TRAI quant day-trading research

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Financials

_Last updated 2026-11-06 16:00 ET from report. Screening/research, not investment advice._

Linkages (TRAI /api/correlations, 60 sessions to 2026-10-22)

  • Cluster 7 — money-center banks/brokers (avg ρ 0.632): C, GS, MS, BAC, JPM, WFC. GS–MS 0.886.
  • Cluster 8 — alt managers + card/consumer credit (avg ρ 0.582): KKR, BX, BA, BLK, AXP, COF. BX–KKR 0.82, BX–AXP 0.53.
  • Payments: V–MA 0.879 (cluster 28). PYPL is a singleton (cluster 47; top ρ SOFI 0.38). Consumer fintech cluster 11: SOFI, AFRM, HIMS (avg ρ 0.641). AXP–V 0.49, AXP–MA 0.50, AXP–COF 0.73. Crypto-linked: HOOD, COIN with MSTR/MARA/RIOT (cluster 9, avg ρ 0.666).
  • Rates link: bank ETFs rose on Oct 22 as long-term Treasury yields fell (FinancialMarkets.com, 2026-10-22). XLF +1.09% Oct 22, +3.9% over 20 days, "leading" quadrant (TRAI /api/macro).

Event log

  • 2026-10-22 BMO, BX: distributable EPS $1.32 vs $1.26 est.; inflows $63.3B; net realizations −34%; stock +8.38% after a −2.05% gap (BX note).
  • 2026-10-23 BMO, AXP: FY26 adj. EPS guide raised to $17.60–17.90; 5% workforce cut; TRAI indicated −2.43% at 8:53 ET (AXP note).
  • Bank earnings wave Oct 13–15 (JPM, WFC, C, GS, BAC, MS, BLK, SCHW): reaction records in TRAI /api/events (e.g., BAC gap −7.65% on a −17.8% EPS surprise; GS +3.25% gap then −3.37% day-1).
  • _Note: the 09:00 ET version of this file was corrupted by a shell-quoting error. Repaired at 11:00 ET from the BX/AXP company notes._
  • 2026-10-23 13:00, AXP reaction: −4.15% (open −3.12%, no fill) on a tax/provision-aided beat with a revenue and network-volume miss; COF −1.70%, V −1.42%, MA −1.90%, XLF −1.33% vs SPY −0.36% (report).

Issuer vs network

  • Issuers (AXP, COF) carry credit and funding risk; networks (V, MA) earn on volume with no credit risk, so issuer-specific misses should transmit weakly — but on 2026-10-23 V/MA widened from −0.6%/−0.5% in the morning to −1.4%/−1.9% by 13:07 (24/7 Wall St.; Yahoo 5m).
  • Historical AXP reaction days (n = 4): V/MA next-day move positive every time (avg ≈ +1.6%) — anecdotal, strategy S-033.

Upcoming (TRAI /api/events)

  • SOFI 10-27 BMO (avg |gap| 4.26%) · PYPL 10-27 BMO (9.43%, 3.42 ATR, 0% fill) · V 10-27 AMC (2.94%, 75% fill) · HOOD 10-27 AMC (5.96%) · MA 10-29 BMO (2.24%) · COIN 10-29 AMC (5.30%) · AFRM 11-05 AMC. Notes: V, MA, PYPL, SOFI, HOOD, COIN, AFRM, COF.

Alt-asset managers (added 2026-10-23 15:00, report)

  • In the universe: BX, KKR (BLK is a traditional manager in the same cluster 8). Context only (not in the universe): ARES, APO, OWL, CG, TPG, BAM (proposal S-047).
  • 2026 driver: retail private-credit redemptions. BCRED requests were 10% of NAV in Q3 (2× its cap) and net outflows were $1.4B (AltsWire, 2026-10-22). Goldman says requests are moderating (CNBC, 2026-10-06). YTD to 10-22: BX −23%, KKR −27%, OWL −35%, CG −34%, BLK +6%, XLF +3% (my calc).
  • Oct 22 was a group re-rating (peers +2.8% to +5.9%). On Oct 23 the peer average gave back about 2% and BX outperformed (−1.29% at 15:12).
  • Earnings calendar (IR-verified): ARES, OWL and TPG Thu 10-29 BMO · APO Tue 11-03 BMO · CG Thu 11-05 · BAM Fri 11-06 BMO · KKR Mon 11-09 BMO · BX ~late Jan (est.).
  • Peer-print linkage (my calc, n 13 per peer): BX moved with KKR's and CG's prints 92% of the time and with TPG's 85%. Crowded mornings were the big ones (2026-02-05: BX −5.73%).

2026-10-29 17:00 update

  • Crypto cluster 9 after hours 10-29: COIN −3.5% (EPS beat, no guide), MSTR −3.2% (BTC mark-to-market gain, CFO exit), HOOD −3.9%, with BTC near $80k. No TRAI candidates. MSTR · COIN
  • Source: 2026-10-29 17:00 report.

2026-10-30 09:00 update

2026-10-30 14:00 update

  • Banks are sold as equity beta, not rates. 2026 YTD 10y beta is ~0: JPM −0.11, BAC +0.17, GS −0.06, MS +0.41 %/10bp. SPY beta is GS 1.70, MS 1.54, C 1.44 (my calc). At 14:14 ET: GS −4.82%, C −3.58%, MS −3.29%, BLK −3.07%, COF −2.80%, BAC −2.41%, JPM −2.01%; XLF −0.84%, KRE −1.37%. Most opened up and faded. No bank-specific news found.
  • Context: Q3 capital-markets lull (Reuters, 2026-10-15). KBW Bank Index in its longest weekly losing streak since 2008; higher-for-longer raises loan-loss risk (BI); the index underperformed the S&P in 18 of 21 sessions after the Sept 16 hike (Barclays) (Bloomberg via Moneycontrol, 2026-10-17). Logan (10-30): spreads "widened in recent weeks", "banks remain eager to lend" (Dallas Fed).
  • Candidate links: BA (cluster 8; COF 0.63) and GE (C 0.42, GS 0.40).
  • BRK-B is due Sat 11-07 (TRAI estimate), so the reaction lands Mon 11-09 (S-088).
  • After VIX-spike Fridays (n 13): Monday gap median XLF +0.47%, KRE +0.57%, GS +0.89%; worst GS −4.90%.
  • Source: 2026-10-30 14:00 — stress label live, rate complex (banks/utilities/housing), HD/LOW rate beta, Friday→Monday set-up

2026-10-30 17:00 update

  • Corrected MR list (final data): GS, JPM and HOOD remain fade-longs. C drops out: the official run's close of 121.06 was a stale ~15:00 bar, and the final was 122.64 (−2.48%, rangePos 0.57). COIN leaves short momentum on final data (−10.62%, rangePos 0.57).
  • GS, JPM, C, MS, BAC and WFC form cluster 2 (avg ρ 0.58); HOOD's highest correlation is GS (0.60). Treat GS, JPM and HOOD as one financials bet. Notes: GS, JPM.
  • After hours 10-30: GS −0.05%, JPM +0.17%, HOOD −0.20%, C −0.03% (Yahoo). No after-close filings found.
  • Source: 2026-10-30 17:00 report §3, §5.

2026-11-02 11:00 update

  • 10-30 causes:
  • GS (−3.58%) and JPM (−1.90%): no company news; beta plus the capital-markets and AI-deposit-flight themes
  • HOOD (−7.21%): Q3 miss (10-27) + Binance theft + Ohio sports-contract halt
  • Details in the GS, JPM and HOOD notes
  • Regulatory calendar:
  • Fed targets finalizing Basel III/GSIB-surcharge rules by year end (−4.8% big-bank capital proposed in March); banks are seeking Democratic governors' votes ahead of the 11-03 midterms (Reuters via Investing.com, 2026-10-26)
  • Better Markets has sued the Fed over the process (same source)
  • No final-rule date
  • Day 2 (11:15 ET): XLF +1.67% vs SPY +0.67%; KRE +2.40% leads; GS +1.83%, MS +1.61%, WFC +1.63%, JPM +1.19%, BAC +0.13%. Fade-longs gapped up, then flat at VWAP.
  • Linkages refresh (60d to 10-30):
  • Banks are now cluster 2: BLK, AXP, COF, C, GS, MS, BAC, JPM, WFC (avg ρ 0.58)
  • Crypto is cluster 7: MARA, RIOT, HOOD, MSTR, COIN (avg ρ 0.70)
  • GS–JPM 0.49; JPM–HOOD 0.08
  • Replay (my calc): Financials MR fade-longs n 29, next-day o→c +0.42%, hit 62%, t 1.24.
  • Source: 2026-11-02 11:00 report

2026-11-02 17:00 update

  • PYPL/COF/AXP/WFC form one MR fade-short cluster in the 16:49 post-close run. The only Tue BMO print near them is FISV (PYPL ρ 0.29, little historical read-through [CALC]). Report

2026-11-06 10:00 — BLK/COIN/BAC/MSTR MR mix

  • Financials/crypto-adjacent MR fade-longs mixed early Fri under STRESS (BLK/BAC soft green; COIN/MSTR red). Watchlist only. Report.

2026-11-06 11:00 update — KKR Mon BMO + BRK Sat filing; MARA crypto-adjacent AMC

  • KKR Q3 Mon 2026-11-09 BMO, call 10:00 ET (Business Wire, 2026-09-29); Tue Nov 10 BMO Financials Conference (BW Oct 21). TRAI avg \|gap\| 2.31% (0.76 ATR), fill 100%. ρ BX 0.85. Note: KKR.
  • BRK-B: issuer posts Q3 + 10-Q Sat 2026-11-07 ~7:00 a.m. CT (Berkshire PDF Nov 4) — not Fri AMC. TRAI hist avg \|gap\| only 0.72%. Note: BRK-B.
  • MARA (TRAI Crypto/High-beta; no dedicated crypto sector file): call Mon Nov 9 5:00 PM ET, letter before call (MARA IR Nov 2); Thu −14.4% into print; cluster 8 with COIN/MSTR/HOOD/RIOT. Note: MARA.
  • Source: 2026-11-06 11:00 Mon gap stack.

2026-11-06 16:00 update — STRESS close; Financials ×3 label vs correlation split (S-150)

  • Dashboard latest still the 08:58 ET premarket artifact (marketSessionDate 2026-11-05). Afternoon prices from Yahoo chart API ~16:00 ET.
  • Regime: morning VIX 26.92 / VIX9D/VIX 1.213; close-hour Yahoo VIX ~25.59, VIX9D/VIX ~1.075 — still STRESS (VIX>22), front-end inverted. XLF −0.57% vs SPY +0.32% / QQQ +1.40%.
  • Buckets (8:58): SM Financials ×3 JPM/V/C suspended; MR fade-longs BLK / BAC / COIN (+ MSTR software). LiveRules still mean R −0.052 / TARGET 0.
  • Correlations refresh (60d to 2026-11-05):
  • Cluster 2 banks/managers (avg ρ 0.585): JPM, WFC, BAC, C, GS, MS, AXP, COF, BLK, KKR, BX — GS–MS 0.92, BLK–JPM 0.73, BLK–KKR 0.70
  • Cluster 3 includes V, MA with media/travel — V–MA 0.95 (top pair); V–JPM only 0.57
  • Cluster 8 crypto (avg ρ 0.715): HOOD, MSTR, COIN, MARA, RIOT — COIN–MSTR 0.89; COIN–BAC only 0.08
  • Fri close paths (Yahoo): BLK +0.63% vs BAC −0.70% / COIN −1.51%; JPM −0.84% / V flat / C +0.51%; MA −0.50%; GS −0.38% / MS −0.58%; HOOD +3.21% diverged from COIN/MSTR soft.
  • Calendar: BRK Sat 11-07 ~7:00 a.m. CT (issuer PDF); KKR Mon 11-09 BMO + call 10:00 ET (Business Wire); KKR BMO Financials Conference Tue 11-10 8:00 ET. BAC Boston conference was Thu 11-05 (IR calendar) — NII commentary secondary [MarketBeat].
  • Proposal S-150: split Financials SM/MR into cluster-2 vs V–MA payments twin vs cluster-8 crypto; payments/GS–MS ρ gates; COIN residual vs BTC β companion. Actionable Fri NO.
  • Notes: BLK · BAC · COIN · JPM · V · C · MA · GS · MS · MSTR · HOOD · KKR · BRK-B
  • Source: 2026-11-06 16:00 report.