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

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TRAI daily overview for November 6. Screening and research, not investment
advice.

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SPY rose 0.3%, QQQ 1.4% and the chip ETF SMH 3.6%.

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The VIX, the market's 30-day implied volatility, fell 2.5 points to 25.6,
a stress reading.

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SPY's realized volatility, how much it actually moved over 20 days, is
only 20.2%;

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that 5.4-point gap is the volatility risk premium.

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The term structure, short-dated versus 3-month VIX, is in backwardation
(stress:

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near-term fear > 3-month), a stress signal.

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TRAI's regime score is -55.0: risk-off and choppy.

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DKNG fell 21.3% 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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ABNB led with a residual z-score of 5.4, a market-adjusted move about 5
times its normal noise.

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Short momentum had 1 names, led by TEAM.

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

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is -0.23%, with a t-stat of -1.9: inside ±2, so it could be luck.

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Mean reversion — fade-short leg (after big up day) and Mean reversion
(fade, both sides) clear that bar.

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Correlation clusters are stocks that move together: the largest, 26 names
led by semis,

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has an average correlation of 0.64, so today's 1 shorts are about 1
independent bets.

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

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11 names report within 5 sessions, including picks VST on November 6.

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Over 20 days, health care, staples and real estate lead SPY by 11 to 14
points;

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semis and tech trail by 18 and 12.