Market Regime: BULL (score +10.2/18). NORMAL.
Trend Quality: SPY Choppiness Index at 56.5 — market is choppy/range-bound. Mean-reversion strategies may have an edge.
Volatility Structure: VIX at 20.0 with Backwardation (Stress) (VIX/VIX3M = 1.000). Term structure is inverted — this typically precedes or confirms a risk-off event. Hedge tail risk.
Macro Context: Mid Cycle phase. Systemic liquidity score: 50/100 (neutral).
Sector Rotation (1W RS vs SPY): Leading: Energy (+2.5%), Financials (+1.9%), Consumer Disc. (+1.0%). Lagging: Communications (-2.3%), Materials (-3.4%), Utilities (-5.3%).
Defense vs Offense: Cyclicals (Consumer Disc., Industrials, Materials) outpacing Defensives. This supports a risk-on posture — growth and high-beta sectors may continue to lead.
High-Impact Macro This Week: 🔴 NFP (Jobs Report) (Fri Aug 7). Expect elevated intraday volatility on these releases. Size positions accordingly and avoid adding risk 30 min before release.
Risk Budget: Based on VIX 20.0, the expected 1σ weekly move in SPY is ±2.77%. Position sizes should be calibrated so a 2σ adverse move (≈5.55%) does not exceed your daily loss limit.
| Date | Release | Time CT | Impact | Context |
|---|---|---|---|---|
| Mon Aug 3 | 🟡 ISM Manufacturing | 9:00 AM CT | MODERATE | Factory activity — leading indicator for industrial cycle |
| Fri Aug 7 | 🔴 NFP (Jobs Report) | 7:30 AM CT | HIGH | Non-Farm Payrolls — biggest monthly labor market read |
| Asset | Price | 1 Week | 1 Month | YTD |
|---|---|---|---|---|
| SPY S&P 500 |
$747.03 | +1.10% | +0.30% | +3.93% |
| QQQ Nasdaq 100 |
$687.99 | +0.55% | -3.45% | +2.17% |
| IWM Russell 2000 |
$291.20 | +0.01% | -2.14% | +4.52% |
| TLT Long Treasuries |
$82.25 | -1.20% | -3.81% | -3.19% |
| GLD Gold |
$371.54 | -0.10% | -1.74% | -12.20% |
| USO Oil |
$129.17 | -5.50% | +24.23% | -9.54% |
| HYG High Yield Credit |
$79.48 | +0.32% | -0.29% | +0.25% |
| TIP TIPS (Real Rates) |
$107.63 | +0.12% | -0.65% | -1.26% |
| VNQ Real Estate |
$98.95 | -1.85% | +0.95% | +3.92% |
| Sector | RS 1W | RS 1M | RS YTD | Composite |
|---|---|---|---|---|
| XLE Energy |
-1.21% | +11.59% | -2.01% | +2.47% |
| XLF Financials |
+0.02% | +2.07% | +6.13% | +1.86% |
| XLY Consumer Disc. |
+5.01% | -1.18% | -5.87% | +0.98% |
| XLV Healthcare |
-1.11% | -1.03% | +8.55% | +0.85% |
| XLP Consumer Staples |
-0.00% | -0.23% | -2.18% | -0.51% |
| XLK Technology |
-1.40% | -3.20% | +4.53% | -0.75% |
| XLRE Real Estate |
-3.01% | +0.57% | -1.34% | -1.60% |
| XLI Industrials |
-2.64% | -2.52% | +0.31% | -2.01% |
| XLC Communications |
+0.73% | -1.54% | -10.95% | -2.29% |
| XLB Materials |
-2.72% | -3.34% | -5.35% | -3.43% |
| XLU Utilities |
-5.29% | -3.38% | -8.05% | -5.27% |
| Factor | Price | 1 Week | 1 Month | YTD |
|---|---|---|---|---|
| SPMO Momentum |
$143.83 | -1.83% | -4.64% | +7.16% |
| IWF Growth |
$118.32 | +0.57% | -2.34% | -1.35% |
| IWD Value |
$251.82 | +1.44% | +2.03% | +9.42% |
| QUAL Quality |
$219.32 | +1.16% | +0.41% | +6.06% |
| SPLV Low Volatility |
$76.23 | -1.24% | -0.47% | +3.37% |
| IWM Small Cap |
$291.20 | +0.01% | -2.14% | +4.52% |
| MTUM Momentum (Alt) |
$299.59 | -2.22% | -5.35% | +5.20% |