WEBVTT

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

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TRAI daily overview for October 29. Screening and research, not investment
advice.

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SPY fell 0.4%, QQQ 1.4% and the chip ETF SMH 1.1%.

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The VIX, the market's 30-day implied volatility, rose 0.3 points to 17.2,
a transitional reading.

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SPY's realized volatility, how much it actually moved over 20 days, is
only 10.1%;

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that 7.1-point gap is the volatility risk premium.

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The term structure, short-dated versus 3-month VIX, is in steep contango
(complacent / normal), which is normal.

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TRAI's regime score is +17.5: neutral and choppy.

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NOW fell 27.0% with no earnings in the data, so the cause is unknown here.

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Long momentum means a market-beating rise on heavy volume, closing above
VWAP,

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the day's volume-weighted average price.

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CVNA led with a residual z-score of 5.6, a market-adjusted move about 6
times its normal noise.

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Mean reversion, big moves on ordinary volume that may fade, flagged 5, led
by GE.

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Over 126 replayed sessions, short momentum's expectancy, the average net
profit per trade,

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is -0.46%, with a t-stat of -3.7: beyond ±2, so likely not luck.

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No bucket has a significant positive edge.

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Correlation clusters are stocks that move together: the largest, 24 names
led by semis,

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has an average correlation of 0.59, so today's 0 shorts are about 3
independent bets.

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Gap risk is a jump past your stop overnight, often on earnings.

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58 names report within 5 sessions, including picks DASH, MO and GILD on
October 29.

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Over 20 days, staples, utilities and energy lead SPY by 8 to 11 points;
semis and tech trail by 12 and 6.