WEBVTT

NOTE TRAI Daily Overview narration. Screening/research, not investment advice.

1
00:00:00.350 --> 00:00:05.331
TRAI daily overview for October 23. Screening and research, not investment
advice.

2
00:00:05.531 --> 00:00:13.313
SPY fell 0.5%, QQQ 0.0% and the chip ETF SMH rose 0.7%.

3
00:00:13.713 --> 00:00:20.552
The VIX, the market's 30-day implied volatility, rose 0.4 points to 19.4,
a transitional reading.

4
00:00:20.752 --> 00:00:26.124
SPY's realized volatility, how much it actually moved over 20 days, is
only 9.8%;

5
00:00:26.124 --> 00:00:29.439
that 9.7-point gap is the volatility risk premium.

6
00:00:29.639 --> 00:00:34.529
The term structure, short-dated versus 3-month VIX, is in mild contango,
which is normal.

7
00:00:34.729 --> 00:00:38.498
TRAI's regime score is +17.5: neutral and choppy.

8
00:00:38.898 --> 00:00:44.190
CRWD rose 8.2% with no earnings in the data, so the cause is unknown here.

9
00:00:44.590 --> 00:00:48.878
Long momentum means a market-beating rise on heavy volume, closing above
VWAP,

10
00:00:48.878 --> 00:00:51.077
the day's volume-weighted average price.

11
00:00:51.277 --> 00:00:57.561
SLB led with a residual z-score of 3.5, a market-adjusted move about 4
times its normal noise.

12
00:00:57.961 --> 00:01:00.405
Short momentum had 1 names, led by T.

13
00:01:00.605 --> 00:01:05.652
Mean reversion, big moves on ordinary volume that may fade, flagged 10,
led by AXP.

14
00:01:06.052 --> 00:01:13.325
Over 126 replayed sessions, short momentum's expectancy, the average net
profit per trade,

15
00:01:13.325 --> 00:01:18.497
is -0.46%, with a t-stat of -3.7: beyond ±2, so likely not luck.

16
00:01:18.697 --> 00:01:20.939
No bucket has a significant positive edge.

17
00:01:21.339 --> 00:01:26.294
Correlation clusters are stocks that move together: the largest, 24 names
led by semis,

18
00:01:26.294 --> 00:01:31.135
has an average correlation of 0.59, so today's 1 shorts are about 3
independent bets.

19
00:01:31.535 --> 00:01:34.608
Gap risk is a jump past your stop overnight, often on earnings.

20
00:01:34.808 --> 00:01:40.975
44 names report within 5 sessions, including picks AXP and SLB on October
23.

21
00:01:41.375 --> 00:01:48.848
Over 20 days, staples, utilities and energy lead SPY by 8 to 11 points;
semis and tech trail by 12 and 6.