Market scan
Jul 17, 2026
Tier mix
- MEDIUM3
- WATCH3
- ADVISORY2
- DROP1
Tier mix — data table
| Tier | Calls |
|---|---|
| MEDIUM | 3 |
| WATCH | 3 |
| ADVISORY | 2 |
| DROP | 1 |
Directional book
Sizing is removed from every call by policy — see the disclaimer.
ICE
MEDIUMShortlaneOI_FADE10dOI_FADE carry-forward. Build declining and price finally rejecting the highs - the short is cooperating for the first time - but the 5d-net has not yet inverted, so no signal exit tonight. Held at starter, no add, watch for the next print to cross zero (LNG precedent).
- Entry / trigger
- entered 2026-07-13 @ $137.67 (SPY 749.17 conditional anchor)
- Invalidation
- Close back above the pre-build breakout level, OR the 5-day net call-OI build fully unwinds without downside follow-through. KNOWN SPEC DEFECT (flagged 07-15/07-16, still unfixed - a rule change must clear retro_harness.py --all first): clause 1 is untestable on ICE's monotonic-up path; clause 2 (5d-net unwind) is the only practically-firing clause and is NOT yet met (5d net +3,937, still positive but declining).
- First cooperative session since entry: intraday new high $144.55 rejected, closed down at $139.65 (-1.49%); 5d net-OI build declined +5,023 -> +3,937 with 3 of the last 4 prints negative/flat - mechanism trending toward the LNG-style sign-flip exit but not there yet
- Own-name earnings 07-30 and FOMC 07-29 both inside the rolling h10 window add macro+idiosyncratic vol on top of a still-net-negative (-2.22%) position
- Untestable invalidation clause 1 means the trade could keep bleeding without a clean mechanical exit short of the 5d-net crossing zero
regime crashPASS
PASS - s1_standdown FALSE
liquidityPASS
PASS - $139.65, ~$707M 20d $-ADV
clusterPASS
PASS - Financial Services, distinct from ORCL (Technology) and MAT (Consumer Cyclical); no collapse
fundamentalsNOTE
CAUTION carried (beat-streak + strong margins fight the short); not re-gated tonight - veto channel only, already priced into starter (not half) sizing at entry
event riskNOTE
CAUTION - own-name earnings 2026-07-30 sits at the h10 window edge (day 9); FOMC 07-29 inside the window. No incremental tier cut; tightened-monitoring flag, re-check as both dates approach.
MAT
MEDIUMShortlaneOI_FADE10dOI_FADE carry-forward: build reasserting (signal live) while price pulled back today (invalidation gap widened) - the 'signal live, price thesis working slightly less badly' state. Held at starter, tight watch, no add; closest name to a clean non-signal invalidation.
- Entry / trigger
- entered 2026-07-10 @ $13.33 (SPY 754.95 conditional anchor)
- Invalidation
- Close > $16.50 (~52w-range midpoint reclaim), OR the 5-day net call-OI build fully unwinds. NOT hit ($14.30 vs $16.50; gap WIDENED to $2.20 from $1.85 as price pulled back). The 5d-net-unwind clause is moving the wrong way - build reasserted +9,525 -> +10,870.
- Worst position in the book at -8.82% running excess (improved ~1.6pp today as the +5.7% 07-16 pop partly reversed, $14.65 -> $14.30)
- Signal contradiction: 5d net call-OI build REASSERTED to +10,870 (fresh Aug/Sep $16 calls) - the signal is live and strengthening even as the trade is deep underwater; framework has no stop beyond the $16.50 invalidation
- Thinnest liquidity in the book; one more +5-6% session takes it to the $16.50 invalidation
regime crashPASS
PASS - s1_standdown FALSE
liquidityPASS
PASS - $14.30, ~$77.3M 20d $-ADV (thinnest cushion in the book, ~55% over the $50M floor)
clusterPASS
PASS - Consumer Cyclical, distinct from ORCL (Technology) and ICE (Financial Services). Shares sector with the vetoed ROST candidate; no double-exposure while ROST is watch-only.
fundamentalsNOTE
CONFIRM carried from entry; not re-gated tonight - veto channel only, cannot promote
event riskNOTE
CAUTION - own-name earnings 2026-08-04 outside window; FOMC 07-29 inside the rolling h10 window. Monitoring flag only.
ORCL
MEDIUMShortlaneMOM_SHORT10dMOM_SHORT carry-forward: near-52w-low relative weakness, h10. Short thesis intact and not invalidated; held at starter, no add, tightened monitoring on bounce risk into FOMC.
- Entry / trigger
- entered 2026-07-13 @ $131.54 (SPY 749.17 conditional anchor)
- Invalidation
- RSI reclaims neutral (>45) AND close > $144.22 (both required). Tested tonight: RSI14 28.2 (needs >45), close $126.41 (needs >$144.22) - 0 of 2 met. Still $2.75 above the 52w-low ($123.66); pct_52w_range 0.0124.
- Deeply oversold (RSI 28.2, near 52w-low) mega-cap with $4.88B ADV - asymmetric squeeze/bounce risk if the broad index stabilizes into FOMC; the 07-14/07-15 precedent (front-loaded +3.10% excess given all back next session) is the live give-back pattern
- Realized running excess +3.12% (down from +5.78% on 07-16 as ORCL bounced $124.21 -> $126.41) - a move above the lane's +0.81% mean; front-loaded excess in this lane has mean-reverted violently before
- FOMC 07-29 inside the rolling h10 window with no hard time-stop and no company-specific anchor through the print
regime crashPASS
PASS - s1_standdown FALSE (SPY ret5d -1.545%, QQQ -4.161%); MOM_SHORT LIVE, unsuppressed
liquidityPASS
PASS - $126.41, ~$4.88B 20d $-ADV (mega-cap)
clusterPASS
PASS - Technology, distinct from ICE (Financial Services) and MAT (Consumer Cyclical); no correlation-cluster collapse across the held-shorts book
fundamentalsNOTE
CAUTION carried from 07-16 (short catalyst-corroborated by AI-capex/credit-risk narrative, NOT vetoed; extreme-oversold bounce risk drives the -1 tier). Not re-spawned tonight (HOLD, not new sizing) - veto channel only, cannot promote.
event riskNOTE
CAUTION - no company earnings inside window (next ER ~2026-09-08); FOMC 07-29 inside the rolling h10 window, no hard time-stop so the position rides through. Tightened-monitoring flag, not an additive tier cut.
MGY
ADVISORYLonglaneS4_pcr_fade10dS4 PCR-high fade-LONG, advisory representative of tonight's 94-name cohort. Do NOT fire the call-heavy short mirror (measured negative).
- Invalidation
- Not sized - advisory PCR-fade conditioning; high PCR z-score, earnings-clean, catalyst spot-checked. Representative of a 94-name earnings-excluded fade-LONG cohort.
- PCR contrarian fade is advisory-only per the lane design (+0.71%, small right-skew edge); never sized above watch on this evidence base. The extreme z-scores in the cohort (e.g. ULS z=53) are treated as outliers/data-artefacts, not conviction.
regime crashPASS
PASS - s1_standdown FALSE
liquidityPASS
PASS (lane floor) - clears $50M ADV / $5 price per the S4 screen
clusterNOTE
NOT EVALUATED - advisory conditioning list, not a sized cohort
fundamentalsNOTE
NOT SPAWNED - not about to be sized; catalyst spot-checked clear by the S4 lane
event riskPASS
PASS - earnings outside the h5-10 window (earnings-excluded survivor)
WSM
ADVISORYLonglaneS2_dp_revert5dS2 dark-pool liquidity-reversion conditioning tag (long-tilted), clean earnings calendar. Advisory representative.
- Invalidation
- Not sized - conditioning-only tag (IC ~= 0, MODERATE), never ranked by size. BUY-side one-sided DP concentration ($165M, 97% one-sided).
- Dark-pool one-sided concentration is news-gated and IC ~= 0 in this evidence base; do not rank or size. Representative of a 71-name clean cohort (FTNT excluded on a hard AI-platform catalyst).
regime crashPASS
PASS - s1_standdown FALSE
liquidityPASS
PASS (lane floor) - $228.41, ~$281M ADV
clusterNOTE
NOT EVALUATED - advisory conditioning list
fundamentalsNOTE
NOT SPAWNED - not about to be sized
event riskPASS
PASS - earnings 2026-08-26, outside the h3-5 window
Vol book
Non-directional, delta-neutral, net-of-cost — advisory only, 0 directional points.
SPY
vol_0dtebuy premium- Vol state
- HIGH short-gamma / FULLY_NEGATIVE GEX, front-end backwardation 1.618x, VRP FAIR (-0.3%)
- Implied move
- 0.68%
- Expected range
- 1.21%
none - stand aside (size_scalar 0.0 from the validated 0DTE gate)
Stand aside VIX spiking (+2.0) short-vol left-tail regime; VRP fair means gross edge ~0 before the ~0.1% round-trip cost, net negative-to-flat; short-gamma + backwardation event-loaded into FOMC 07-29. Full stand-down, not half-size.
QQQ
vol_0dtebuy premium- Vol state
- HIGH short-gamma / FULLY_NEGATIVE GEX, front-end backwardation 1.636x, VRP NEGATIVE (-4.19%, IV trailing realized)
- Implied move
- 1.21%
- Expected range
- 1.93%
none - stand aside (size_scalar 0.0)
Stand aside VRP already negative gross (selling cheap vol vs realized) - the worst setup for a seller net-of-cost; VIX spiking; short-gamma + backwardation compound the left-tail into the FOMC/earnings cluster. Full stand-down.
INTC
vol_earningssell premium- Vol state
- IV rank 100; clean event hump: 07-22 (pre-ER) 92.0% -> 07-24 (brackets ER) 137.3% -> 07-27 119.2%; front-end-iv-ratio 1.348 backwardation
- Implied move
- 15.20%
- Expected range
- 20.00%
WATCH-AND-CONFIRM (not fire-now, ER 07-23 = 6d out). If confirmed: wide short strangle / iron condor on the 07-24 weekly, wings ~+/-18-20% (BEYOND the ~15.2% implied move; INTC gaps through narrow wings, no iron fly). Defined-risk, half-cap, net-of-cost.
Stand aside ADVISORY - re-verify IV-rank / kink integrity 1-2 sessions pre-print (07-21/22); no calibrated net-of-cost backtest in repo. NOTE: screener implied_move_perc field (0.53%) is contaminated by the same-day 0DTE expiry; the ~15.2% figure is derived from the bracketing 07-24 straddle IV.
NOW
vol_earningssell premium- Vol state
- IV rank 96.9; kink 07-24 (brackets ER) 114.2% -> 07-31 92.1% -> 08-07 82.1%; front-end-iv-ratio 1.503 (strongest kink of the batch)
- Implied move
- 12.60%
- Expected range
- 16.50%
WATCH-AND-CONFIRM (not fire-now, ER 07-22 = 5d out). If confirmed: iron fly / wide short strangle on the 07-24 weekly, wings ~+/-15-18% (beyond the ~12.6% implied move). Defined-risk, half-cap, net-of-cost; 07-24 chain thinner than INTC (~4,631 contracts) - size down.
Stand aside ADVISORY - re-verify 1-2 sessions pre-print (07-20/21); no calibrated net-of-cost backtest in repo. Screener implied_move_perc (0.49%) contaminated by 0DTE expiry; 12.6% derived from bracketing 07-24 straddle IV.
Watch / stood-down
| Ticker | Tier | Lane | Direction | Invalidation |
|---|---|---|---|---|
| FRO | WATCH | OI_FADE | Short | Not sized tonight. Fire ONLY if the 5-day net call-OI build persists as clean crowding after the Hormuz/Iran tanker-rate catalyst resolves (currently the build is headline-driven), the fundamentals CAUTION clears, and preferably not while opening a new h10 short straight into FOMC 07-29. |
| KLAC | WATCH | MOM_SHORT | Short | Not sized - MOM_SHORT basket representative only. The near-52w-low cohort is populous in tonight's broad-down tape (~79 liquid names) but the leg is marginal in this event-loaded regime; documented as a basket/tail note, no per-name entry. |
| ROST | WATCH | OI_FADE | Short | Not sized - watch-only pending a change in the fundamentals picture (deteriorating estimates, insider selling, end of the beat streak) that would remove the VETO. |
| CRNX | DROP | OI_FADE | Short | Not sized - structurally unsuited to OI_FADE until the Vertex deal resolves (expected Q3 close). Exclude from the OI-fade universe for the deal's duration, not just a one-night caution. |
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 (6)
- 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).
- 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).
- 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).
- 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 (SPY 10d −0.20%, mechanical chop) with a QQQ-led downside tilt (QQQ 5d −4.16% / 10d −2.42%, PULLBACK-lean) · no crash/rebound tag · vol-state: short-gamma / FULLY_NEGATIVE GEX both SPY & QQQ (vol-amplifying), VRP FAIR both (SPY −0.3%; QQQ −4.19%, IV actually trailing realized), front-end BACKWARDATION both (SPY 1.618×, QQQ 1.636×, event-loaded) · VIX 18.77 (+12.2% 1d / +24.9% 5d) · breadth broad-negative and confirming (pct_green 29.2%, 147/356 adv/dec S&P500; options-flow bullish 38.4%) · sector money IN Tech/Energy/Comm-Services, OUT Financials/Consumer — Tech inflow read as pre-earnings hedging (QQQ DEX put-skewed), not bullish ·
directional_tradable= TRUE (thin/tilted) ·s1_standdown= FALSE (SPY ret5d −1.545%, QQQ −4.161%, both negative — MOM_SHORT LIVE, not suppressed). - Event risk (densest window of the quarter, all inside h10): FOMC 07-29 (day 8, no hard time-stop → held shorts ride through) landing the same day as MSFT/META earnings, bracketed by GOOGL/TSLA 07-22 and AAPL/AMZN 07-30. This is the direct driver of the front-end backwardation — and the decisive reason no new h10 short was opened tonight.
- Bottom line: No new sized directional edge tonight — a position-management night. 3 held shorts all HOLD (none invalidated; ICE/MAT each cooperated slightly), 0 new sized entries, 1 hard veto (CRNX — merger-arb), 1 new candidate relegated to watch (FRO). Correct modal output for an event-loaded, broad-down CHOP tape.
Directional Book (excess-scored)#
| Ticker | Lane | Dir | Horizon | Action | Running excess | Invalidation | Gates |
|---|---|---|---|---|---|---|---|
| ORCL | MOM_SHORT | short | h10 | HOLD, no add | +3.12% (↓ from +5.78%) | RSI >45 AND close >$144.22 (0-of-2: RSI 28.2, close $126.41) | Liquidity PASS ($4.88B ADV). s1_standdown FALSE → live. Fundamentals CAUTION carried (short catalyst-corroborated, not vetoed; bounce-risk −1). $2.75 above 52w-low, RSI 28 → give-back risk into FOMC. Front-loaded excess mean-reverting as warned. |
| ICE | OI_FADE | short | h10 | HOLD, no add | −2.22% (improved) | close back above breakout (untestable defect) OR 5d net unwinds (still +3,937) | First cooperative day: new high $144.55 rejected, closed −1.49% at $139.65; 5d net build declining +5,023→+3,937 (3 of last 4 prints neg/flat). Trending toward LNG-style sign-flip exit, not there yet. Own ER 07-30 at window edge; FOMC in-window. |
| MAT | OI_FADE | short | h10 | HOLD, tight watch | −8.82% (worst; +1.6pp) | close >$16.50 (gap widened to $2.20) OR 5d net unwinds | Liquidity PASS (thinnest, $77.3M ADV). Price pulled back $14.65→$14.30 (invalidation gap widened) BUT 5d net build reasserted +9,525→+10,870 — signal live & strengthening while trade underwater. No stop beyond $16.50. |
| FRO | OI_FADE | short | h10 | WATCH (not sized) | — | fire only if the build persists as clean crowding past the Hormuz headline & CAUTION clears | Strongest fresh build (+16,684, 5/5). Fundamentals CAUTION −1 (build corroborated by Energy inflow + Hormuz tanker-rate spike + ~8–19% dividend magnet; but miss-heavy earnings, insider dark, one dissent). A new h10 short would ride through FOMC 07-29 → relegated to watch, not opened. |
| CRNX | OI_FADE | short | h10 | VETO → drop | — | lane-excluded until the Vertex deal resolves (Q3) | Fundamentals VETO — merger-arb: Vertex announced a definitive $85.00/share all-cash acquisition on 07-06. The 52w-high (~1.4% arb spread) + call-OI build are deal-close mechanics, not crowding. Fading a signed cash deal = asymmetric wrong-way risk. The catch of the night. |
| ROST | OI_FADE | short | h10 | VETO → watch | — | veto lifts only on deteriorating fundamentals | Fundamentals VETO carried (beat streak +14.47%, insider MSPR +35.5, Zacks #1). Build still live (5d net +10,875) but corroborated conviction, not crowding. |
No new sized entries. KLAC logged as the MOM_SHORT near-52w-low basket representative (semis; watch, tail-only) — the short leg is live but marginal in this event-loaded regime. MOM_LONG (173-name near-52w-high basket) is tail-driven and marginal in a down tape — never a per-name call.
Vol Book (non-directional — delta-neutral, advisory, net-of-cost)#
- Earnings IV-crush SELL-VOL — WATCH-AND-CONFIRM (not fire-now): INTC (ER 07-23, IV rank 100, clean event hump 07-22 92% → 07-24 137% → 07-27 119%; wide short strangle/IC on the 07-24 weekly, wings ~±18–20% beyond the ~15.2% implied move — INTC gaps through narrow wings, no iron fly) and NOW (ER 07-22, IV rank 96.9, strongest kink 1.503×; iron fly/wide strangle 07-24 weekly, wings ~±15–18% beyond ~12.6% implied move, size down — thinner chain). Re-verify IV-rank/kink 1–2 sessions pre-print (07-20/22). DPZ skipped (no clean bracketing weekly; next expiry 35 DTE, thin).
- 0DTE-VRP — FULL STAND-ASIDE both indices (
size_scalar0.0): SPY VRP FAIR (−0.3%) → net ~flat-to-negative after cost, and VIX spiking (+2.0) + short-gamma + backwardation 1.618× event-loaded into FOMC. QQQ VRP already negative (−4.19%, IV trailing realized) → selling cheap vol, the worst seller setup; backwardation 1.636×. Not a premium-selling regime. - Data-quality flag: the
uw screener earnings-catalystimplied_move_percfield is contaminated by the same-day 0DTE expiry (returned INTC 0.53% / NOW 0.49% vs the ~12–15% straddle-based estimate) — usediv-term-structure+front-end-iv-ratiofor structure/wing sizing instead. Flagged for data-team review.
Watch / Stood-down#
- FRO — OI_FADE short, watch (fundamentals CAUTION + new-short-into-FOMC event risk); monitor whether the build persists past the Hormuz/Iran headline.
- CRNX — OI_FADE short, lane-excluded while the Vertex $85 all-cash deal pends.
- ROST — OI_FADE short, fundamentals veto; re-check only if the catalyst stack rolls over.
- MOM_SHORT near-52w-low cohort (LIVE, basket/tail-only): ~79 liquid names in the broad-down tape; theme-clusters collapse to one rep each (semis KLAC/ISRG, nuclear OKLO/SMR, aerospace JOBY/KTOS). Inverse/leveraged ETP contaminants scrubbed (AAPD = inverse-AAPL, SPCX/SPCH-type — shorting them is long the underlying).
- S4 PCR-fade LONGs (advisory half-cap, earnings-excluded): 94-name cohort; MGY representative. Extreme z-scores (ULS z=53) treated as outliers/data-artefacts. Do NOT fire the call-heavy short mirror (measured negative).
- S2 DP liquidity-reversion (IC≈0 binary tag — conditioning only, do NOT rank by size): 71-name clean cohort; WSM/FDS/MET/FIVE the cleaner earnings-distant survivors. FTNT excluded on a hard AI-platform catalyst (informed flow, not reversion).
Risk#
- Correlation clusters: held shorts ORCL (Technology) / ICE (Financial Services) / MAT (Consumer Cyclical) are three distinct sectors — no collapse. FRO would have added a fourth (Energy) had it been sized. MAT shares Consumer Cyclical with vetoed ROST (no double-exposure while ROST unsized).
- Event risk: FOMC 07-29 (day 8) + the mega-cap earnings cluster (GOOGL/TSLA 07-22, MSFT/META 07-29, AAPL/AMZN 07-30) sit inside the rolling h10 window; none of the three held shorts carries a hard time-stop, so all ride through. Logged as a tightened-monitoring flag (not an additive tier cut, per no-additive-confluence). This event density is the decisive reason FRO was not opened tonight.
- Tail caps / discipline: every action tonight was a HOLD, a veto, or a watch-relegation — no upsize, no new sizing, half-cap throughout. MOM_SHORT tail cap (never single-name HIGH) and OI_FADE starter ceilings held.
- Book state: 3 starter shorts, net book excess −2.64% (ORCL +3.12 / ICE −2.22 / MAT −8.82), improved from −2.48% on 07-16 despite ORCL's give-back, as ICE and MAT both moved modestly the right way.
- Unshipped rule-fix proposals (gated on
retro_harness.py --all, NOT shipped tonight): (1) ICE's untestable invalidation clause on monotonic-up paths; (2) missing hard stop below invalidation for OI_FADE shorts (MAT, third straight scan); (3) entry-anchored vs rolling h10 event-risk window ambiguity for held positions; (4) NEW — theimplied_move_percscreener field contaminated by the 0DTE expiry. - Regression gate: NOT TRIGGERED — no lane/threshold change made tonight.
Metric reminder carried to conviction_2026-07-17.json: the validated factor oi_net_5d is NET call-MINUS-put OI change, not call-only. Re-confirmed 07-17 against the raw panel — the uw historical oi-trend net_oi_change field is a raw calls+puts total and sign-flips names with offsetting put activity (MAT 07-17: CLI −7,318 vs correct call-minus-put +7,304).