Ewan Li

Market scan

Jul 21, 2026

Research as of published 34-day delay

schemav2.0calls22
RegimeCHOP
breadth45.5% greenDirectional tradable
Vol state
  • SPY & QQQ both NEGATIVE gamma (vol-amplifying), less negative than 07-20
  • VIX 17.05 (-8.6% d) - vol-state feeds 0DTE-VRP sizing only, never a direction.

7 event-risk item(s) flagged.

  • MEDIUM2
  • WATCH8
  • ADVISORY9
  • DROP3
MEDIUM: 2 of 22WATCH: 8 of 22ADVISORY: 9 of 22DROP: 3 of 22
Tier mix — data table
Tier mix: tier and call count
TierCalls
MEDIUM2
WATCH8
ADVISORY9
DROP3

Directional book

11 calls

Sizing is removed from every call by policy — see the disclaimer.

PLNT

MEDIUMShortlaneOI_FADE10d

HELD OI_FADE short, starter opened 07-20, close ~flat at $55.08. Build stalled but not reversed; fundamentals CAUTION unchanged. HOLD, tighten watch, do not add.

Invalidation
Cover on ANY of: (1) 5d net call-OI build fully unwinds (STALLED tonight at +750 daily print after two big prints, rel 5d build still 0.79x - NOT reversed, clause not triggered), (2) close reclaims the pre-build breakout level, (3) a 3rd consecutive post-print PT raise / fresh Buy upgrade (would flip CAUTION toward contradiction - re-run fundamentals-gate).
validated excess+2.07% (n=640)regime fit0.80fundamentalsCAUTION
Key risks
  • OI build STALLED (07-21 daily print collapsed to +750) - not reversed, but momentum behind the short thesis is cooling; tighten watch
  • New securities class-action filing (07-21) is incremental short support, partially offsetting the stall
Gates
regime crashPASS

PASS - s1_standdown FALSE

liquidityPASS

PASS - last close $55.08 (07-21), ~$88M 20d $-ADV (thinnest cushion of the OI_FADE book, still clears floor)

clusterPASS

PASS - Consumer Cyclical, no other Consumer Cyclical OI_FADE survivor sized tonight

fundamentalsNOTE

CAUTION (hold) - no 3rd post-print PT raise / upgrade found (the named hard invalidation trigger); new securities class-action filing (07-21) is incremental short support; insider MSPR +33 is small-dollar/routine, not a strong contradiction

event riskPASS

PASS - ER 2026-08-11 (revised), outside h10

TECH

MEDIUMShortlaneOI_FADE10d

Cleanest CONFIRM in tonight's OI_FADE pool (best regime_fit, no fundamentals contradiction, ER outside window) but capped to starter rather than half because the entry itself is overbought - a bounded, stop-able risk, not the uncontainable squeeze/binary tails that floor FIG and QGEN to watch.

Entry / trigger
New starter short. Entry at next session (2026-07-22) open or on continued persistence of the 5d net call-OI build. Conditional anchor: SPY close 07-21.
Invalidation
Cover on ANY of: (1) 5-day net call-OI build fully unwinds (5d-net crosses <=0), (2) close makes a NEW 52-week high (the overbought-entry risk resolving against the short), (3) RBC or another sell-side desk reverses the downgrade / issues a PT raise (re-run fundamentals-gate).
validated excess+2.07% (n=640)regime fit0.80fundamentalsCONFIRM
Key risks
  • RSI 74.3, only -0.7% off the 52w high - shorting directly into active upward momentum; the single biggest risk to this name specifically
  • Adjacent-sector to QGEN (life-sci tools vs diagnostics) - if QGEN is ever promoted off watch, re-run the correlation-cluster gate before sizing both
  • P/E 103 on -16% EPS growth is a real valuation risk but this supports rather than threatens the short
Gates
regime crashPASS

PASS - s1_standdown FALSE; CHOP half-cap ceiling non-binding (starter already below half)

liquidityPASS

PASS - last close $71.63, ~$586.6M 20d $-ADV (panel-verified via data/prices.parquet, 20d window through 07-17); well clear of the $5 / $50M C12 floor

clusterPASS

PASS (with note) - Bio-Techne is adjacent-sector (life-sci tools) to QGEN (diagnostics), tonight's only other healthcare-adjacent OI_FADE name; QGEN is held at WATCH (not sized) tonight so no double-exposure and no cluster collapse required. Re-check if QGEN is ever sized alongside TECH.

fundamentalsNOTE

CONFIRM - mixed earnings, insider selling (MSPR -25), RBC downgrade to Sector Perform, P/E 103 against -16% EPS growth. All corroborate the short thesis; no contradiction found.

event riskPASS

PASS - ER 2026-08-11, outside the h10 window

AAPL

ADVISORYLonglaneMOM_LONG10d

MOM_LONG near-52w-high basket, regime_fit 0.70 (constructive but not decisive in CHOP); basket/tail-only per lane design, not sized as any single name tonight.

Invalidation
Not sized as a single name - MOM_LONG only expresses as a diversified basket/tail position, never per-name HIGH.
validated excess+2.35% (n=261)regime fit0.70
Key risks
  • Tail-driven mean (+2.35%) means most individual members underperform the mean; concentrating in one name defeats the basket's own edge structure
  • 53% earnings-in-window across the basket is a structural feature of a long-only near-52w-high universe in late July, not a name-specific risk
Gates
regime crashPASS

PASS - s1_standdown FALSE; not a short so the crash-gate zero-out does not apply, but basket sizing rule still binds

liquidityPASS

PASS (mega-cap, not independently re-verified name-by-name tonight)

clusterN/A

N/A - basket-diversified by design; no single-name cluster collapse needed

fundamentalsN/A

NA - not spawned; basket-only lane never reaches per-name fundamentals sizing

event riskNOTE

CAUTION - 53% of the 261-name basket carries earnings inside h10 (AAPL itself 07-30); basket exposure, not a per-name veto

CECO

ADVISORYLonglaneS4_pcr_fade5d

High-PCR fade-long candidate (sentiment-contrarian, S4); advisory watch only.

Invalidation
Not sized - advisory only.
validated excess+0.71%regime fit0.65
Key risks
  • Advisory lane only. Rising-IV tilt feature not built tonight (07-21) - no additional tilt signal available.
Gates
regime crashPASS

PASS - s1_standdown FALSE

liquidityNOTE

NOT independently re-verified tonight

clusterPASS

PASS - no correlated S4 pair flagged

fundamentalsN/A

NA - not spawned; S4 is advisory-only lane, no per-name fundamentals-gate run tonight

event riskPASS

PASS - no earnings flagged in window

CNM

ADVISORYShortlaneMOM_SHORT10d

MOM_SHORT near-52w-low candidate; Cleanest CONFIRM-quality MOM_SHORT candidate: 0.94% below 52w-low, no earnings in window, clean liquidity. Held at watch/advisory per the standing lane cap, not started.

Invalidation
Not sized (lane-capped). Would be first in line for starter promotion if/when MOM_SHORT clears a DURABLE-N (>=30) forward-positive-excess window via /calibration-audit - do not promote ad hoc.
validated excess+0.81% (n=273)regime fit0.65fundamentalsCONFIRM
Key risks
  • Cleanest CONFIRM-quality MOM_SHORT candidate: 0.94% below 52w-low, no earnings in window, clean liquidity.
  • Lane-wide provisional cap overrides any per-name conviction - see 2026-07-18 calibration audit.
Gates
regime crashPASS

PASS - s1_standdown FALSE tonight, but lane-capped regardless of regime

liquidityPASS

PASS - $109M ADV

clusterPASS

PASS - no correlated MOM_SHORT pair flagged among tonight's top-5

fundamentalsNOTE

CONFIRM

event riskPASS

PASS - no earnings flagged inside h10

EXPE

ADVISORYLonglaneS2_dp_revert5d

Dark-pool sell-side one-sided concentration (validated long-tilted side of S2); advisory watch only.

Invalidation
Not sized - advisory only. Would need a same-day-news-clean confirmation and an earnings-free h-window before any promotion.
validated excess+0.47%regime fit0.60
Key risks
  • Advisory lane only - never promoted past watch without an explicit lane-threshold change clearing the regression gate.
Gates
regime crashPASS

PASS - s1_standdown FALSE

liquidityNOTE

NOT independently re-verified tonight

clusterPASS

PASS - no correlated S2 pair flagged

fundamentalsN/A

NA - not spawned; S2 is advisory-only lane, no per-name fundamentals-gate run tonight

event riskNOTE

NOT checked tonight - per gate 5/tail-cap, veto on any h-window earnings if this is ever promoted

NYT

ADVISORYLonglaneS4_pcr_fade5d

High-PCR fade-long candidate (sentiment-contrarian, S4); advisory watch only.

Invalidation
Not sized - advisory only.
validated excess+0.71%regime fit0.65
Key risks
  • Advisory lane only. Rising-IV tilt feature not built tonight (07-21) - no additional tilt signal available.
Gates
regime crashPASS

PASS - s1_standdown FALSE

liquidityNOTE

NOT independently re-verified tonight

clusterPASS

PASS - no correlated S4 pair flagged

fundamentalsN/A

NA - not spawned; S4 is advisory-only lane, no per-name fundamentals-gate run tonight

event riskPASS

PASS - no earnings flagged in window

ORCL

ADVISORYShortlaneMOM_SHORT10d

HELD MOM_SHORT short, entry $131.54 (07-13), close $127.05 (07-21), gross +3.41%. Invalidation not triggered. HOLD, carry forward, no incremental adds (lane-capped).

Invalidation
Cover on RSI reclaiming >45 AND close > $144.22 (both required). Close 07-21 $127.05 is $17.17 (13.5%) below the price clause - NOT triggered despite today's +4.67% adverse move.
validated excess+0.81% (n=273)regime fit0.65
Key risks
  • Today's +4.67% adverse move reads as a QQQ-beta tech bounce, not an idiosyncratic reversal - invalidation clause still far off but the gap narrowed materially
  • No new starter sizing available under the lane cap even if conviction were to increase
Gates
regime crashPASS

PASS - s1_standdown FALSE

liquidityPASS

PASS - mega-cap, ~$5.7B 20d $-ADV

clusterPASS

PASS - Technology, standalone

fundamentalsN/A

NA - no fresh rating-action catalyst found tonight; day reads as a QQQ-beta bounce (+4.67% adverse) not a fundamentals event

event riskPASS

PASS - ER 2026-09-08, outside horizon

PPL

ADVISORYLonglaneS4_pcr_fade5d

High-PCR fade-long candidate (sentiment-contrarian, S4); advisory watch only.

Invalidation
Not sized - advisory only.
validated excess+0.71%regime fit0.65
Key risks
  • Advisory lane only. Rising-IV tilt feature not built tonight (07-21) - no additional tilt signal available.
Gates
regime crashPASS

PASS - s1_standdown FALSE

liquidityNOTE

NOT independently re-verified tonight

clusterPASS

PASS - no correlated S4 pair flagged

fundamentalsN/A

NA - not spawned; S4 is advisory-only lane, no per-name fundamentals-gate run tonight

event riskPASS

PASS - no earnings flagged in window

RY

ADVISORYLonglaneS2_dp_revert5d

Dark-pool sell-side one-sided concentration (validated long-tilted side of S2); advisory watch only.

Invalidation
Not sized - advisory only. Would need a same-day-news-clean confirmation and an earnings-free h-window before any promotion.
validated excess+0.47%regime fit0.60
Key risks
  • Advisory lane only - never promoted past watch without an explicit lane-threshold change clearing the regression gate.
Gates
regime crashPASS

PASS - s1_standdown FALSE

liquidityNOTE

NOT independently re-verified tonight

clusterPASS

PASS - no correlated S2 pair flagged

fundamentalsN/A

NA - not spawned; S2 is advisory-only lane, no per-name fundamentals-gate run tonight

event riskNOTE

NOT checked tonight - per gate 5/tail-cap, veto on any h-window earnings if this is ever promoted

TD

ADVISORYLonglaneS2_dp_revert5d

Dark-pool sell-side one-sided concentration (validated long-tilted side of S2); advisory watch only.

Invalidation
Not sized - advisory only. Would need a same-day-news-clean confirmation and an earnings-free h-window before any promotion.
validated excess+0.47%regime fit0.60
Key risks
  • Advisory lane only - never promoted past watch without an explicit lane-threshold change clearing the regression gate.
Gates
regime crashPASS

PASS - s1_standdown FALSE

liquidityNOTE

NOT independently re-verified tonight

clusterPASS

PASS - no correlated S2 pair flagged

fundamentalsN/A

NA - not spawned; S2 is advisory-only lane, no per-name fundamentals-gate run tonight

event riskNOTE

NOT checked tonight - per gate 5/tail-cap, veto on any h-window earnings if this is ever promoted

Vol book

8

Non-directional, delta-neutral, net-of-cost — advisory only, 0 directional points.

SPY

vol_0dtesell premium
Vol state
negative gamma, vol-amplifying but less negative than 07-20; no-vol-shock sample into event week
Net expectancy
0.169

0DTE-VRP premium sale, FULL SIZE - VRP fair, no gate tripped

QQQ

vol_0dtesell premium
Vol state
negative gamma; VRP -0.04 (IV cheap vs realized), worst sampled day -2.45%

0DTE-VRP premium sale, HALF SIZE ONLY - lean conservative, IV-cheap-vs-realized and negative gamma both argue against full size into event week

NOW

vol_earningssell premium
Vol state
earnings 2026-07-22, IVR 100, implied move 10.5%, wing-width 2.19x implied
Implied move
10.50%

Defined-risk wide-wing short strangle/iron condor, wings beyond 2.19x implied move, small size, net-of-cost

TXN

vol_earningssell premium
Vol state
earnings 2026-07-22, IVR 93.2, implied move 8.2%, wing-width 2.12x implied
Implied move
8.20%

Defined-risk wide-wing short strangle/iron condor, wings beyond 2.12x implied move, small size, net-of-cost

INTC

vol_earningssell premium
Vol state
earnings 2026-07-23, IVR 98.8, implied move 10.9%, wing-width 1.75x implied
Implied move
10.90%

Defined-risk wide-wing short strangle/iron condor, wings beyond 1.75x implied move, small size, net-of-cost

CHTR

vol_earningssell premium
Vol state
earnings 2026-07-24, IVR 94, implied move 10.5%, wing-width 2.62x implied
Implied move
10.50%

Defined-risk wide-wing short strangle/iron condor, wings beyond 2.62x implied move, small size, net-of-cost

MSFT

vol_earningssell premium
Vol state
earnings 2026-07-29 (AMC, FOMC day), IVR 97.6, implied move 2.8%, wing-width 1.38x implied
Implied move
2.80%

Classic iron fly, small size, net-of-cost - flagged for FOMC-day overlap, re-confirm 1-2 sessions pre-print

Stand aside Prints same day as FOMC - macro-driven vol could swamp the earnings-specific IV crush; re-verify closer to the print before sizing

META

vol_earningssell premium
Vol state
earnings 2026-07-29 (AMC, FOMC day), IVR 89.6, implied move 3.1%, wing-width 1.40x implied
Implied move
3.10%

Classic iron fly, small size, net-of-cost - flagged for FOMC-day overlap, re-confirm 1-2 sessions pre-print

Stand aside Prints same day as FOMC - macro-driven vol could swamp the earnings-specific IV crush; re-verify closer to the print before sizing

Watch / stood-down

11
TickerTierLaneDirectionInvalidation
BEKEWATCHOI_FADEShortNot sized - basket fill-in note only.
CPRTWATCHMOM_SHORTShortNot sized (lane-capped). Would be first in line for starter promotion if/when MOM_SHORT clears a DURABLE-N (>=30) forward-positive-excess window via /calibration-audit - do not promote ad hoc.
FIGWATCHOI_FADEShortNot sized. Re-check only if short float / days-to-cover materially cool (squeeze-list de-listing, SI drops well below 30%) AND the OI build persists.
LOPEWATCHMOM_SHORTShortNot sized (lane-capped). Would be first in line for starter promotion if/when MOM_SHORT clears a DURABLE-N (>=30) forward-positive-excess window via /calibration-audit - do not promote ad hoc.
MCDWATCHMOM_SHORTShortNot sized (lane-capped). Would be first in line for starter promotion if/when MOM_SHORT clears a DURABLE-N (>=30) forward-positive-excess window via /calibration-audit - do not promote ad hoc.
PSKYWATCHMOM_SHORTShortNot sized (lane-capped). Would be first in line for starter promotion if/when MOM_SHORT clears a DURABLE-N (>=30) forward-positive-excess window via /calibration-audit - do not promote ad hoc.
QGENWATCHOI_FADEShortNot sized. Re-check only once the M&A rumor is confirmed dead (official denial, bidders walk) or resolved (deal announced, position moot either way).
VSHWATCHOI_FADEShortNot sized - basket fill-in note only.
CFGDROPOI_FADEShortNot sized - lane-excluded while fundamentals actively contradict the crowding thesis. Re-admit only if a forward fundamentals-gate re-check flips VETO to CAUTION or better.
CRBGDROPS4_pcr_fadeLongNot sized - merger-vote-informed PCR is not a clean contrarian-fade signal.
KHCDROPOI_FADEShortNot sized - lane-excluded while fundamentals actively contradict the crowding thesis. Re-admit only if a forward fundamentals-gate re-check flips VETO to CAUTION or better.

Lane status

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

Watchlist write-back

22

Carried forward to the next session's watchlist — not calls.

AAPLBEKECECOCFGCNMCPRTCRBGEXPEFIGKHCLOPEMCDNYTORCLPLNTPPLPSKYQGENRYTDTECHVSH
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_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.

Personal research journal · published on a ≥ 14-day delay · position sizes removed · not investment advice.