Daily Market Brief, Nov 13: RECOVERY day 4, VIX 18.70, breadth 44% bullish
2026-11-12 · By Pierre Brunelle · Founder & Research Lead · All notes
Regime & desk call
HMM regime: RECOVERY, day 4 (flipped from BEAR on 2026-11-09). Gross leverage scalar 3.00×, risk-on yes.
| Read | Value |
|---|---|
| State probabilities | BULL 0.0% · BEAR 3.9% · CRISIS 0.0% · RECOVERY 96.1% |
| Risk-off probability (danger) | 3.9% |
| Drawdown-model probability | 56.6% |
| Circuit breakers | REDUCED (1 active), context only |
| Breadth, % of universe bullish | 44% (6,634 of 15,204) |
| Signal flips today | 164 BUY / 244 SELL |
| Breadth velocity 5d / 10d | +6.02% / +1.49% |
| Breadth acceleration 5d | +10.55% |
| Breadth squeeze · stoch K | 0.797 · 100.0 |
| Breadth timing position | LONG (EMA bullish crossover + accelerating breadth) |
| Hedge desk | BUY_PUTS · VIX 18.70 (cheap) |
Desk synthesis. The model remains in RECOVERY on day 4, supporting gross exposure of 3.00× with a risk‑off probability of 3.9%. Breadth remains modestly bullish at 44% (6,634 of 15,204) with accelerating momentum, while the yield curve is flat‑to‑steepening as the 2‑year sits at 4.73% (+17 bp) and the 10‑year at 4.98% (+10 bp) widening the 2s10s spread to +25 bp; the VIX term structure is in contango, the front‑month VIX1D at 15.99 (+3.35), VIX9D at 17.51 (+1.47) and the 30‑day VIX at 18.70 (+1.21), and sector flow favors Energy (+1.48%) and Communication Services (+0.89%) over lagging Industrials (‑0.87%) and Basic Materials (‑1.37%). A decisive move of SPY above the $781.65 resistance would 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 | 7,592.40 | -0.35% |
| Nasdaq Comp | 25,366.09 | -0.39% |
| Russell 2000 | 2,799.06 | -1.66% |
| Dow | 52,297.09 | -0.36% |
| VIX | 18.70 | +6.92% |
| Gold | 3,902.20 | +0.43% |
| WTI crude | 88.81 | +0.12% |
| Brent crude | 96.41 | +0.62% |
| Bitcoin | 69,101.03 | -3.18% |
| 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 | 7.12 | -0.34 | inside band |
| GDXJ–GLD | 0.2807 | -1.04 | inside band |
| ETH/BTC | 0.0280 | -1.70 | 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 | 15.99 | +3.35 |
| 9-day | VIX9D | 17.51 | +1.47 |
| 30-day | VIX | 18.70 | +1.21 |
| 3-month | VIX3M | 20.06 | +0.82 |
| 6-month | VIX6M | 21.71 | +0.63 |
Vol of VIX index: 96.71.
Index corridors (ATR HiLo trail and flip line)
| ETF | Close | ATR trend | Trail stop | Flip line | Stoch K | IV rank |
|---|---|---|---|---|---|---|
| SPY | $757.12 | Short, 10d | $787.10 (+4.0%) | Resist $781.65 (+3.2%) | 53.4 | 42 |
| QQQ | $688.17 | Short, 20d | $725.47 (+5.4%) | Resist $762.84 (+10.8%) | 57.2 | 51 |
Sector rotation (S&P 500 constituents, equal-weight 1D change)
| Sector | 1D | Index weight | Names |
|---|---|---|---|
| Energy | +1.48% | 3.8% | 22 |
| Communication Services | +0.89% | 8.3% | 19 |
| Consumer Discretionary | +0.03% | 13.7% | 81 |
| Utilities | -0.01% | 2.0% | 31 |
| Technology | -0.36% | 39.3% | 89 |
| Real Estate | -0.47% | 1.8% | 30 |
| Healthcare | -0.62% | 9.9% | 59 |
| Financial Services | -0.70% | 11.9% | 71 |
| Industrials | -0.87% | 7.4% | 74 |
| Basic Materials | -1.37% | 1.8% | 23 |
Leaders: Energy, Communication Services. Laggards: Industrials, Basic Materials.
Calendar, policy & wire
US macro · Last session's high-impact prints · Market wire · Prediction markets
US macro, Fri Nov 13
| Time ET | Impact | Release | Consensus | Prior |
|---|---|---|---|---|
| 08:30 | High | Producer Price Index MoM (Oct) | 0.40 | 1.30 |
| 08:30 | Medium | Core PPI MoM (Oct) | 0.30 | 0.70 |
| 10:50 | Medium | Fed Bowman Speech | – | – |
| 12:00 | Medium | Fed Daly Speech | – | – |
| 19:00 | Medium | Fed Jefferson Speech | – | – |
Last session's high-impact prints, Nov 12
| Release | Actual | Consensus | Surprise |
|---|---|---|---|
| Continuing Jobless Claims (Oct/31) | 1,697.00 | 1,710.00 | -13.00 |
| Jobless Claims 4-Week Average (Nov/07) | 195.25 | 192.50 | +2.75 |
| Initial Jobless Claims (Nov/07) | 200.00 | 195.00 | +5.00 |
| Existing Home Sales (Oct) | 3.75 | 3.85 | -0.10 |
| Existing Home Sales MoM (Oct) | -5.50 | 0.30 | -5.80 |
Market wire
- Treasury Yield Surge Shatters Hopes Worst of Bond Rout Is Over · Bloomberg, 1h ago
- Top S&P 500 Stock Names Implied Volatility · FinancialJuice, 11m ago
- AI agents shouldn’t have to pretend to be us · Financial Times, 11m ago
- The bond market now has an even bigger fear than AI fallout · MarketWatch, 10h ago
- ‘TREMENDOUS' volatility can be both good and bad: NYSE president · YouTube, 8h ago
Tape check: The bond‑market‑stress theme of the wire (Treasury Yield Surge…; “bond market now has an even bigger fear…”) is echoed on the tape, with the 2‑year yield up 17 bp, the 10‑year up 10 bp, the S&P 500 down 0.35% and VIX up 6.92%. Energy’s 1.48% gain is the lone sector‑level positive, standing out amid the broader equity pull‑back.
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 $72,500 in November? | polymarket | 100% | +28 pts | $483,617 |
| Fed rate hike in 2026? | polymarket | 100% | +5 pts | $9,907,027 |
| Will no Fed rate cuts happen in 2026? | polymarket | 98% | +0 pts | $9,602,591 |
| Will the Fed increase interest rates by 25 bps after the December 2026 meeting? | polymarket | 88% | +1 pts | $8,022,462 |
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 750p | 8 | $794.12 | 5.6% | 105.8% | 79% | 100 |
| CSP · highest APY | SMMT 2026-11-20 14p | 8 | $15.26 | 8.2% | 342.2% | 80% | 3 |
| CSP · safest cushion | SNDK 2026-11-20 790p | 8 | $930.66 | 15.1% | 64.1% | 92% | 88 |
| Covered call | SNDK 2026-11-20 1000c | 8 | $930.66 | 7.5% | 132.4% | 58% | 88 |
Directional convexity (bull spreads · long calls)
| Structure | Contract | DTE | Economics | Evidence |
|---|---|---|---|---|
| Bull put spread | SNDK 2027-05-21 670/760p | 190 | cushion 18.2% · max return 48.5% · APY 93% | 98% hit over 308 windows |
| Long call | LQD 2027-01-15 102c | 64 | debit $195 · break-even move +0.8% | break-even / implied move 0.31 |
$100K beta-1 portfolio hedge (long puts). VIX 18.70 is under the 22 gate: puts are priced for buying.
SD50 month-to-date
Holding month November 2026, Nov 01 - Nov 12 (MTD).
Holding month November 2026, Nov 01 - Nov 12 (MTD). Live tracker.
| Book | MTD | SPY MTD | Alpha | Winners | Positions |
|---|---|---|---|---|---|
| SD50 | +0.7% | +0.2% | +0.5pp | 36/60 | 60 |
| SD14 | +0.9% | +0.2% | +0.7pp | 9/14 | 14 |
Data as of the Nov 12, 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.