Daily Market Brief, Nov 03: BEAR day 2, VIX 21.15, breadth 43% bullish
2026-11-02 · By Pierre Brunelle · Founder & Research Lead · All notes
Regime & desk call
HMM regime: BEAR, day 2 (flipped from BULL on 2026-10-30). Gross leverage scalar 1.00×, risk-on no.
| Read | Value |
|---|---|
| State probabilities | BULL 28.2% · BEAR 50.9% · CRISIS 0.0% · RECOVERY 20.9% |
| Risk-off probability (danger) | 50.9% |
| Drawdown-model probability | 5.4% |
| Circuit breakers | CLEAR (0 active) |
| Breadth, % of universe bullish | 43% (6,508 of 15,190) |
| Signal flips today | 231 BUY / 294 SELL |
| Breadth velocity 5d / 10d | +5.30% / +7.89% |
| Breadth acceleration 5d | +2.71% |
| Breadth squeeze · stoch K | 1.422 · 95.3 |
| Breadth timing position | LONG (EMA bullish crossover + accelerating breadth) |
| Hedge desk | TAKE_PROFIT · VIX 21.15 (cheap) |
Desk synthesis. The model is in a BEAR regime (day 2) with a gross leverage scalar of 1.00× and a risk‑off probability of 50.9%. Breadth remains modest at 43% bullish, rates sit at 4.56% for the 2‑year and 4.94% for the 10‑year Treasury with a 2s10s spread of +38 bp, the VIX term structure shows an inverted VIX9D/VIX ratio of 1.062 (98th percentile) and a contango VIX/VIX3M ratio of 0.979 (92nd percentile), while sector rotation favors Consumer Discretionary (+2.08%) and Financial Services (+1.77%) and penalizes Technology (‑2.56%) and Energy (‑3.86%). A JOLTs Job Openings print that deviates materially from the consensus of 7.13 (prior 7.08) would be the single catalyst to overturn the call for the next session.
Snapshot, corridors & sectors
| Asset | Last | 1D |
|---|---|---|
| S&P 500 | 7,541.40 | -0.51% |
| Nasdaq Comp | 25,164.36 | -1.07% |
| Russell 2000 | 2,805.88 | -0.21% |
| Dow | 51,983.98 | +0.41% |
| VIX | 21.15 | +8.91% |
| Gold | 3,924.20 | -1.14% |
| WTI crude | 98.35 | +1.96% |
| Brent crude | 106.35 | +1.51% |
| Bitcoin | 76,408.30 | -0.36% |
| UST 2Y | 4.56% | -5 bp |
| UST 10Y | 4.94% | -4 bp |
| 2s10s spread | +38 bp |
Cross-asset pairs (60-session z-score of the log ratio, or of the price spread for Brent–WTI)
| Pair | Level | Z (60d) | Read |
|---|---|---|---|
| BZ–WTI | 8.31 | +0.05 | inside band |
| GDXJ–GLD | 0.2687 | -2.11 | stretched cheap |
| ETH/BTC | 0.0293 | -1.18 | inside band |
VIX term structure (Cboe implied-vol indices by horizon; ratios above 1.00 mean the curve is inverted)
| Horizon | Index | Level | 1D |
|---|---|---|---|
| 1-day | VIX1D | 17.90 | -1.43 |
| 9-day | VIX9D | 22.46 | +3.21 |
| 30-day | VIX | 21.15 | +1.73 |
| 3-month | VIX3M | 21.60 | +0.82 |
| 6-month | VIX6M | 22.67 | +0.47 |
| Curve read | Value | 1Y percentile | State |
|---|---|---|---|
| VIX9D / VIX | 1.062 | 98 | inverted, 1 session running |
| VIX / VIX3M | 0.979 | 92 | contango |
Vol of VIX index: 110.47.
Index corridors (ATR HiLo trail and flip line)
| ETF | Close | ATR trend | Trail stop | Flip line | Stoch K | IV rank |
|---|---|---|---|---|---|---|
| SPY | $752.10 | Short, 2d | $788.13 (+4.8%) | Support $749.62 (-0.3%) | 32.4 | 65 |
| QQQ | $681.09 | Short, 12d | $739.60 (+8.6%) | Resist $762.89 (+12.0%) | 23.4 | 77 |
Sector rotation (S&P 500 constituents, equal-weight 1D change)
| Sector | 1D | Index weight | Names |
|---|---|---|---|
| Consumer Discretionary | +2.08% | 13.7% | 81 |
| Financial Services | +1.77% | 11.9% | 71 |
| Basic Materials | +1.61% | 1.8% | 23 |
| Industrials | +1.43% | 7.4% | 74 |
| Real Estate | +1.07% | 1.8% | 30 |
| Utilities | +0.54% | 2.0% | 31 |
| Healthcare | -0.09% | 9.9% | 59 |
| Communication Services | -0.11% | 8.3% | 19 |
| Technology | -2.56% | 39.3% | 89 |
| Energy | -3.86% | 3.8% | 22 |
Leaders: Consumer Discretionary, Financial Services. Laggards: Technology, Energy.
Calendar, policy & wire
US macro, Tue Nov 03
| Time ET | Impact | Release | Consensus | Prior |
|---|---|---|---|---|
| 10:00 | Medium | Factory Orders MoM (Sep) | 1.20 | 0.10 |
| 10:00 | High | JOLTs Job Openings (Sep) | 7.13 | 7.08 |
| 16:30 | Medium | API Crude Oil Stock Change (Oct/30) | – | -2.03 |
Last session's high-impact prints, Nov 02
| Release | Actual | Consensus | Surprise |
|---|---|---|---|
| ISM Manufacturing PMI (Oct) | 55.50 | 54.60 | +0.90 |
Market wire
- Australia raises rates to highest level since 2008 financial crisis · Financial Times, 23m ago
- Central Banks Buy Gold at Fastest Pace Since 2024, WGC Says · Bloomberg, 1h ago
- Top S&P 500 Stock names Implied Volatility · FinancialJuice, 27m ago
- Nasdaq And S&P 500 Index Lose Momentum, Pull Down Market · Seeking Alpha, 7h ago
- S&P 500 futures are flat as investors weigh Apple earnings; U.S. midterm elections loom: Live updates · CNBC, 1h ago
Tape check: Australia’s rate‑hike and the “Nasdaq and S&P 500 lose momentum” stories line up with the S&P 500’s 0.51% decline and the Nasdaq’s 1.07% slide, confirming the bearish tape. By contrast, the Bloomberg note that central banks are buying gold at the fastest pace since 2024 runs counter to gold’s 1.14% drop, indicating a distribution pattern.
Prediction markets (Kalshi / Polymarket; Fed odds)
| Market | Venue | Yes | 24h Δ | Volume |
|---|---|---|---|---|
| Fed rate hike in 2026? | polymarket | 100% | +5 pts | $9,907,027 |
| Will no Fed rate cuts happen in 2026? | polymarket | 97% | +0 pts | $9,369,702 |
| Will 11 Fed rate cuts happen in 2026? | polymarket | 0% | -0 pts | $5,331,578 |
Flow: insiders, Street, squeeze & Congress
Congressional trade disclosures, last 30 days (526 disclosed trades; Congress tracker)
| Bought | Trades · $ mid | Sold | Trades · $ mid |
|---|---|---|---|
| AMZN | 6 · $48,003 | INTU | 6 · $48,003 |
| GS | 4 · $933,002 | SAP | 6 · $48,003 |
| VZ | 4 · $56,502 | WDAY | 5 · $64,502 |
| ISRG | 4 · $56,502 | ACI | 4 · $32,002 |
| TSM | 4 · $32,002 | HD | 4 · $56,502 |
Options desk & hedge
Income plays (CSP ledger · covered calls). POP is the historical hit rate of the same strike distance and tenor.
| Archetype | Contract | DTE | Spot | Cushion | Ann. yield | POP | FUND |
|---|---|---|---|---|---|---|---|
| CSP · best quality | MU 2026-11-09 810p | 7 | $838.59 | 3.4% | 121.7% | 71% | 100 |
| CSP · highest APY | NBIS 2026-11-13 140p | 11 | $142.72 | 1.9% | 286.8% | 63% | 23 |
| CSP · safest cushion | IREN 2026-11-20 17p | 18 | $22.28 | 23.7% | 101.4% | 85% | 2 |
| Covered call | PLTR 2026-11-13 197.5c | 11 | $180.96 | 9.1% | 110.9% | 77% | 61 |
Directional convexity (bull spreads · long calls)
| Structure | Contract | DTE | Economics | Evidence |
|---|---|---|---|---|
| Bull put spread | GEV 2027-06-17 620/700p | 227 | cushion 19.5% · max return 29.8% · APY 48% | 100% hit over 495 windows |
| Long call | PONY 2027-01-15 5c | 74 | debit $53 · break-even move +18.9% | break-even / implied move 0.17 |
$100K beta-1 portfolio hedge (long puts). VIX 21.15 is under the 22 gate: puts are priced for buying.
| ETF | Put | DTE | OTM | Contracts × debit = cost | Payoff at expiry if index falls | Debit / implied move |
|---|---|---|---|---|---|---|
| SPY | 2026-11-27 695p | 25 | 7.9% | 1 × $254 = $254 (0.25%), covers $75,492 | −5%: $0 · −10%: $1,557 · −20%: $9,107 | 0.095 |
| QQQ | 2026-11-27 635p | 25 | 7.4% | 1 × $600 = $600 (0.60%), covers $68,546 | −5%: $0 · −10%: $1,809 · −20%: $8,663 | 0.154 |
SD50 month-to-date
Holding month November 2026, Nov 01 - Nov 02 (MTD). Live tracker.
| Book | MTD | SPY MTD | Alpha | Winners | Positions |
|---|---|---|---|---|---|
| SD50 | -0.3% | -0.5% | +0.1pp | 33/60 | 60 |
| SD14 | -0.2% | -0.5% | +0.2pp | 8/14 | 14 |
| Top contributors | MTD · contribution | Laggards | MTD · contribution |
|---|---|---|---|
| AER | +3.0% · 0.19pp | ECO | -9.9% · -0.55pp |
| MA | +3.1% · 0.09pp | TCBI | -12.0% · -0.19pp |
| HLT | +2.2% · 0.08pp | AMRX | -5.0% · -0.09pp |
Data as of the Nov 02, 2026 close. Method: methodology · track record · screener.
This brief is independent quantitative research, not investment advice. Signals, backtests and option ledgers are model outputs; past results do not guarantee future returns. Options carry risk of total loss. Position sizing, execution and risk management remain the reader's responsibility.
Today's desk
The note is a snapshot. The stock page and screener carry tonight's re-score, the regime and the backtest behind the call.