Jul 13, 2026

Regime & Verdict#

• Regime: UPTREND, shallow/late-stage — 2d pullback off the fresh SPY high 754.95 set 2026-07-10. directional_tradable = true, s1_standdown = false (MOM_SHORT and OI_FADE shorts LIVE, not crash-gated).
• Vol-state: GEX FULLY NEGATIVE on both SPY and QQQ this week — the whole index complex is short-gamma, an amplifying/whippy 2nd-moment conditioner only, no direction read. VIX popped +14% (15.03 → 17.16) heading into CPI — a pre-print vol-of-vol bid, not a regime break.
• Flow-breadth bearish-skewed (33.8% bullish-flow tickers) — noted as a flow-vs-price dissent, not gated.
• Event calendar (h10 window 07-13 → ~07-27): CPI 07-14 (T+1), PPI 07-15 (T+2), Retail Sales 07-16, U Mich 07-17 — four Tier-1 macro prints inside the window, front-loaded into days 1–4. FOMC 07-29 falls just outside it.
• Bottom line: 2 sized calls, both starter, both short (ICE new; ORCL new) — plus one carried-forward open position (MAT, unchanged). The book stays thin and short-tilted into a print-heavy week; nothing sizes above starter. This is intentional — the late-stage-uptrend-into-CPI/PPI backdrop is exactly when the half-cap-no-auto-full discipline should bind hardest, not loosen.

Directional Book (excess-scored)#

No name is sized above starter tonight. MAT is an existing position, not a new decision — flagged separately to avoid double-counting. Every other deviation from a lane's implied ceiling was a downgrade (ICE half→starter on CAUTION), consistent with half-cap-no-auto-full and the hard "never up-size" rule.

Vol Book (non-directional, delta-neutral, net-of-cost, advisory — 0 directional points)#

• Earnings IV-crush SELL-VOL (CPI/PPI/Retail-Sales/U-Mich all land mid-cluster — realized-vol risk is elevated this week):
  • NFLX primary — cleanest and most liquid (IV rank 100, implied move 6.86%, front/back 2.08×, ER 07-16 postmarket, 3d out).
  • TSM secondary (liquid, ER 07-16 premarket, 3d out). ASML, CAG (ER 07-15 premarket, 2d out) and CTAS, ABT (2-3d out) — advisory/half-size, richness not independently re-verified this run.
  • CAG small-size only — thin options liquidity despite adequate equity ADV.
  • MAN excluded/veto — equity ADV clears the $50M floor but the options chain itself is illiquid; a delta-neutral structure can't be entered/exited at a fair net-of-cost price. Equity-liquidity-floor pass does not override an illiquid options market.
• 0DTE-VRP: HARD STAND-ASIDE both SPY and QQQ. SPY — the VIX-spike gate fired (+14% pop into CPI/PPI, negative gamma into two Tier-1 prints is the opposite of a clean VRP setup). QQQ — negative 30d VRP (premium-buying/cheap vol) + negative gamma + front-end backwardation all argue for buying convexity, not selling it. No premium-selling this week on either index.

Watch / Stood-down#

• Fundamentals VETO → watch-only: ESI (active $14.5B Solstice M&A target signed 07-06 — crowded call OI is merger-arb positioning, not a bearish signal; re-tag as merger-arb, drop from OI_FADE).
• OI_FADE borderline persistence/identity → watch: OLED, QXO (also MOM_SHORT cohort members below), AI (identity/ticker-ambiguity caveat), BIRK (thin history / foreign-private-issuer structure distorts relative-build ranking — same artifact family as the prior JPST flag).
• Earnings-in-horizon → held at watch: GTX, CSX (OI_FADE signal real, but earnings fall inside the 07-13→~07-27 window).
• MOM_SHORT 17-name cohort, missing fundamentals verdicts → held at watch (cannot size unverified): JOBY, SMR, ECHO, CPRT (prior VETO 07-10 carried as informational caution), NNE, HONA, ROAD, QXO, HLI, OLED, STWD, XE, BDC, PATK, DLB, CNM. Flagged for next-run fundamentals-gate spawn. ORCL is the one cohort member sized (see book above).
• MOM_LONG basket (222 names, tail-driven +2.35% mean, documented never per-name HIGH): top-proximity energy refiner cluster PBF/DINO/MPC/VLO/PSX — collapsed to one correlation-cluster slot (crack-spread/refining-margin theme, assumed corr ≥ 0.70).
• S4 sentiment-contrarian (advisory-size-only lane): WCN (PCR 127, 99.6th pct) — CAUTION −1 (puts likely routine hedging, not informed) and earnings 07-22 fall inside the h5-10 hold window (binary event risk). Held at watch/advisory regardless of the lane's own +0.71% median — S4 is advisory-size-only by design.
• S2 liquidity-reversion: EMPTY. No name cleared the catalyst-verification gate tonight.

Risk#

• Correlation clusters collapsed: mom_long_energy_refiner_cluster_20260713 (PBF/DINO/MPC/VLO/PSX) → 1 slot. MOM_SHORT cohort treated as one basket exposure (no pairwise correlation matrix computed this run — momentum-crash tail-cap discipline already forbids per-name HIGH regardless). ICE vs ORCL checked and NOT clustered — distinct sectors (financial exchange vs software), no assumed correlation.
• Event calendar (h10 window 07-13 → ~07-27): CPI 07-14, PPI 07-15, Retail Sales 07-16, U Mich 07-17 — four Tier-1 macro prints front-loaded into days 1-4, treated as defined-risk-through-print macro tag on the whole short book, not an automatic −1 (consistent with 07-10 precedent). WCN earnings 07-22 is name-specific event risk on the one advisory long. FOMC 07-29 falls just outside the window — awareness only.
• Tail caps applied: OI_FADE (MAT carried, ICE) and MOM_SHORT (ORCL) all sized for the momentum-crash/squeeze tail against an up-biased tape — none above starter, none single-name HIGH. MOM_LONG kept basket-only (energy cluster collapsed). Vol-short sized for the left tail, quoted net-of-cost, with the MAN options-illiquidity veto and the hard SPY/QQQ 0DTE stand-aside both erring toward caution given negative gamma across the board this week.
• Hedge note: GEX fully negative on both SPY and QQQ (not just QQQ, as on 07-10) — the whole index book is short-gamma into a four-print macro week. This is the most fragile vol backdrop of the last several scans; size discipline (nothing above starter) is doing real work tonight, not just following the standing policy mechanically.

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Envelope: decision.json (v2, validated against schemas/decision_envelope.v2.schema.json — PASS). Conviction persisted: conviction_2026-07-13.json (MAT carry-forward + ICE + ORCL) for next-run adverse-flow exit checks. watchlist_write_back_confirmation: 28 names written back to decision.json's watchlist_write_back array (ESI, OI_FADE watch cohort, MOM_SHORT watch cohort, MOM_LONG energy cluster, WCN, MAN) — CONFIRMED. No lane/threshold change this scan → regression gate not triggered.