Daily Market Brief, Nov 06: BEAR day 1, VIX 28.18, breadth 42% bullish
2026-11-05 · By Pierre Brunelle · Founder & Research Lead · All notes
Regime & desk call
HMM regime: BEAR, day 1 (flipped from RECOVERY on 2026-11-05). Gross leverage scalar 1.00×, risk-on no.
| Read | Value |
|---|---|
| State probabilities | BULL 7.7% · BEAR 58.7% · CRISIS 0.0% · RECOVERY 33.6% |
| Risk-off probability (danger) | 58.7% |
| Drawdown-model probability | 66.5% |
| Circuit breakers | REDUCED (1 active) |
| Breadth, % of universe bullish | 42% (6,437 of 15,195) |
| Signal flips today | 164 BUY / 430 SELL |
| Breadth velocity 5d / 10d | +1.49% / +9.73% |
| Breadth acceleration 5d | -6.75% |
| Breadth squeeze · stoch K | 1.577 · 100.0 |
| Breadth timing position | LONG (EMA bullish crossover (5d EMA > 20d EMA)) |
| Hedge desk | TAKE_PROFIT · VIX 28.18 |
Desk synthesis. The model flags a BEAR HMM regime with a gross leverage scalar of 1.00× and a risk‑off probability of 58.7%. Breadth remains modest at 42% bullish (6,437 of 15,195), Treasury yields sit at 4.58% on the 2‑year and 4.90% on the 10‑year (down 3 bp and 5 bp respectively) with a 2s10s spread of +32 bp, the VIX term structure is inverted (VIX9D/VIX 1.159, VIX/VIX3M 1.103) and the VIX itself is 28.18, while defensive utilities (‑0.70%) and real estate (‑1.83%) lead the S&P rotation and industrials (‑4.20%) and technology (‑6.69%) lag. A surprise in the October Nonfarm Payrolls print at 65.00 would be the single catalyst to overturn the current call.
Snapshot, corridors & sectors
| Asset | Last | 1D |
|---|---|---|
| S&P 500 | 7,353.73 | -4.36% |
| Nasdaq Comp | 24,315.00 | -5.52% |
| Russell 2000 | 2,729.89 | -4.45% |
| Dow | 51,523.06 | -3.44% |
| VIX | 28.18 | +69.66% |
| Gold | 4,055.80 | -1.40% |
| WTI crude | 91.32 | +0.88% |
| Brent crude | 99.49 | +1.22% |
| Bitcoin | 75,277.07 | -0.93% |
| UST 2Y | 4.58% | -3 bp |
| UST 10Y | 4.90% | -5 bp |
| 2s10s spread | +32 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 | 7.77 | -0.14 | inside band |
| GDXJ–GLD | 0.2791 | -1.20 | inside band |
| ETH/BTC | 0.0295 | -0.97 | 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 | 36.80 | +24.72 |
| 9-day | VIX9D | 32.66 | +17.47 |
| 30-day | VIX | 28.18 | +11.57 |
| 3-month | VIX3M | 25.55 | +6.75 |
| 6-month | VIX6M | 25.29 | +4.61 |
| Curve read | Value | 1Y percentile | State |
|---|---|---|---|
| VIX9D / VIX | 1.159 | 100 | inverted, 1 session running |
| VIX / VIX3M | 1.103 | 100 | inverted, 1 session running |
Vol of VIX index: 134.99.
Index corridors (ATR HiLo trail and flip line)
| ETF | Close | ATR trend | Trail stop | Flip line | Stoch K | IV rank |
|---|---|---|---|---|---|---|
| SPY | $733.00 | Short, 5d | $787.10 (+7.4%) | Resist $781.60 (+6.6%) | 27.4 | 94 |
| QQQ | $647.05 | Short, 15d | $725.47 (+12.1%) | Resist $762.87 (+17.9%) | 11.9 | 92 |
Sector rotation (S&P 500 constituents, equal-weight 1D change)
| Sector | 1D | Index weight | Names |
|---|---|---|---|
| Utilities | -0.70% | 2.0% | 31 |
| Real Estate | -1.83% | 1.8% | 30 |
| Communication Services | -2.23% | 8.3% | 19 |
| Healthcare | -2.48% | 9.9% | 59 |
| Consumer Discretionary | -2.74% | 13.7% | 81 |
| Energy | -2.77% | 3.8% | 22 |
| Financial Services | -2.81% | 11.9% | 71 |
| Basic Materials | -2.92% | 1.8% | 23 |
| Industrials | -4.20% | 7.4% | 74 |
| Technology | -6.69% | 39.3% | 89 |
Leaders: Utilities, Real Estate. Laggards: Industrials, Technology.
Calendar, policy & wire
US macro, Fri Nov 06
| Time ET | Impact | Release | Consensus | Prior |
|---|---|---|---|---|
| 04:30 | Medium | Fed Williams Speech | – | – |
| 08:30 | High | U-6 Unemployment Rate (Oct) | 7.60 | 7.60 |
| 08:30 | High | Nonfarm Payrolls Private (Oct) | 64.00 | 46.00 |
| 08:30 | High | Unemployment Rate (Oct) | 4.20 | 4.20 |
| 08:30 | Medium | Average Hourly Earnings MoM (Oct) | 0.30 | 0.10 |
| 08:30 | Medium | Average Hourly Earnings YoY (Oct) | 2.90 | 3.00 |
| 08:30 | Medium | Participation Rate (Oct) | 61.90 | 61.80 |
| 08:30 | High | Non Farm Payrolls (Oct) | 65.00 | 29.00 |
| 09:10 | Medium | Fed Musalem Speech | – | – |
| 10:00 | High | Michigan Consumer Sentiment (Nov) | 48.00 | 48.00 |
| 12:15 | Medium | Fed Bowman Speech | – | – |
| 14:30 | Medium | CFTC Gold Speculative net positions | – | 186.50 |
| 14:30 | Medium | CFTC S&P 500 speculative net positions | – | -134.40 |
| 14:30 | Medium | CFTC Nasdaq 100 speculative net positions | – | 48.80 |
| 14:30 | Medium | CFTC Crude Oil speculative net positions | – | 74.30 |
Last session's high-impact prints, Nov 05
| Release | Actual | Consensus | Surprise |
|---|---|---|---|
| Jobless Claims 4-Week Average (Oct/31) | 194.75 | 196.00 | -1.25 |
| Initial Jobless Claims (Oct/31) | 189.00 | 196.00 | -7.00 |
| Continuing Jobless Claims (Oct/24) | 1,718.00 | 1,710.00 | +8.00 |
Market wire
- Japan’s Government Bonds Extend Rally as BOJ Rate Hike Bets Fade · Bloomberg, 7h ago
- Stock futures mixed after Nasdaq correction; Japan's Nikkei 225 enters bear market: Live updates · CNBC, 43m ago
- S.Korea central bank announces sale of 91-day monetary stabilization bonds at 3.175% yield · FinancialJuice, 4h ago
- Bank of England raises interest rates to 4% in bid to tame inflation · Financial Times, 19h ago
- Dow, S&P 500, Nasdaq All Falling. What Smart Investors Do Now · YouTube, 12h ago
Tape check: The headline theme of global central‑bank tightening—BoE’s 4% rate hike, Korea’s 3.175% bond sale and Fed speeches—matches the tape’s broad equity sell‑off (S&P 500 ‑4.36%, Nasdaq ‑5.52%, Dow ‑3.44%) and the VIX spike (+69.66%), indicating distribution. By contrast, the upbeat story of Japan’s government‑bond rally is not reflected in equities, which remain depressed, suggesting the bond‑market lift is being absorbed without supporting stocks.
Prediction markets (Kalshi / Polymarket; Fed odds)
| Market | Venue | Yes | 24h Δ | Volume |
|---|---|---|---|---|
| Will Bitcoin dip to $77,500 in November? | polymarket | 97% | +47 pts | $2,245,323 |
| Will Bitcoin dip to $76,000 November 2-8? | polymarket | 100% | +26 pts | $8,315 |
| Fed rate hike in 2026? | polymarket | 100% | +5 pts | $9,907,027 |
| Will no Fed rate cuts happen in 2026? | polymarket | 97% | +0 pts | $9,501,467 |
| Will 11 Fed rate cuts happen in 2026? | polymarket | 0% | -0 pts | $5,331,587 |
Flow: insiders, Street, squeeze & Congress
Congressional trade disclosures, last 30 days (541 disclosed trades; Congress tracker)
| Bought | Trades · $ mid | Sold | Trades · $ mid |
|---|---|---|---|
| AMZN | 6 · $48,003 | INTU | 6 · $48,003 |
| VZ | 4 · $56,502 | SAP | 6 · $48,003 |
| ISRG | 4 · $56,502 | WDAY | 5 · $64,502 |
| TSM | 4 · $32,002 | CSCO | 4 · $56,502 |
| EQT | 4 · $32,002 | ACI | 4 · $32,002 |
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 2026-11-13 600p | 8 | $674.84 | 11.1% | 112.5% | 93% | 100 |
| CSP · highest APY | NBIS 2026-11-13 115p | 8 | $121.73 | 5.5% | 400.0% | 69% | 23 |
| CSP · safest cushion | NBIS 2026-11-13 95p | 8 | $121.73 | 22.0% | 194.5% | 96% | 23 |
| Covered call | NVDA 2026-11-20 190c | 15 | $184.10 | 3.2% | 100.5% | 58% | 79 |
Directional convexity (bull spreads · long calls)
| Structure | Contract | DTE | Economics | Evidence |
|---|---|---|---|---|
| Bull put spread | GEV 2027-03-19 600/650p | 134 | cushion 16.9% · max return 25.6% · APY 70% | 99% hit over 562 windows |
| Long call | CMS 2026-12-18 70c | 43 | debit $200 · break-even move +2.5% | break-even / implied move 0.15 |
$100K beta-1 portfolio hedge (long puts). VIX 28.18 is above the 22 gate: protection is expensive, size down or use spreads.
| ETF | Put | DTE | OTM | Contracts × debit = cost | Payoff at expiry if index falls | Debit / implied move |
|---|---|---|---|---|---|---|
| SPY | 2026-11-30 681p | 25 | 7.9% | 1 × $438 = $438 (0.44%), covers $73,942 | −5%: $0 · −10%: $1,552 · −20%: $8,946 | 0.142 |
| QQQ | 2026-11-27 605p | 22 | 7.9% | 2 × $821 = $1,642 (1.64%), covers $131,383 | −5%: $0 · −10%: $2,755 · −20%: $15,893 | 0.191 |
SD50 month-to-date
Holding month November 2026, Nov 01 - Nov 05 (MTD). Live tracker.
| Book | MTD | SPY MTD | Alpha | Winners | Positions |
|---|---|---|---|---|---|
| SD50 | -1.5% | -3.0% | +1.5pp | 28/60 | 60 |
| SD14 | -1.2% | -3.0% | +1.8pp | 6/14 | 14 |
| Top contributors | MTD · contribution | Laggards | MTD · contribution |
|---|---|---|---|
| AER | +4.8% · 0.29pp | ECO | -19.9% · -1.10pp |
| PLGO | +5.9% · 0.25pp | MPC | -15.2% · -0.33pp |
| HLT | +5.5% · 0.19pp | MU | -25.8% · -0.32pp |
Data as of the Nov 05, 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.