register; size Monday on trend confirmation.
MOM_SHORT — un-gated but no clean expression. s1_standdown FALSE turns the short leg back on, but its near-52w-low candidates (OLED/TU/MAT/XE) are idiosyncratic laggards, not the mega-tech rotation names, and shorting laggards into a 61%-green, VIX-crushed tape fights the broadening. The tech outflow is in names near their highs (NVDA/MSFT…), which only OI_FADE would short — and that's the beta trap.
OI_FADE — beta trap again. Raw oi_net_5d is entirely mega-tech + ETFs (NVDA/MSFT/AMZN/AAPL/META/GOOGL, rel-build 0.007–0.027× their own base) = a QQQ-beta short (hist −0.43% on mega-heavy days). The only extreme relative build is CG (0.74×) — the same M&A-takeover name near a 52w-low that is a do-not-fade. No sizeable idiosyncratic OI short exists today.

Vol Book (non-directional)#

STAND ASIDE — no delta-neutral edge clears net-of-cost through the holiday.

0DTE-VRP: no session tomorrow (NYSE closed Fri 07-03); premium sold today bleeds theta over a closed Friday + weekend, and MMs mark holiday vol down. Next 0DTE opportunity Mon 07-06.
Earnings IV-crush: the fuel is Q2 season start 07-15/16 — TSM (iv_rank 100), ASML (100), NFLX (93), JNJ (79), ABT (96), CTAS (92) — but that's ~2 weeks out, too early to sell (you'd hold the vol-short at risk for 10 sessions before the crush). Near names are below the net-of-cost bar: PENG (07-07, small-cap 20%+ gap), AZZ (07-08), PEP (07-09, iv_rank 81 but tiny implied move). Pre-register the 07-15/16 slate to work from Monday/mid-month.
Long vol: off-mandate and penalized by long-weekend theta (closed Fri + weekend decay) — cheap IV still bleeds.

Watch / Stood-down#

MOM_LONG rotation basket (PRIMARY Monday candidate) — Healthcare/biotech (MRNA, PTGX, VRTX, IBB, ILMN, DVA) + insurers (AXS, ALL, CB, CINF, KIE) + industrials near 52w-highs, in the sectors taking inflow. Size Monday 07-06 only if the rotation persists on a trending (not choppy) tape; basket-only, half-cap ceiling, never per-name conviction.
CG — most extreme relative call-OI build (0.74×) but M&A-speculation near 52w-low → do NOT fade; needs a confirmed no-deal news gate.
NVDA (standalone) — largest absolute call-builder, idiosyncratic froth + insider MSPR −100; only ever as an isolated defined-risk long-put sliver, never inside the mega-cap cluster.
China/metals OI sleeve {KWEB, BABA, EWZ, SLV, GLD, IBIT} — large absolute OI build but tiny relative build = ETF/beta, not a name signal; watch, unsized.
MOM_SHORT laggards {OLED, TU, MAT, XE, RAM} — un-gated but fighting breadth; watch only. (T-bill/TIPS ETFs SHV/JPST/SHY/VGSH etc. are 52w-low artifacts, excluded.)
S2 advisory — BKNG (buy 97%), plus sell-heavy SNOW/ACN/TD/MCHP/PEG/PLD. S4 advisory — JXN/THG (insurers), BIRK, CHDN. All below the sizing bar.

Risk#

Dominant risk is the 3-day holiday gap, not signal. NYSE closed Fri 07-03; anything entered at today's close holds through a closed Friday + weekend into Monday 07-06 on holiday-thinned liquidity (poor fills, wider gaps). NFP is now behind us (resolved this morning, VIX crushed) — so the gap is un-catalysed, but still un-manageable for 3 days. CPI 07-14 sits at/just past the h10 edge.
Rotation is one day old. QQQ is oversold on the day (−1.73%, iv_rank 73); a Monday mean-reversion bounce in mega-tech would unwind the "long defensives / short tech" thesis. Confirmation (a second rotation day, trend) is the trigger, not today's single print.
Breadth is split — broad price participation (61% green) but defensive options flow (35% bullish, bearish flow dominant). A tail-driven MOM_LONG wants participation and chasing; it has the first, not the second.
No additive confluence. The four corroborating reads of the rotation (price dispersion + sector flow + MOM_LONG composition + breadth) are noted as evidence-type diversification, never summed into a size. The book sizes on one lane's measured excess × regime-fit or it does not size.
Discipline: enter nothing directional into the holiday gap. When the MOM_LONG basket is taken (earliest Mon 07-06, on trend confirmation) it is basket-only, half-cap ceiling, defined-risk where possible (VIX 16 makes owning convexity cheap). Re-run the full book Mon 2026-07-06 on live data.

Method note: UW panel export for 2026-07-02 is fresh across all five groups (post-NFP EOD). Regime computed live from Yahoo SPY chart API (path-aware) replicating retro_harness.classify_regime exactly — s1_standdown FALSE confirmed at the 1.5% ret5 boundary. All lane signals computed live against the 07-02 panel (oi_net_5d recomputed from the OI-changes panel over the last 5 sessions since features.parquet is stale at 06-26; relative-build normalization applied to avoid the mega-cap beta trap). Regression gate retro_harness.py --all re-run: GREEN, no lane negative-excess (MOM_LONG +2.35%, MOM_SHORT +0.81%, OI_FADE +0.88%, S2 +0.47%, S4 +0.71%; 58-day panel). No lane/threshold changed this run.

Jul 2, 2026

Tier mix

Directional book

BKNG

JXN

Vol book