Daily Market Brief, Nov 11: RECOVERY day 4, VIX 19.46, breadth 43% bullish
2026-11-10 · By Pierre Brunelle · Founder & Research Lead · All notes
Regime & desk call
HMM regime: RECOVERY, day 4 (flipped from BEAR on 2026-11-05). Gross leverage scalar 3.00×, risk-on yes.
| Read | Value |
|---|---|
| State probabilities | BULL 0.0% · BEAR 8.3% · CRISIS 0.0% · RECOVERY 91.7% |
| Risk-off probability (danger) | 8.3% |
| Drawdown-model probability | 16.1% |
| Circuit breakers | CLEAR (0 active), context only |
| Breadth, % of universe bullish | 43% (6,561 of 15,201) |
| Signal flips today | 217 BUY / 148 SELL |
| Breadth velocity 5d / 10d | -2.90% / -1.41% |
| Breadth acceleration 5d | -4.39% |
| Breadth squeeze · stoch K | 0.879 · 57.3 |
| Breadth timing position | LONG (EMA bullish crossover (5d EMA > 20d EMA)) |
| Hedge desk | BUY_PUTS · VIX 19.46 (cheap) |
Desk synthesis. The model remains in the RECOVERY regime on day 4, supporting a gross exposure of 3.00× while the risk‑off probability sits at 8.3%. Breadth is modest with 43% of the universe bullish (6,561 of 15,201), Treasury yields are near 4.56% on the 2‑year and 4.88% on the 10‑year with a 2s10s spread of +32 bp, the VIX term structure is in contango (VIX9D/VIX 0.953, VIX/VIX3M 0.943) and the VIX at 19.46, and sector rotation favors Financial Services (+0.54%) and Consumer Discretionary (+0.40%) while Technology (‑1.30%) and Basic Materials (‑0.47%) lag. A close above $781.64 on SPY would be the single catalyst to flip the outlook for the next session.
Snapshot, corridors & sectors
Cross-asset pairs · VIX term structure · Index corridors · Sector rotation
| Asset | Last | 1D |
|---|---|---|
| S&P 500 | 7,520.93 | -0.38% |
| Nasdaq Comp | 25,065.88 | -0.74% |
| Russell 2000 | 2,821.38 | -0.68% |
| Dow | 52,231.89 | -0.30% |
| VIX | 19.46 | -2.31% |
| Gold | 4,071.30 | +1.02% |
| WTI crude | 86.31 | +0.31% |
| Brent crude | 92.12 | +0.69% |
| Bitcoin | 73,846.05 | +0.19% |
| UST 2Y | 4.56% | +5 bp |
| UST 10Y | 4.88% | +2 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 | 5.45 | -0.85 | inside band |
| GDXJ–GLD | 0.2878 | -0.62 | inside band |
| ETH/BTC | 0.0280 | -1.86 | 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 | 13.95 | -3.36 |
| 9-day | VIX9D | 18.54 | -1.34 |
| 30-day | VIX | 19.46 | -0.46 |
| 3-month | VIX3M | 20.64 | -0.21 |
| 6-month | VIX6M | 21.99 | -0.23 |
Vol of VIX index: 96.63.
Index corridors (ATR HiLo trail and flip line)
| ETF | Close | ATR trend | Trail stop | Flip line | Stoch K | IV rank |
|---|---|---|---|---|---|---|
| SPY | $749.92 | Short, 8d | $787.12 (+5.0%) | Resist $781.64 (+4.2%) | 30.9 | 41 |
| QQQ | $674.76 | Short, 18d | $725.43 (+7.5%) | Resist $762.88 (+13.1%) | 29.1 | 36 |
Sector rotation (S&P 500 constituents, equal-weight 1D change)
| Sector | 1D | Index weight | Names |
|---|---|---|---|
| Financial Services | +0.54% | 11.9% | 71 |
| Consumer Discretionary | +0.40% | 13.7% | 81 |
| Healthcare | +0.32% | 9.9% | 59 |
| Energy | +0.32% | 3.8% | 22 |
| Industrials | -0.02% | 7.4% | 74 |
| Real Estate | -0.04% | 1.8% | 30 |
| Utilities | -0.20% | 2.0% | 31 |
| Communication Services | -0.21% | 8.3% | 19 |
| Basic Materials | -0.47% | 1.8% | 23 |
| Technology | -1.30% | 39.3% | 89 |
Leaders: Financial Services, Consumer Discretionary. Laggards: Basic Materials, Technology.
Calendar, policy & wire
US macro · Last session's high-impact prints · Market wire · Prediction markets
US macro, Wed Nov 11
| Time ET | Impact | Release | Consensus | Prior |
|---|---|---|---|---|
| 05:00 | Medium | OPEC Monthly Report | – | – |
| 07:00 | Medium | MBA 30-Year Mortgage Rate (Nov/06) | – | 7.30 |
Last session's high-impact prints, Nov 10
| Release | Actual | Consensus | Surprise |
|---|---|---|---|
| CPI s.a (Oct) | 337.48 | 337.00 | +0.48 |
| CPI (Oct) | 337.51 | 337.02 | +0.49 |
| Inflation Rate MoM (Oct) | 0.40 | 0.30 | +0.10 |
| Core Inflation Rate MoM (Oct) | 0.30 | 0.20 | +0.10 |
Market wire
- Japan Government Bond Yields Jump, Tracking Treasury Selloff · Bloomberg, 2h ago
- Treasuries slide as ‘hot’ inflation sparks bets on Fed rate rise · Financial Times, 12h ago
- S.Korea central bank: sells 2-year monetary stabilisation bonds yielding 3.720% · FinancialJuice, 6h ago
- 10-year Treasury yield races back to 5% as inflation data, Waller comments drive rate hike expectations · CNBC, 10h ago
- Asian Bond Yields Rise on Growing Expectations for Fed Rate Hike · WSJ, 10h ago
Tape check: The bond‑yield‑rise theme in the wire—Treasury yields up 5 bp at the 2‑year, 2 bp at the 10‑year and the 2s10s spread widening to +32 bp—matches the equity tape, with the S&P 500 down 0.38 % and the Nasdaq off 0.74 %. Consequently, the market is not absorbing the negative rate‑hike news; prices are moving lower in step with the headlines.
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 |
| Fed rate hike in 2026? | polymarket | 100% | +5 pts | $9,907,027 |
| Will no Fed rate cuts happen in 2026? | polymarket | 98% | -0 pts | $9,558,194 |
| Will the Fed increase interest rates by 25 bps after the December 2026 meeting? | polymarket | 86% | +1 pts | $6,796,781 |
Flow: insiders, Street, squeeze & Congress
Congressional trade disclosures
Options desk & hedge
Income plays · Directional convexity · $100K beta-1 portfolio 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 2026-11-20 670p | 10 | $715.29 | 6.3% | 102.7% | 80% | 100 |
| CSP · highest APY | SMMT 2026-11-20 16p | 10 | $17.66 | 9.4% | 250.9% | 82% | 3 |
| CSP · safest cushion | IREN 2026-11-20 16p | 10 | $19.39 | 17.5% | 116.3% | 85% | 2 |
| Covered call | SNDK 2026-11-20 950c | 10 | $852.25 | 11.5% | 104.1% | 65% | 88 |
Directional convexity (bull spreads · long calls)
| Structure | Contract | DTE | Economics | Evidence |
|---|---|---|---|---|
| Bull put spread | GEV 2027-04-16 600/640p | 157 | cushion 17.9% · max return 28.2% · APY 65% | 99% hit over 550 windows |
| Long call | TLT 2026-12-04 79.5c | 24 | debit $190 · break-even move +0.6% | break-even / implied move 0.25 |
$100K beta-1 portfolio hedge (long puts). VIX 19.46 is under the 22 gate: puts are priced for buying.
SD50 month-to-date
Holding month November 2026, Nov 01 - Nov 10 (MTD).
Holding month November 2026, Nov 01 - Nov 10 (MTD). Live tracker.
| Book | MTD | SPY MTD | Alpha | Winners | Positions |
|---|---|---|---|---|---|
| SD50 | +0.6% | -0.8% | +1.4pp | 35/60 | 60 |
| SD14 | +1.0% | -0.8% | +1.7pp | 9/14 | 14 |
Data as of the Nov 10, 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
This note is a snapshot. The stock page and screener carry tonight's re-score, regime and backtest.