Monday Prep
7:30 AM – Monday Morning Bundle (5 separate mini-articles, published as one scroll)
A. Market Digest – Overnight U.S. Equity Relevant Only
• Futures mark-to-market: ES, NQ, RTY, VIX futures 03:00–07:00 ET 1-min candlesticks → table of high / low / 07:00 mark vs Friday 16:00 settle.
• Dark-pool pre-print: 06:30 ET aggregate DP volume vs 20-day average (FINRA TRF / CAES).
• ETF creations / redemptions: iNAV vs last-close premium for SPY, QQQ, IWM, XLF, XLK, XLE (Bloomberg CEFL function) – flag anything > ±30 bps.
• Macro surprise index: Citi US ECO surprise 5-day change, 2-yr vs 10-yr Treasury net-change, DXY 5-day percentile rank.
• Single-sentence “why it matters” for each bullet; 250-word max.
B. Market Movers – Pre-Market Gap Scanner
• Universe: S&P 1500 + liquid ETFs > 500 K average daily shares.
• Filters: (i) pre-market quote ≥ ±3 % vs Friday close, (ii) volume ≥ 75 % of 20-day ADV at 07:25 ET.
• Output table: ticker, gap %, volume %, implied vol change (ATM straddle Friday mid vs 07:25 mid), catalyst headline, next numerical catalyst (earnings / FDA / court date).
• Add a “gap-fill probability” column using SEQH 5-factor pre-market model (float, short-interest, earnings proximity, sector beta, prior Friday close location vs 20-day range).
C. Market Watch – Sector Alert Cards
• 11 GICS sectors: pull Friday’s sector ETF (XLY, XLP, etc.) 14-day RSI, 5-day money-flow, % above 20-day MA, and new 20-day high/low count.
• Flag any sector with RSI cross > 70 or < 30 AND money-flow delta > ±1 σ.
• One 75-word paragraph per flagged sector: technical level to watch first 30 min, options flow (OCC put/call 1-day change), and single stock inside that sector most correlated to the move (60-day beta).
D. Weekly Catalyst & Macro Calendar
• Earnings: next 5 trading days’ pre-announcements likely (Zacks Earnings Surprise Model > 2.0 or < –2.0).
• Analyst days / shareholder meetings / FDA PDUFA / court rulings scanned via Bloomberg CACT and FDA calendar.
• Macro: ISM, PMI, JOLTS, PCE, Fed speakers – include consensus, whisper (if any), prior, and equity-sector most sensitive (historical beta last 5 releases).
• Deliver as sortable table + 1 heat-map “day-of-week risk score” (0–5 scale).
E. Portfolio App Snapshot
• Pull Friday night NAV for both model portfolios (Value & Growth) and benchmark (SPY).
• Display: MTD, QTD, 1-yr Sharpe, max-drawdown, batting average (hit-rate), win/loss ratio, turnover.
• Graphical: 3-panel chart – (i) equity curve vs SPY, (ii) rolling 20-day beta, (iii) factor exposure bar (Axioma US4 factors).
• 100-word commentary on largest tracking-error contributor last week.
10:00 AM – Market Open Sector Outlook (live post, updated until 10:30)
Real-time sector rotation
• Calculate 09:30–10:00 ET cumulative market-cap weighted return for each of 11 sectors vs SPY.
• Rank best-to-worst; compute z-score vs 20-day average 30-min opening performance.
• Overlay XL-series ETF implied-vol change (0DTE options) – flag if vol ↑ > 5 % while sector ↑ > 0.5 % (possible call-gamma squeeze).Early momentum indicators
• NYSE TICK 09:30–10:00 cumulative, index of stocks > 20-day volume at 10:00, % of SPX members above VWAP.
• Record high/low breadth: new 30-min highs vs lows for SPX.
• Single paragraph: “Risk-on / risk-off verdict” based on above plus 10-yr yield move and USD/JPY.Key level monitoring
• Publish 11 sector ETF “three-star” levels: (a) Friday high/low, (b) pre-market future implied open, (c) 20-day SMA.
• Annotated 5-min candlestick chart for each sector with volume profile (TPO) on the right.
• Auto-draw red/green dots where price = 1 σ move from Friday close – gives readers instant visual of which sectors are already outside “normal” range.
1:00 PM – Mid-Day Check-In
A. Top movers with fundamental context
• Scan 09:30–12:30 ET top 30 performers and bottom 30 in SPX.
• Pull latest FactSet estimate revisions (30-day delta), short-interest %, and days-to-cover.
• Write 3-sentence “why” for each name: catalyst headline, quant score change, options flow anecdote.
B. Breaking news impact assessment
• Use Benzinga Pro & TradeTheNews timestamps; match vs 5-min stock return.
• Run event-study: cumulative abnormal return (CAR) from t-5 min to t+30 min vs sector ETF.
• Flag if |CAR| > 2 % and p-value < 0.05 – publish table with ticker, headline snippet, CAR, and expected follow-through (based on 1-day post-event hit-rate last 2 yrs).
C. Live Sector Heatmap
• 12:00 ET snapshot: sector ETF intraday return, vs 09:30 open, vs prior close.
• Heatmap color scale: ±1 % = light, ±2 % = medium, > ±3 % = dark.
• Embed 2-panel chart: (i) heatmap, (ii) 5-day relative strength vs SPY to show if move is extension or reversal.
2:00 PM – Portfolio Rebalancing Note (subscriber-only, actionable)
Value Portfolio
• Screen: Russell 1000 Value, P/E < 75th %ile 10-yr history, EV/EBITDA < sector median, FCF yield > 2-yr Treasury + 300 bps, SEQH quality score ≥ 6/10.
• Triggers: upgrade/downgrade from S&P / Moody’s, estimate revision > 5 %, short-interest drop > 1 %, technical break > 200-DMA on 1.5× volume.
• Output: table with action (add / trim / exit), ticker, weight, price limit, stop, thesis in 40 words.
Growth Portfolio
• Quant model: 12-factor (sales growth, EPS revision, price momentum, RSIs, options gamma, insider buying, etc.) re-ranks every weekend; trade only if z-score move > 1 σ or risk-adjusted signal > 2.
• Today’s note shows any position size change ≥ 50 bps, reason code, and expected slippage (VWAP model).
• Include “tail hedge” update – if net-beta > 1.15 add QQQ put or reduce exposure.
3:30 PM – Closing Bell Analysis
Mid-day recap with volume analysis
• Compare 09:30–15:30 cumulative volume to 20-day same-interval average; flag SPX, RTY, NQ.
• Volume profile split: off-exchange %, block print count > $25 m, dark-pool VWAP deviation.
• Conclude: “volume conviction” score 1–5; 5 = >120 % ADV + upward price.News recap with market impact
• Same methodology as 1:00 PM but extended to 15:30; add sector ETF return next to each headline row.Leaders / losers into close
• SPX constituents: sort on 15:30 price vs 09:30 open; show top-10 / bottom-10.
• Technical levels: last price vs 20-DMA, vs 5-day high/low, 14-day RSI, 0DTE option gamma flip level (SpotGamma “zero gamma” strike).
• Add “overnight gap risk” sentence: expected move straddle ÷ prior close.
5:00 PM – Evening Wrap-Up
A. Weekly Company Analysis Schedule preview
• Table: day, time, ticker, event (earnings, analyst day, FDA), what we’re watching (margin guidance, subscriber adds, well data, etc.).
• Highlight 3 “must-own” volatility stories where 1-day straddle is pricing > 6 % move.
B. Comprehensive daily summary
• 400-word narrative: macro driver, sector winner/loser, style-box performance (large vs small, value vs growth), factor performance (Axioma), options flow (0DTE notional), crypto correlation.
• One “Chart of the Day” – always a scatter that tells the story (e.g., today: 2-yr yield change vs Russell 2000 return).
C. Next-day setup
• Macro catalysts due overnight (Asia PMI, European CPI), S&P 500 fair-value adjustment based on overnight future, key technical levels (SPX, QQQ, IWM), VIX futures contango, and expected 09:30 gap.
• Deliver single number: “implied 1-day range” from ATM straddle + overnight future move.
8:00 PM – Application Analysis (data-driven, quantitative)
ETF Forecasting – top-5 / bottom-5 expected next-day return
• Model: random-forest, 50 features (flow, momentum, IV, rate change, USD, commodity beta, tax-day calendar, day-of-week dummy).
• Training window: 2016-present, rolling 252-day walk-forward.
• Output: predicted 1-day return, 95 % confidence interval, key driver (feature importance).
• Publish table + one sentence risk: “XLF most sensitive to 2-yr yield; model sees +28 bps if T-note future drops 8 ticks.”Mover Valuations – top-5 over- / under-valued U.S. stocks
• Proprietary DCF-lite: 3-stage, sales growth auto-regressed on PMI, terminal EBIT margin = best-fit 10-yr median, WACC from daily market-implied risk-premium model.
• Compare model price to last close; show upside %, confidence decile, and option market cost of hedge (1-month 25-delta put).
• Add “catalyst to close gap” line (earnings date, FDA, court ruling).
See everyone in the morning!