{"kind":"daily-overview","version":1,"date":"2026-11-05","dateLong":"Thursday, November 5, 2026","build":"20261105T224827Z","generatedAt":"2026-11-05T22:48:27+00:00","title":"TRAI Daily Overview — Thursday, November 5, 2026","headline":"SPY -4.4% · Semis -12.4% avg · VIX 28.2 (stress) · short momentum still negative-expectancy","durationSec":110.72,"tts":"edge-tts (en-US-AndrewMultilingualNeural, rate +25%)","runId":"2026-11-05_postclose_2026-11-05T21-49-57-600Z","dataAsOf":{"latest":"2026-11-05","regime":"2026-11-05","scorecard":"2026-11-05","events":"2026-11-05","correlations":"2026-11-05","intraday":"2026-11-05","options":"2026-11-05","macro":"2026-11-05"},"warnings":[],"segments":[{"id":"intro","title":"Daily Overview","start":0,"end":12.921,"text":"TRAI daily overview for November 5. Screening and research, not investment advice. SPY fell 4.4%, QQQ 6.5% and the chip ETF SMH 11.2%.","concepts":[]},{"id":"regime","title":"Market regime","start":12.921,"end":40.608,"text":"The VIX, the market's 30-day implied volatility, rose 11.6 points to 28.2, a stress reading. SPY's realized volatility, how much it actually moved over 20 days, is only 20.4%; that 7.8-point gap is the volatility risk premium. The term structure, short-dated versus 3-month VIX, is in backwardation (stress: near-term fear > 3-month), a stress signal. TRAI's regime score is -56.4: risk-off and choppy.","concepts":["realized_implied_vol","vol_risk_premium","vix_term_structure"]},{"id":"movers","title":"What moved — and why","start":40.608,"end":45.35,"text":"APP rose 31.0% with no earnings in the data, so the cause is unknown here.","concepts":[]},{"id":"long","title":"Long momentum","start":45.35,"end":53.499,"text":"No names qualified for long momentum, which needs heavy volume, a market-adjusted gain and a close above VWAP, the day's volume-weighted average price.","concepts":["vwap","residual_returns","z_scores"]},{"id":"short_mr","title":"Short momentum & mean reversion","start":53.499,"end":63.634,"text":"Short momentum had 35 names, 9 of them chips, led by PM. Mean reversion, big moves on ordinary volume that may fade, flagged 8, led by HON.","concepts":["z_scores","mean_reversion"]},{"id":"scorecard","title":"Scorecard — has it worked?","start":63.634,"end":81.709,"text":"Over 126 replayed sessions, short momentum's expectancy, the average net profit per trade, is -0.31%, with a t-stat of -2.4: beyond ±2, so likely not luck. Mean reversion — fade-short leg (after big up day) and Mean reversion (fade, both sides) clear that bar.","concepts":["expectancy_tstat"]},{"id":"correlations","title":"Correlation clusters","start":81.709,"end":92.189,"text":"Correlation clusters are stocks that move together: the largest, 26 names led by semis, has an average correlation of 0.64, so today's 35 shorts are about 6 independent bets.","concepts":["correlation_clusters"]},{"id":"earnings","title":"Earnings & gap risk","start":92.189,"end":102.919,"text":"Gap risk is a jump past your stop overnight, often on earnings. 22 names report within 5 sessions, including picks AMAT and CSCO on November 12.","concepts":["gap_risk"]},{"id":"sectors","title":"Sector rotation","start":102.919,"end":111.116,"text":"Over 20 days, health care, staples and real estate lead SPY by 14 to 15 points; semis and tech trail by 21 and 13.","concepts":["sector_rotation"]}],"concepts":["realized_implied_vol","vol_risk_premium","vix_term_structure","vwap","residual_returns","z_scores","mean_reversion","expectancy_tstat","correlation_clusters","gap_risk","sector_rotation"],"keyStats":{"spyPct":-0.0441,"qqqPct":-0.0649,"smhPct":-0.1121,"vix":28.18,"vixChg":11.57,"vixLabel":"stress","termStructure":"backwardation (stress: near-term fear > 3-month)","spyRv20":20.36,"vrp":7.82,"regimeScore":-56.4,"regimeLabel":"risk-off","trendState":"choppy","advancers":11,"decliners":145,"universe":156},"buckets":[{"key":"long_momentum","title":"Long momentum","n":0,"nEff":null,"top":[]},{"key":"short_momentum","title":"Short momentum","n":35,"nEff":6.36,"top":["PM","PSX","UNP","TXN","MCHP"]},{"key":"mean_reversion","title":"Mean reversion","n":8,"nEff":4.55,"top":["HON","TMO","BLK","AMGN","ZS"]}],"scorecard":[{"key":"mean_reversion_short","title":"Mean reversion — fade-short leg (after big up day)","n":358,"expectancyNet":0.00312,"tStat":2.47,"hitRate":0.5531},{"key":"mean_reversion","title":"Mean reversion (fade, both sides)","n":591,"expectancyNet":0.00212,"tStat":2.28,"hitRate":0.5415},{"key":"long_momentum","title":"Long momentum","n":397,"expectancyNet":0.00081,"tStat":0.52,"hitRate":0.5038},{"key":"mean_reversion_long","title":"Mean reversion — fade-long leg (after big down day)","n":233,"expectancyNet":0.00058,"tStat":0.43,"hitRate":0.5236},{"key":"short_momentum","title":"Short momentum","n":427,"expectancyNet":-0.00307,"tStat":-2.44,"hitRate":0.4379}],"earningsReactions":[],"upcomingPicksEarnings":[{"symbol":"MCHP","date":"2026-11-05","timing":"AMC","gapRisk":"imminent","avgAbsGap":0.057},{"symbol":"VST","date":"2026-11-06","timing":"BMO","gapRisk":"imminent","avgAbsGap":0.0149},{"symbol":"AMAT","date":"2026-11-12","timing":"AMC","gapRisk":null,"avgAbsGap":0.073},{"symbol":"CSCO","date":"2026-11-12","timing":"AMC","gapRisk":null,"avgAbsGap":0.0894}],"sectors20d":[{"symbol":"XLV","name":"Health Care","rel20d":0.1525,"ret1d":-0.025,"quadrant":"leading"},{"symbol":"XLP","name":"Consumer Staples","rel20d":0.1468,"ret1d":-0.0075,"quadrant":"leading"},{"symbol":"XLRE","name":"Real Estate","rel20d":0.1374,"ret1d":-0.0182,"quadrant":"leading"},{"symbol":"XLB","name":"Materials","rel20d":0.115,"ret1d":-0.0291,"quadrant":"leading"},{"symbol":"XLF","name":"Financials","rel20d":0.1132,"ret1d":-0.0287,"quadrant":"leading"},{"symbol":"XLU","name":"Utilities","rel20d":0.1072,"ret1d":-0.0071,"quadrant":"leading"},{"symbol":"XLY","name":"Consumer Discretionary","rel20d":0.106,"ret1d":-0.0383,"quadrant":"leading"},{"symbol":"XLI","name":"Industrials","rel20d":0.0177,"ret1d":-0.0412,"quadrant":"leading"},{"symbol":"XLE","name":"Energy","rel20d":-0.0024,"ret1d":-0.0298,"quadrant":"lagging"},{"symbol":"XLC","name":"Communication Services","rel20d":-0.0161,"ret1d":-0.0059,"quadrant":"improving"},{"symbol":"XLK","name":"Technology","rel20d":-0.1261,"ret1d":-0.08,"quadrant":"lagging"},{"symbol":"SMH","name":"Semiconductors","rel20d":-0.2098,"ret1d":-0.1121,"quadrant":"lagging"}],"learnMore":[{"title":"VIX Index — methodology & FAQ","source":"Cboe","url":"https://www.cboe.com/tradable_products/vix/","concepts":["realized_implied_vol","vix_term_structure"]},{"title":"VIX term structure (live)","source":"Cboe","url":"https://www.cboe.com/tradable_products/vix/term_structure/","concepts":["vix_term_structure"]},{"title":"Volatility (glossary)","source":"SEC Investor.gov","url":"https://www.investor.gov/introduction-investing/investing-basics/glossary/volatility","concepts":["realized_implied_vol"]},{"title":"Day trading (glossary)","source":"SEC Investor.gov","url":"https://www.investor.gov/introduction-investing/investing-basics/glossary/day-trading","concepts":[]},{"title":"Diversify your investments","source":"SEC Investor.gov","url":"https://www.investor.gov/introduction-investing/investing-basics/save-and-invest/diversify-your-investments","concepts":["correlation_clusters"]},{"title":"Volume-weighted average price (VWAP)","source":"Investopedia","url":"https://www.investopedia.com/terms/v/vwap.asp","concepts":["vwap"]},{"title":"Historical (realized) volatility","source":"Investopedia","url":"https://www.investopedia.com/terms/h/historicalvolatility.asp","concepts":["realized_implied_vol"]},{"title":"Z-score","source":"Investopedia","url":"https://www.investopedia.com/terms/z/zscore.asp","concepts":["z_scores"]},{"title":"T-test (what a t-statistic measures)","source":"Investopedia","url":"https://www.investopedia.com/terms/t/t-test.asp","concepts":["expectancy_tstat"]}],"files":{"video":"video.mp4","poster":"poster.png","captions":"captions.vtt","script":"script.md"},"urls":{"video":"https://puuog7v4yk85akmd.public.blob.vercel-storage.com/daily/2026-11-05/20261105T224827Z/video.mp4","poster":"https://puuog7v4yk85akmd.public.blob.vercel-storage.com/daily/2026-11-05/20261105T224827Z/poster.png","captions":"https://puuog7v4yk85akmd.public.blob.vercel-storage.com/daily/2026-11-05/20261105T224827Z/captions.vtt","script":"https://puuog7v4yk85akmd.public.blob.vercel-storage.com/daily/2026-11-05/20261105T224827Z/script.md"},"sources":{"latest":"Yahoo Finance public chart API (https://query1.finance.yahoo.com/v8/finance/chart/) — daily (6mo) and 5-minute (5d, incl. pre/post) bars. Unofficial, may be delayed.","regime":"Yahoo Finance public chart API, daily bars (2y): SPY, ^VIX, ^VIX9D, ^VIX3M and the full TRAI universe for breadth.","scorecard":"Yahoo Finance public chart API (daily, 2y; 5-minute 60d for the live-rule column) + TRAI stored runs in Vercel Blob.","events":"Yahoo Finance quoteSummary (calendarEvents, earnings: last 4 reported quarters with report timestamps) via anonymous cookie+crumb session; Yahoo chart API daily bars (2y) for price reactions.","correlations":"Yahoo Finance public chart API, daily bars (1y).","intraday":"Yahoo Finance public chart API, 5-minute regular-session bars (60-day maximum lookback Yahoo serves for 5m).","options":"Yahoo Finance public options endpoint (v7/finance/options) via anonymous cookie+crumb session; Yahoo chart API for realized vol and ^IRX.","macro":"FRED was unreachable from the server, so rates come from US Treasury daily yield-curve CSVs (home.treasury.gov) and dollar/credit use Yahoo Finance proxies (DXY, HYG/IEF, LQD/IEF); Yahoo Finance for sector ETFs and SPY."},"disclaimer":"Screening/research, not investment advice.","publishedAt":"2026-11-05T22:48:32.548Z"}