WEBVTT

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

1
00:00:00.350 --> 00:00:04.947
TRAI daily overview for November 2. Screening and research, not investment
advice.

2
00:00:05.147 --> 00:00:12.402
SPY fell 0.5%, QQQ 1.4% and the chip ETF SMH 2.7%.

3
00:00:12.802 --> 00:00:19.390
The VIX, the market's 30-day implied volatility, rose 1.7 points to 21.1,
a stress reading.

4
00:00:19.590 --> 00:00:25.265
SPY's realized volatility, how much it actually moved over 20 days, is
only 11.3%;

5
00:00:25.265 --> 00:00:28.726
that 9.8-point gap is the volatility risk premium.

6
00:00:28.926 --> 00:00:33.926
The term structure, short-dated versus 3-month VIX, is in mild contango,
which is normal.

7
00:00:34.126 --> 00:00:37.818
TRAI's regime score is -7.6: neutral and choppy.

8
00:00:38.218 --> 00:00:43.774
MRVL fell 12.7% with no earnings in the data, so the cause is unknown
here.

9
00:00:44.174 --> 00:00:48.468
Long momentum means a market-beating rise on heavy volume, closing above
VWAP,

10
00:00:48.468 --> 00:00:50.670
the day's volume-weighted average price.

11
00:00:50.870 --> 00:00:57.726
REGN led with a residual z-score of 1.4, a market-adjusted move about 1
times its normal noise.

12
00:00:58.126 --> 00:01:01.040
Short momentum had 6 names, led by COP.

13
00:01:01.240 --> 00:01:06.611
Mean reversion, big moves on ordinary volume that may fade, flagged 14,
led by OXY.

14
00:01:07.011 --> 00:01:14.254
Over 126 replayed sessions, short momentum's expectancy, the average net
profit per trade,

15
00:01:14.254 --> 00:01:19.404
is -0.39%, with a t-stat of -3.1: beyond ±2, so likely not luck.

16
00:01:19.604 --> 00:01:21.653
No bucket has a significant positive edge.

17
00:01:22.053 --> 00:01:26.810
Correlation clusters are stocks that move together: the largest, 24 names
led by semis,

18
00:01:26.810 --> 00:01:31.458
has an average correlation of 0.58, so today's 6 shorts are about 4
independent bets.

19
00:01:31.858 --> 00:01:35.001
Gap risk is a jump past your stop overnight, often on earnings.

20
00:01:35.201 --> 00:01:41.011
44 names report within 5 sessions, including picks AMD and BKNG on
November 3.

21
00:01:41.411 --> 00:01:46.786
Over 20 days, staples, health care and utilities lead SPY by 12 to 15
points;

22
00:01:46.786 --> 00:01:49.159
semis and tech trail by 17 and 10.