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

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TRAI daily overview for October 30. Screening and research, not investment
advice.

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SPY fell 2.3%, QQQ 3.5% and the chip ETF SMH 8.3%.

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The VIX, the market's 30-day implied volatility, rose 3.5 points to 20.7,
a stress reading.

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SPY's realized volatility, how much it actually moved over 20 days, is
only 12.8%;

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that 7.9-point gap is the volatility risk premium.

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The term structure, short-dated versus 3-month VIX, is in mild contango,
which is normal.

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TRAI's regime score is +4.5: neutral and choppy.

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INTC fell 28.6% 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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REGN led with a residual z-score of 8.5, a market-adjusted move about 9
times its normal noise.

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Short momentum had 6 names, led by RBLX.

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Mean reversion, big moves on ordinary volume that may fade, flagged 17,
led by SNOW.

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

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is -0.45%, with a t-stat of -3.6: 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 0.58, so today's 6 shorts are about 4
independent bets.

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

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43 names report within 5 sessions, including picks SHOP, ANET and ETN on
November 3.

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Over 20 days, energy, health care and staples lead SPY by 13 to 13 points;
semis and tech trail by 15 and 8.