Daily Market Brief, Nov 12: RECOVERY day 3, VIX 17.49, breadth 44% bullish
2026-11-11 · By Pierre Brunelle · Founder & Research Lead · All notes
Regime & desk call
HMM regime: RECOVERY, day 3 (flipped from BEAR on 2026-11-09). Gross leverage scalar 3.00×, risk-on yes.
| Read | Value |
|---|---|
| State probabilities | BULL 0.0% · BEAR 4.7% · CRISIS 0.0% · RECOVERY 95.3% |
| Risk-off probability (danger) | 4.7% |
| Drawdown-model probability | 8.9% |
| Circuit breakers | CLEAR (0 active), context only |
| Breadth, % of universe bullish | 44% (6,714 of 15,202) |
| Signal flips today | 297 BUY / 147 SELL |
| Breadth velocity 5d / 10d | +1.50% / -0.49% |
| Breadth acceleration 5d | +3.49% |
| Breadth squeeze · stoch K | 0.795 · 67.3 |
| Breadth timing position | LONG (EMA bullish crossover + accelerating breadth) |
| Hedge desk | BUY_PUTS · VIX 17.49 (cheap) |
Desk synthesis. The model sits in the RECOVERY regime, day 3, with a gross leverage scalar of 3.00× and a risk‑off probability of 4.7%. Breadth remains modestly bullish at 44% (6,714 of 15,202) with a +1.50% 5‑day velocity and +3.49% acceleration, while Treasury yields sit at 2Y 4.73% +17 bp and 10Y 4.98% +10 bp giving a 2s10s spread of +25 bp; the VIX term structure is in contango, with VIX at 17.49, VIX9D/VIX at 0.917 and VIX/VIX3M at 0.909, and sector rotation favors Technology (+2.88%, weight 39.3%) and Energy (+1.79%, weight 3.8%) over laggards Real Estate (+0.06%) and Consumer Discretionary (+0.03%). A surprise in the Initial Jobless Claims figure at 195.00 (versus 189.00 prior) would flip the call for the next session.
Snapshot, corridors & sectors
Cross-asset pairs · VIX term structure · Index corridors · Sector rotation
| Asset | Last | 1D |
|---|---|---|
| S&P 500 | 7,619.38 | +1.31% |
| Nasdaq Comp | 25,466.19 | +1.60% |
| Russell 2000 | 2,846.26 | +0.88% |
| Dow | 52,486.49 | +0.49% |
| VIX | 17.49 | -10.12% |
| Gold | 3,972.30 | -0.70% |
| WTI crude | 86.61 | +0.09% |
| Brent crude | 92.90 | +0.15% |
| Bitcoin | 73,539.22 | -0.52% |
| UST 2Y | 4.73% | +17 bp |
| UST 10Y | 4.98% | +10 bp |
| 2s10s spread | +25 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 | 6.23 | -0.61 | inside band |
| GDXJ–GLD | 0.2862 | -0.71 | inside band |
| ETH/BTC | 0.0278 | -1.95 | 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 | 12.64 | -1.31 |
| 9-day | VIX9D | 16.04 | -2.50 |
| 30-day | VIX | 17.49 | -1.97 |
| 3-month | VIX3M | 19.24 | -1.40 |
| 6-month | VIX6M | 21.08 | -0.91 |
Vol of VIX index: 90.47.
Index corridors (ATR HiLo trail and flip line)
| ETF | Close | ATR trend | Trail stop | Flip line | Stoch K | IV rank |
|---|---|---|---|---|---|---|
| SPY | $759.81 | Short, 9d | $787.16 (+3.6%) | Resist $781.62 (+2.9%) | 49.9 | 30 |
| QQQ | $690.38 | Short, 19d | $725.45 (+5.1%) | Resist $762.87 (+10.5%) | 45.6 | 83 |
Sector rotation (S&P 500 constituents, equal-weight 1D change)
| Sector | 1D | Index weight | Names |
|---|---|---|---|
| Technology | +2.88% | 39.3% | 89 |
| Energy | +1.79% | 3.8% | 22 |
| Industrials | +1.39% | 7.4% | 74 |
| Communication Services | +1.30% | 8.3% | 19 |
| Basic Materials | +0.66% | 1.8% | 23 |
| Financial Services | +0.65% | 11.9% | 71 |
| Utilities | +0.28% | 2.0% | 31 |
| Healthcare | +0.08% | 9.9% | 59 |
| Real Estate | +0.06% | 1.8% | 30 |
| Consumer Discretionary | +0.03% | 13.7% | 81 |
Leaders: Technology, Energy. Laggards: Real Estate, Consumer Discretionary.
Calendar, policy & wire
US macro · Market wire · Prediction markets
US macro, Thu Nov 12
| Time ET | Impact | Release | Consensus | Prior |
|---|---|---|---|---|
| 08:30 | High | Continuing Jobless Claims (Oct/31) | 1,710.00 | 1,718.00 |
| 08:30 | High | Jobless Claims 4-Week Average (Nov/07) | 192.50 | 194.75 |
| 08:30 | High | Initial Jobless Claims (Nov/07) | 195.00 | 189.00 |
| 09:00 | Medium | Fed Hammack Speech | – | – |
| 10:00 | Medium | Fed Barr Speech | – | – |
| 10:00 | High | Existing Home Sales (Oct) | 3.85 | 3.99 |
| 10:00 | High | Existing Home Sales MoM (Oct) | 0.30 | 1.50 |
| 11:30 | Medium | Fed Goolsbee Speech | – | – |
| 12:00 | Medium | EIA Crude Oil Stocks Change (Nov/06) | -1.10 | -0.86 |
| 12:00 | Medium | EIA Gasoline Stocks Change (Nov/06) | -0.10 | -0.22 |
| 13:10 | Medium | Fed Daly Speech | – | – |
| 14:00 | Medium | Budget Balance (Oct) | -298.60 | -27.00 |
| 18:30 | Medium | Fed Williams Speech | – | – |
Market wire
- Top S&P 500 stock names implied volatility · FinancialJuice, 30m ago
- Falling oil prices are no longer enough to bring down borrowing costs in the world’s most important bond market · MarketWatch, 9h ago
- Vietnam Dollar Bond Sale on Hold as Fuel Cost Fans Inflation · Bloomberg, 2h ago
- US tech stocks rally as AI trade revives · Financial Times, 9h ago
- Crypto "Known Unknowns" in AI Selloff, Inflation & Midterm Elections · YouTube, 13h ago
Tape check: The AI‑driven tech rally headline is confirmed by the tape: the Nasdaq Composite is up +1.60% and the S&P 500 technology sector leads with +2.88%, while the VIX has fallen ‑10.12%, indicating lower implied volatility. Likewise, the story that falling oil prices are insufficient to ease borrowing costs aligns with the market data—WTI is essentially flat at +0.09% as the 2‑year Treasury yield climbs +17 bp and the 10‑year rises +10 bp, while Bitcoin’s modest decline of ‑0.52% supports the crypto‑risk narrative.
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 the Democrats fail to sweep the House and Senate and the US not enter a recession by the end of 2027? | polymarket | 0% | -22 pts | $11,203 |
| Fed Rate Hike by July 2026 Meeting? | polymarket | 0% | -19 pts | $782,888 |
| Fed rate hike in 2026? | polymarket | 100% | +5 pts | $9,907,027 |
| Will no Fed rate cuts happen in 2026? | polymarket | 98% | -0 pts | $9,570,866 |
| Will the Fed increase interest rates by 25 bps after the December 2026 meeting? | polymarket | 86% | +1 pts | $7,008,265 |
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 770p | 9 | $814.00 | 5.4% | 103.0% | 78% | 100 |
| CSP · highest APY | ASTS 2026-11-20 35p | 9 | $35.90 | 2.5% | 236.4% | 62% | 5 |
| CSP · safest cushion | SMMT 2026-11-20 14p | 9 | $16.75 | 16.4% | 159.3% | 95% | 3 |
| Covered call | SNDK 2026-11-20 1080c | 9 | $996.50 | 8.4% | 117.6% | 60% | 88 |
Directional convexity (bull spreads · long calls)
| Structure | Contract | DTE | Economics | Evidence |
|---|---|---|---|---|
| Bull put spread | GEV 2027-04-16 600/660p | 156 | cushion 18.4% · max return 27.9% · APY 65% | 99% hit over 551 windows |
| Long call | LQD 2026-12-18 102c | 37 | debit $237 · break-even move +0.4% | break-even / implied move 0.18 |
$100K beta-1 portfolio hedge (long puts). VIX 17.49 is under the 22 gate: puts are priced for buying.
SD50 month-to-date
Holding month November 2026, Nov 01 - Nov 11 (MTD).
Holding month November 2026, Nov 01 - Nov 11 (MTD). Live tracker.
| Book | MTD | SPY MTD | Alpha | Winners | Positions |
|---|---|---|---|---|---|
| SD50 | +1.2% | +0.5% | +0.7pp | 36/60 | 60 |
| SD14 | +1.6% | +0.5% | +1.1pp | 10/14 | 14 |
Data as of the Nov 11, 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.