alphaby@dming
as of 2026-10-27
Report date
Oct 27, 2026
Web data generated
2026-10-27 10:40 AM PDT
Alpha report generated
2026-10-27 10:39 AM PDT
Alpha web build revision a0db9018688dAlpha web package 20261027T174132245783Z-8f3a46c3207d

Market

Market

Market readOldest indicator
Snapshot details
BuiltNo corrections
Market callNo call published
Regime unknown
  1. S&P 500 vs its 200-day averagecalculated
    Close 7,676.77 · average 7,295.09 ·
    Above +5.23%
  2. Index stagescalculated
    SPY Stage 2, 28 weeks · QQQ Stage 2, 28 weeks
  3. ICE BofA CCC & Lower US High Yield option-adjusted spreaddata
    3-yr pctl 100 ·
    13.56%
  4. US Treasury 10-year par yielddata
    3-yr pctl 97 ·
    5.00%
  5. US Treasury 30-year par yielddata
    3-yr pctl 96 ·
    5.31%
  6. CFTC TFF VIX futures: asset managers net long, % of open interestdata
    3-yr pctl 4 ·
    -13.25percent of open interest
  7. CFTC TFF Nasdaq-100 mini: leveraged funds net long, % of open interestdata
    3-yr pctl 94 ·
    0.35percent of open interest
  8. S&P 500 and Nasdaq both down 15% or 20% within 12 monthscalculated
    Scored Jan 7, 1955 to Oct 24, 2025 · 3,695 weeks · 12 cycles
    19.5% · 11.5%

Fed, rates and oil

4 of 4 known

Credit

3 of 3 known

Positioning and sentiment

9 of 16 known

Internals and flow

0 of 3 known
Book exposure101.3%Beta-adjusted81.6%Net

The data

Fed, rates and oil

4

US Treasury 3-month par yield

data
4.22%3-yr pctl 37
FMP treasury-rates

US Treasury 2-year par yield

data
4.68%3-yr pctl 84
FMP treasury-rates

US Treasury 10-year par yield

data
5.00%3-yr pctl 97
FMP treasury-rates

US Treasury 30-year par yield

data
5.31%3-yr pctl 96
FMP treasury-rates

Credit

3

ICE BofA US High Yield option-adjusted spread

data
3.38%3-yr pctl 85
FRED BAMLH0A0HYM2

ICE BofA US Corporate (investment grade) option-adjusted spread

data
0.91%3-yr pctl 67
FRED BAMLC0A0CM

ICE BofA CCC & Lower US High Yield option-adjusted spread

data
13.56%3-yr pctl 100
FRED BAMLH0A3HYC

Positioning and sentiment

16

Cboe VIX close

data
18.39 pts3-yr pctl 73
FMP historical-price-eod/light ^VIX

CFTC TFF E-mini S&P 500: asset managers net long, % of open interest

data
46.57percent of open interest3-yr pctl 62
CFTC Traders in Financial Futures (futures only, gpe5-46if)

CFTC TFF E-mini S&P 500: leveraged funds net long, % of open interest

data
-19.18percent of open interest3-yr pctl 27
CFTC Traders in Financial Futures (futures only, gpe5-46if)

CFTC TFF Nasdaq-100 mini: asset managers net long, % of open interest

data
28.55percent of open interest3-yr pctl 66
CFTC Traders in Financial Futures (futures only, gpe5-46if)

CFTC TFF Nasdaq-100 mini: leveraged funds net long, % of open interest

data
0.35percent of open interest3-yr pctl 94
CFTC Traders in Financial Futures (futures only, gpe5-46if)

CFTC TFF Russell 2000 E-mini: asset managers net long, % of open interest

data
6.63percent of open interest3-yr pctl 43
CFTC Traders in Financial Futures (futures only, gpe5-46if)

CFTC TFF Russell 2000 E-mini: leveraged funds net long, % of open interest

data
-11.36percent of open interest3-yr pctl 54
CFTC Traders in Financial Futures (futures only, gpe5-46if)

CFTC TFF VIX futures: asset managers net long, % of open interest

data
-13.25percent of open interest3-yr pctl 4
CFTC Traders in Financial Futures (futures only, gpe5-46if)

CFTC TFF VIX futures: leveraged funds net long, % of open interest

data
-4.82percent of open interest3-yr pctl 69
CFTC Traders in Financial Futures (futures only, gpe5-46if)

AAII survey: bullish share

entered by hand
unknownnot entered: aaii.com answers scripted requests with HTTP 403 (a bot check), so there is no feed; enter it from the page with --manual
As-of date unknownhttps://www.aaii.com/sentimentsurvey (entered by hand)

AAII survey: neutral share

entered by hand
unknownnot entered: aaii.com answers scripted requests with HTTP 403 (a bot check), so there is no feed; enter it from the page with --manual
As-of date unknownhttps://www.aaii.com/sentimentsurvey (entered by hand)

AAII survey: bearish share

entered by hand
unknownnot entered: aaii.com answers scripted requests with HTTP 403 (a bot check), so there is no feed; enter it from the page with --manual
As-of date unknownhttps://www.aaii.com/sentimentsurvey (entered by hand)

NAAIM Exposure Index

entered by hand
unknownnot entered: naaim.org's public figures run about 3 months late and Deepvue has no API, so there is no feed; enter it from the page with --manual
As-of date unknownDeepvue dashboard (Dong's browser) (entered by hand)

CNN Fear & Greed Index

entered by hand
unknownnot entered: CNN publishes no supported feed, so there is no feed; enter it from the page with --manual
As-of date unknownhttps://edition.cnn.com/markets/fear-and-greed (entered by hand)

Cboe put/call ratio, 5-day average (CNN Fear & Greed component)

entered by hand
unknownnot entered: CNN publishes no supported feed, so there is no feed; enter it from the page with --manual
As-of date unknownhttps://edition.cnn.com/markets/fear-and-greed (entered by hand)

AAII survey: bullish minus bearish

entered by hand
unknownnot entered: aaii.com answers scripted requests with HTTP 403 (a bot check), so there is no feed; enter the bullish and bearish shares with --manual
As-of date unknownhttps://www.aaii.com/sentimentsurvey (entered by hand)

Internals and flow

3

US stocks at a 52-week high

entered by hand
unknownnot entered: Deepvue has no API, so there is no feed; enter it from the page with --manual
As-of date unknownDeepvue dashboard (Dong's browser) (entered by hand)

US stocks at a 52-week low

entered by hand
unknownnot entered: Deepvue has no API, so there is no feed; enter it from the page with --manual
As-of date unknownDeepvue dashboard (Dong's browser) (entered by hand)

US stocks in Weinstein Stage 4 (Deepvue's stage)

entered by hand
unknownnot entered: Deepvue has no API, so there is no feed; enter it from the page with --manual
As-of date unknownDeepvue dashboard (Dong's browser) (entered by hand)

Trend and stage

5Changes: no earlier snapshot

S&P 500 vs 200-day average

calculatedAbove
+5.23%
S&P 500 close
7,676.77
200-day average
7,295.09
S&P 500 stage
2 · 28 weeks
vs 30-week average
+2.14%
FMP historical-price-eod/light ^GSPC

Measured 1955-01 to 2026-08 · 50% equity while below

calculated
Worst fall
-35% against -55% held
Cost a year
0.2 to 0.5 points 0.9 since 1991
False alarms
about 12 a decade
docs/research/market/studies/2026-10-24-bear-odds/results.md (fd1fe8157)

SPY

calculatedopen week
Stage 228 weeks
30-week slope
rising
vs 30-week average
+2.44%
Stage 4 confirmed
no

QQQ

calculatedopen week
Stage 228 weeks
30-week slope
rising
vs 30-week average
+0.6%
Stage 4 confirmed
no

Holdings stages

calculated42
TickerStageWeeksSlopevs 30-wkWeek ending
LMT13falling+17.1%Oct 26, 2026 · open
VST11flat-5.7%Oct 26, 2026 · open
BRK-B23rising+9.9%Oct 26, 2026 · open
CRM29rising+24.5%Oct 26, 2026 · open
LLY225rising+13.4%Oct 26, 2026 · open
MA211rising+13.3%Oct 26, 2026 · open
META25rising+0.6%Oct 26, 2026 · open
MRVL236rising+6%Oct 26, 2026 · open
MSFT211rising+18.1%Oct 26, 2026 · open
NOW29rising+35.2%Oct 26, 2026 · open
NVDA21rising+1.8%Oct 26, 2026 · open
P215rising+42.3%Oct 26, 2026 · open
TOST210rising+8.8%Oct 26, 2026 · open
TSM22rising+1.3%Oct 26, 2026 · open
VEEV210rising+46.1%Oct 26, 2026 · open
VLO269rising+35.9%Oct 26, 2026 · open
XLE217rising+16.7%Oct 26, 2026 · open
AMZN33rising-2.2%Oct 26, 2026 · open
ASML33rising-5.3%Oct 26, 2026 · open
AVGO311rising-13.7%Oct 26, 2026 · open
CRDO33rising-26.4%Oct 26, 2026 · open
GOOGL33rising-9.9%Oct 26, 2026 · open
QCOM34rising-1.1%Oct 26, 2026 · open
RDDT33rising-13.8%Oct 26, 2026 · open
SMH33rising-4.3%Oct 26, 2026 · open
APP416falling-34.7%Oct 26, 2026 · open
NFLX46falling-18.8%Oct 26, 2026 · open
TLT48falling-1%Oct 26, 2026 · open
UBER45falling-8.8%Oct 26, 2026 · open
XLU47falling-2.4%Oct 26, 2026 · open
ECOunknownno stored prices
EWYunknownstale: newest stored close is 2026-10-02; the latest session is 2026-10-26
RVIunknownno stored prices
SCHGunknownno stored prices
SOXXunknownno stored prices
SPHYunknownno stored prices
VGTunknownno stored prices
VHTunknownno stored prices
VOOunknownno stored prices
VTunknownno stored prices
VXUSunknownno stored prices
XBIunknownstale: newest stored close is 2026-10-02; the latest session is 2026-10-26

Base rate

2

S&P 500 and Nasdaq both down 15% within 12 months

calculated
19.5%90% cycle interval 15.9 to 24.1%
Scored
Jan 7, 1955 to Oct 24, 2025
Weeks
3,695
Cycles
12
FMP historical-price-eod/light ^GSPC; FMP historical-price-eod/light ^IXIC

S&P 500 and Nasdaq both down 20% within 12 months

calculated
11.5%90% cycle interval 7.4 to 15.9%
Scored
Jan 7, 1955 to Oct 24, 2025
Weeks
3,695
Cycles
12
FMP historical-price-eod/light ^GSPC; FMP historical-price-eod/light ^IXIC

Suggestive rules

3

10-year minus 3-month yield inverted in the past 12 months

suggestive
Off
FRED GS10; FRED TB3MS

S&P 500 below its 200-day average

suggestive
Off
FMP historical-price-eod/light ^GSPC

S&P 500 in stage 3 or 4

suggestive
Off
FMP historical-price-eod/light ^GSPC