What each term is and how the mechanism behind it works, in the brief’s own usage. Reference, not a course: the entries describe measurements and the participants who act on them, and never say what to trade. Inside an edition the first occurrence of each term in a section links here.
Options and dealer positioning
dealer gamma also: net dealer gamma, net gamma
How much the options dealers’ hedges have to change as the price moves; its sign says whether their hedging damps a move or extends it.
Market makers who sell options to customers hedge them with the underlying. Gamma is how fast that hedge has to change as the price moves. Added up across every open contract, with an assumption about which side the dealers hold, it gives a net figure in dollars for each index fund.
When net dealer gamma is positive, dealers are long gamma: as the price rises they sell to stay hedged, as it falls they buy. Their hedging leans against the move and the day tends to stay inside its priced range. When it is negative, dealers are short gamma: they sell as prices fall and buy as they rise, so their hedging follows the move and carries it further.
The sign depends on a convention, dealers long calls and short puts, which is the usual assumption and not an observation. The brief says so wherever the figure appears.
short gamma also: long gamma, short-gamma, long-gamma
Dealers are short gamma when their hedging has to chase the price: selling into declines and buying into rallies, which extends moves in both directions.
Short gamma and long gamma describe the dealers’ position, not a reader’s. Long gamma dealers absorb moves: their hedging sells strength and buys weakness. Short gamma dealers amplify them: their hedging sells weakness and buys strength.
A market whose dealers are short gamma tends to move further than the walls alone would suggest, in whichever direction it is already going. That is why the brief reports the sign each morning beside the priced move.
Related: dealer gamma · gamma flip · Appears in: What options are pricing, and the levels that matter
gamma flip also: flip level, the flip
The price at which net dealer gamma changes sign: above it dealers’ hedging damps moves, below it the same hedging extends them.
Because gamma is concentrated near the strikes where open interest sits, the dealers’ net position changes as the price moves through those strikes. The flip is the estimated price where it crosses zero.
Some mornings no flip can be computed, because the open interest does not produce a clean crossing or the chain was not fully read. The brief then prints a dash and says the level is not measured rather than carrying forward an old one.
Related: dealer gamma · call wall · Appears in: What options are pricing, and the levels that matter
call wall also: put wall, the walls, walls
The strikes above and below spot with the most dealer gamma; price often slows near them because hedging flow there is heaviest.
The call wall is the strike above the current price where dealers hold the most gamma from calls; the put wall is the same below it from puts. Hedging flows are largest at those strikes, so a move arriving at a wall meets more opposing (or, when dealers are short gamma, less opposing) flow than elsewhere.
Walls move. They are recomputed from open interest each morning, and at a monthly expiry much of the open interest behind them settles, so the levels that governed one week can carry little weight into the next.
implied move also: priced move, priced range, implied range
The size of move option prices imply for the day, up or down: the at-the-money implied volatility of the nearest expiry scaled to one day.
±0.7% means options are priced for a typical day of about that size in either direction. It is a measure of the size the market is paying for, not its direction.
The brief prints it each morning for the index funds and for every company reporting, and each next morning says whether the session stayed inside it. A session outside the priced move in the direction of the week’s flow is a different kind of day from one that stays inside.
The volatility an option’s price implies for the underlying over its life; realised volatility is what the underlying then actually does.
Option prices contain an estimate of how much the underlying will move. Backing that estimate out of the price gives implied volatility, quoted as an annualised percentage. Realised volatility is measured afterwards from the actual closes.
The gap between the two is what protection costs over what it has recently been worth. The brief compares them in the Volatility section and in the Spreads Report.
How much the options market expects index members to move together, read from index option prices against the options on the members themselves.
If every stock moved together, an index option would cost about as much as the average of its members’ options. It usually costs less, because members partly offset one another. The size of that discount implies a correlation.
Low implied correlation means the market is priced for stocks to move on their own; a jump towards one means it is priced for them to move as a block, which is what happens in a sell-off. The reading needs the option chains of several hundred members, so after an outage it may be absent or rest on too few names to compare with the day before. The brief says which.
Implied volatility by expiry date: the price of protection for each horizon, read across the chain.
The brief charts at-the-money implied volatility for each listed expiry. A front expiry priced above the ones behind it is a market paying up for an event inside that window; a flat or rising curve is ordinary time premium.
Single bad quotes do appear in the chain. A point more than twice, or under half, both of its neighbours is left off the chart and named beneath it.
The extra implied volatility carried by the expiry that spans a scheduled event, over the expiries just after it.
When a release such as CPI falls inside an expiry’s window, options for that expiry are priced for the move the release might cause. The difference between that expiry’s implied volatility and the next one’s is the premium the market is paying for the event.
Once the event has passed the premium leaves the curve, usually within the session. The brief reports its size the morning of the event and its disappearance the morning after.
The number of option contracts outstanding at a strike and expiry; the day-on-day change shows where positions were opened or closed.
Volume says contracts traded; open interest says how many remain open afterwards. A rise means new positions were opened, a fall means positions were closed. Comparing each day’s open interest with the day before, strike by strike, shows where the new commitments went.
The brief reads SPY’s change each morning as calls opened above spot and puts opened below it, by an assumed convention that customers are the buyers. Open interest is published once a day, after the close, so the reading describes the previous session.
puts opened below spot also: puts opened below, calls opened above spot, calls opened above, bearish commitment
New put positions at strikes under the current price (or calls above it) in the latest open-interest change: where protection, or upside, was bought.
Counting the strikes where open interest rose, and which side of spot they sit, shows the shape of the previous day’s positioning: puts opened below spot are protection against a fall, calls opened above are commitments to a rise.
The reading assumes customers bought what was opened, which is the usual case and not always true. It says where positions were added, not whether the people adding them were right.
A name whose option open interest moved by several times its own norm in a day, listed with which side of spot the new positions sit.
Each name has a typical daily change in open interest. When a day’s change runs at three times that norm or more, the brief lists it with the split: calls above spot, puts below, and the rest.
A large put opening in one name before its report, or in a sector fund before a release, is positioning that will have to be unwound or exercised; the brief notes it the morning it appears and again when the event arrives.
The third Friday of the month, when the largest block of listed options settles and the open interest behind the week’s walls and gamma rolls off.
Most open interest sits in the monthly contracts. On the day they expire, the hedges dealers held against them are unwound and the walls and gamma computed from that open interest stop mattering at the close.
The brief treats expiry as a mechanical event: the levels that governed the week carry less weight into the next one, and the dealers’ net position can change sign over a weekend without any news.
Related: call wall · dealer gamma · open interest · Appears in: Scheduled, and what each can do; What options are pricing, and the levels that matter
0DTE also: zero-day options, same-day expiry
Options expiring the same day; their open interest is opened and settled within one session, so it shows up as commitments made and closed by the close.
Same-day options carry the largest gamma per contract, because there is no time left for the price to move away from the strike. The hedging they cause is concentrated in the session they trade.
In the open-interest record they appear as strikes opened and settled on the same date; the brief notes when the day’s largest moves were in those contracts rather than in longer-dated protection.
A price where an unusually large share of recent volume traded; price often pauses at these and moves quickly through the gaps between them.
The volume profile sorts recent trading by price rather than by time. The prices with the most volume are where the most positions were established, so they are where the most holders have a reason to act when price returns.
The brief prints the nearest nodes above and below spot beside the options levels. They come from a different mechanism than the walls, the held positions of stock holders rather than the hedges of option dealers, and the two often sit close together.
Related: call wall · spot · Appears in: What options are pricing, and the levels that matter
spot also: spot price
The current price of the underlying, against which every strike, wall and implied range is measured.
Before the open, spot is the last pre-market trade, which can differ from the previous close and from the opening print. The brief says which price it used and when it was read.
Related: call wall · implied move · Appears in: What options are pricing, and the levels that matter
pre-open chain also: pre-open quote, bad quote, wide pre-open quote
Option quotes read before the market opens; wide or stale, because options do not trade until 09:30, so a reading from them is a quote, not a price.
Options trade only in regular hours. Before the open the chain shows the previous session’s last quotes or the market makers’ early indications, which can be wide. An implied move computed from them can be far from where the day actually prices once trading begins.
The brief labels readings taken from the pre-open chain and leaves obviously bad quotes off its charts, naming them beneath.
Related: implied move · volatility surface · Appears in: What options are pricing, and the levels that matter; Volatility
VIX
The index of 30-day implied volatility on the S&P 500, published daily; the brief uses the official close, dated.
The VIX summarises what S&P 500 options are priced for over the next month. The brief carries the daily close from the published series, which lags live trading by a day, and compares it with realised volatility in the Spreads Report.
the curve also: yield curve, front end, long end, short end
Treasury yields by maturity. The front end (2-year) carries policy expectations; the long end (10- and 30-year) carries growth, inflation and supply.
Different maturities answer different questions. The 2-year moves on where the policy rate is expected to be; the 30-year moves on long-run growth, inflation and how much paper the Treasury must sell. Reading which end moved says what kind of news the market absorbed.
An inflation surprise that lifts the front end while the long end falls is read as a policy problem; a growth scare that pulls the long end down fastest is read differently, though the curve may flatten in both cases.
Related: 2s10s · bear steepener · real yield · Appears in: Macro state, as measured; Scheduled, and what each can do
2s10s also: 10s30s, curve spread
The 10-year yield minus the 2-year, in percentage points; the most-watched measure of the curve’s slope.
Positive means longer maturities yield more than shorter ones, the usual state. The spread widens (steepens) or narrows (flattens) as the two ends move at different speeds, and which end did the moving is the mechanism.
10s30s is the same measure between the 10- and 30-year, the part of the curve most sensitive to supply.
Names for how the curve changed shape and which end drove it: bear when yields rose, bull when they fell; steepener when the spread widened, flattener when it narrowed.
A bear steepener is long yields rising faster than short ones: the long end selling off, usually on supply or inflation premium. A bull flattener is long yields falling faster than short ones: the long end rallying, usually a growth scare. A bear flattener is the front end rising fastest, the shape of a policy repricing. A bull steepener is the front end falling fastest, the shape of expected cuts.
The brief holds these as conditions that fire from the published yields over a five-day window, and names which one is in force.
real yield also: real rate, breakeven, breakeven inflation, TIPS
The 10-year yield after expected inflation: the yield on inflation-protected Treasuries. The breakeven is the inflation rate that makes the two equal.
The nominal 10-year yield splits into a real yield and a breakeven inflation rate. The real yield is the return above inflation that the market demands; it is the rate that competes with gold, which pays nothing, and with long-duration equities.
When the real yield rises, gold and the longest-duration stocks tend to be sold first; the brief and the Spreads Report measure that relationship rather than assume it.
Related: the curve · duration · Appears in: Macro state, as measured
How much a price changes for a given change in yields. Long-duration assets, long bonds and growth stocks, move most when rates move.
Duration is the sensitivity of a price to the discount rate. A 30-year bond has far more of it than a 2-year note; a company whose earnings lie mostly in the future has more of it than one paying out now. That is why a move in the front end reaches the largest technology names first.
Convexity is how duration itself changes as yields move. Holders of mortgage securities hedge it by selling long bonds when yields rise, which can push yields further: the convexity selling the brief holds as a condition.
Related: real yield · the curve · Appears in: Macro state, as measured; Breadth and dispersion
basis points also: bps, percentage points, pp
A basis point is one hundredth of a percent. A percentage point (pp) is a full percent; the brief uses pp for the difference between two rates.
A yield moving from 4.80% to 4.82% has moved 2 basis points. The gap between the 10-year at 5.21% and the 2-year at 4.79% is 0.42 percentage points. Using pp for differences avoids confusing a change in a rate with a change in a spread.
Related: 2s10s · Appears in: Macro state, as measured
SOFR against interest on reserves also: SOFR, interest on reserves, IORB, funding
The overnight secured lending rate against the rate banks earn on reserves at the central bank; the gap says how scarce reserves are.
When reserves are abundant, banks lend overnight below what the central bank pays them. As reserves drain, the overnight rate rises towards and then above the reserve rate. The brief carries the spread in basis points, dated.
Related: net liquidity · Appears in: Macro state, as measured
net liquidity
The central bank’s balance sheet less the Treasury’s account and the reverse-repo facility: the reserves actually available to the banking system.
Not all of the central bank’s assets fund bank reserves; some are offset by cash the Treasury holds and by money parked in the reverse-repo facility. Subtracting those gives the liquidity the system can use, and its four-week change is what the brief reports.
The 30-year mortgage rate less the 10-year Treasury yield: what the housing market pays over the risk-free rate.
The brief holds mortgage financing tightening as a condition that fires on the weekly survey rate. The spread, carried in the Spreads Report, separates the part of the mortgage rate that is Treasury yields from the part that is the market’s charge for mortgage risk.
The extra yield investors demand to hold below-investment-grade bonds over Treasuries, in percentage points; the market’s price for default risk.
A spread of 3.1% means the average high-yield bond pays 3.1 points more than a Treasury of the same maturity. It widens when lenders want more for the same risk, which usually comes with falling stocks and before weaker earnings, and narrows when risk is cheap.
The series the brief uses is option-adjusted, which strips out the value of the call options embedded in most corporate bonds so the spread measures credit alone. It is published daily and dated.
The lowest rating tier still trading as a market: the bonds of the borrowers most likely to default, whose spread moves first when credit tightens.
High yield is not one market. Its BB tier behaves almost like investment grade; its CCC tier is where default risk is priced day to day. CCC spreads can widen while the broad high-yield index tightens, which means the weak end is being repriced on its own.
The brief holds a condition that fires when CCC spreads have widened over 20 sessions faster than nearly all of their own history. Collateralised loan obligations may hold only a limited share of CCC-rated collateral, so downgrades into CCC can force them to sell into the same market.
A collateralised loan obligation: a vehicle that holds leveraged loans and sells tranches of them, bound by rules on how much low-rated collateral it may hold.
CLOs are large holders of leveraged loans. Their rules cap the share of CCC-rated collateral, so when loans are downgraded into CCC the vehicle must sell or fail its tests. That turns a ratings move into forced selling.
Private credit is the same lending done outside public markets, by funds rather than banks. Its stress is harder to see directly; the brief reads it through the listed managers’ shares and options and through the loan funds.
A condition the brief holds when high-yield spreads have widened materially over their recent run: lenders are charging more for the same risk.
The condition fires from the published spread series and stays in force while the widening holds. It is read beside the equity readings: credit widening while stocks rise is a disagreement between the two markets that the brief notes.
The weekly report of who holds futures: leveraged funds (hedge funds and CTAs), asset managers (pensions and funds), dealers and others, as of each Tuesday.
The report splits open interest in each futures contract by type of holder and shows the week’s change. Leveraged funds are the fast money; asset managers the slow; dealers the intermediaries. When leveraged funds sell what asset managers buy, the position has moved from weak hands to strong, or the reverse.
It is published on Fridays for the Tuesday before, so the brief’s positioning table is always at least three days old and says so. Over a holiday it can be older.
Leveraged funds short Treasury futures against long cash bonds, capturing the small gap between them with borrowed money; its size is estimated from the CFTC report.
The trade is large, leveraged and crowded, and it unwinds when funding or volatility moves against it, which is when it matters to everyone else. The brief estimates its share of Treasury futures open interest, in 10-year equivalents, and labels the conversion weights as modelled.
short interest also: days to cover, crowded short, crowded shorts, short-sale share
Shares sold short and not yet bought back, reported twice a month; days to cover is that figure divided by average daily volume.
A crowded short is a name whose short interest is large against its float and its volume. When such a name rises, the shorts must buy to limit losses, which pushes it further: the squeeze. The brief lists the most crowded names and what they did each session.
The short-sale share of volume, published daily, is a faster but noisier read: the share of a day’s trades that were short sales, against the name’s own average.
The dollar-weighted move of the names traded since the close, grouped by sector: where pre-market money is going, weighted by how much of it there is.
A sector’s tilt is its traded names’ moves weighted by the dollars traded in each, so one heavy name counts for more than ten thin ones. It is read against the sector funds themselves, which trade little before the open.
pre-market also: before the open, overnight, since the close
Trading between the previous close and 09:30 ET, on a small fraction of a normal day’s volume; the brief reports what has traded, not where the open will be.
US stocks trade from 04:00 ET, thinly. A move before the open is the adjustment of the holders who chose to act early, at prices set by few trades. The brief gives each move with the dollars traded and the share of a normal day that represents, so a 5% move on 1% of normal volume is read as what it is.
The session can finish on the other side of unchanged from its pre-market print, which the review section measures the next morning.
thin market also: share of a normal day, share of a full day, dollars traded, value traded
A price set by few trades. The brief prints each move with the dollar value traded and what share of a normal day that is, so size can be judged.
The same percentage move means different things on 0.5% of a day’s volume and on 10%. The first is a few holders adjusting; the second is a position being moved. The share figure compares the value traded so far with the whole of the previous session.
futures and settlement also: futures, e-mini, settlement, prior settlement
The official daily closing price of a futures contract, against which the brief measures overnight futures moves; stocks and funds are measured against the prior close.
Futures trade almost around the clock, so their overnight change is taken from the previous settlement rather than from a close. When a settlement has not been published, the brief says which earlier one it used and that the change spans more than one session.
The e-mini contracts (S&P 500, Nasdaq 100, Russell 2000, Dow) are the index futures the brief reports; the Treasury contracts (2-year, 10-year, 30-year) give a live read on rates when the cash market is shut.
breadth also: advance-decline, advances and declines
How many names take part in a move: the count of stocks rising against falling, and how the equal-weighted index does against the cap-weighted one.
An index can rise on a handful of large names while most of its members fall. Breadth measures the difference: the advance-decline count across the universe, new highs against new lows, and the equal-weighted index against the cap-weighted one.
Narrow breadth is a market carried by few; a reversal in those few reaches the index immediately. Broad breadth is a market where the index and the typical stock agree.
cap-weight against equal-weight also: cap-weight, equal-weight, equal-weighted, cap-weighted
The S&P 500 weighted by company size against the same 500 names weighted equally; the gap between them is the contribution of the largest names.
When the cap-weighted index outruns the equal-weighted one, the largest companies are doing the work. When the equal-weighted index leads, the average stock is. A week in which the index falls and the equal-weighted index rises is a concentration unwind: the leaders giving back while the rest hold.
How much of the index sits in its largest names, measured by the top-ten weight index (HHI) and by the seven largest technology companies against the rest.
The HHI sums the squared weights of the top ten names; a higher figure means more of the index in fewer companies. The brief also tracks the seven largest technology companies’ return against everything else over 20 sessions. When that gap narrows quickly the leadership is being sold.
How far apart sectors or factors finish from one another; high dispersion is a market choosing between groups, low dispersion is one moving as a block.
The brief measures the spread of 20-session returns across the eleven sector funds and across six factors. It is read with implied correlation: a market priced for its names to move apart, and then doing so, is a different one from a market where everything moves together.
A futures contract with no expiry, kept close to the spot price by a funding payment between longs and shorts every few hours.
Most crypto leverage sits in perpetual futures on offshore exchanges. Because the contract never expires, nothing forces its price back to spot at a settlement date; the funding payment does that job instead. When the perpetual trades above spot, longs pay shorts; below, shorts pay longs.
Open interest in perpetuals is the amount of borrowed exposure in the market. When price moves against a crowded side, exchanges close those positions automatically, and the forced orders extend the move.
The payment between longs and shorts on a perpetual future, shown annualised; above the exchange’s built-in 10.95% a year, longs are paying a premium for leverage.
Binance and Hyperliquid both build an interest component of 0.01% per eight hours into funding, 10.95% a year. With no premium either way, funding sits exactly there. Above it, the perpetual trades over spot and longs pay for the privilege of holding leverage. Below it, the premium has turned toward shorts.
Hyperliquid pays funding every hour and Binance every eight hours, so raw rates are not comparable until both are annualised. The crypto brief always shows the annualised figure.
CME premium also: futures premium, premium to spot
How far a CME bitcoin future settled above spot at the same minute, annualised over the days to its expiry.
A future above spot pays whoever buys spot and sells the future: they collect the gap as the contract converges at expiry. Annualising it makes contracts of different lengths comparable, and comparable with interest rates.
A contract in its last weeks is being rolled out of, and its premium annualised over a few days swings on a few dollars, so the crypto brief reads the first contract with at least 20 days left. Months that barely trade settle at the exchange’s mark rather than at a trade.
Buying spot bitcoin, usually through a fund, and selling CME futures against it to earn the premium; what it pays is the premium less the cost of financing.
The position has no view on price. Its profit is the futures premium, and its cost is the money borrowed to hold it, roughly SOFR. When the premium falls below that cost, the trade stops paying and is closed: the fund shares are sold and the futures bought back.
That is why fund flows can mislead. Inflows that arrive with new CME shorts from leveraged funds are partly carry; outflows as those shorts shrink are partly carry closing, with no change in anyone’s opinion of bitcoin.
creations and redemptions also: creations, redemptions, share count
A spot bitcoin fund issues new shares when buyers bring cash and cancels them when holders leave; the change in its share count, times its net asset value, is the day’s flow in dollars.
Trading a fund’s shares between investors moves no money into or out of bitcoin. Only creations and redemptions do, because the fund buys or sells bitcoin to match them. The crypto brief reads IBIT’s share count from the sponsor each day and keeps its own record, so the daily figure exists from the second edition on.
Related: carry trade · Appears in: Prime Crypto Brief: Who is holding the position
The dollar tokens in circulation inside the crypto system; minted when dollars come in and burned when they leave.
Stablecoins are the cash balance of the crypto market. A rising supply is new money that has arrived and can be spent on coins; a falling supply is money that has left. USDT (tether) is used mostly offshore; USDC is issued in the US.
Bitcoin’s price on Coinbase in dollars against Binance in tether; positive means US buyers are paying up, negative means the US side is selling.
Coinbase is where US institutions and many US retail buyers trade; Binance is the largest offshore venue. The gap shows which side is doing the buying. Tether trades close to a dollar but not exactly at one, so readings of a few hundredths of a percent are noise.
Related: stablecoin supply · Appears in: Prime Crypto Brief: Money arriving and leaving
DVOL also: implied volatility index
Deribit’s 30-day implied volatility index for bitcoin or ether, the crypto counterpart of the VIX.
DVOL is built from Deribit option prices the way the VIX is built from S&P 500 options. A reading of 40 means options are priced for an annualised move of about 40%, roughly 2% on a typical day. The crypto brief shows it against realised volatility over the past 30 days.
Related: implied volatility · VIX · Appears in: Prime Crypto Brief: What options are pricing
skew also: 25-delta skew, risk reversal
The implied volatility of an out-of-the-money call minus that of an equally distant put; negative means protection costs more than upside.
The crypto brief compares the 25-delta call and put, options with about a one-in-four chance of finishing in the money. When puts carry the higher volatility, buyers are paying for protection against a fall; when calls do, they are paying for upside.
Related: DVOL · implied volatility · Appears in: Prime Crypto Brief: What options are pricing
max pain
The settlement price at which the holders of an expiry’s options would collect the least; a property of the open contracts, not a forecast.
Max pain is computed from open interest at every strike. Traders watch it on large expiries; the crypto brief lists it for that reason and draws no conclusion from it.
Related: open interest · Appears in: Prime Crypto Brief: What options are pricing
risk ladder also: rungs, rung
Markets in order from the safest to the most speculative: Treasuries, investment-grade credit, high yield, the lowest-rated credit, small caps, unprofitable growth, then bitcoin.
Risk appetite tends to be withdrawn from the far end of the ladder first. The crypto brief shows each rung’s move over the same weeks, so a reader can see which rungs are losing buyers and where crypto sits among them.
Related: CCC · high-yield spread · Appears in: Prime Crypto Brief: The outside channels
The brief’s own vocabulary
condition also: conditions in force, held condition, fired, refired
A named market state the model holds as in force, fired by a measured reading crossing a declared threshold and held until its window ends or the reading reverses.
Each condition has a declared trigger: a spread widening faster than its own history, a curve shape over five days, a company event typed from a filing. When the trigger is met the condition fires, with a magnitude, and is held for a set window. Some are re-checked daily and refire if still true.
The brief lists the conditions in force each morning with the date each fired and the feed it fired from. They are the inputs to everything else: a condition names what is happening; the transmission and positioning readings say who it reaches and how.
The chain from a condition to a price: which participant acts, through which instrument, and what accelerates or absorbs the move.
The brief does not say a reading is bullish or bearish. It says which participant a reading forces to act, through what, and at what speed: a CPI surprise reaches the 2-year first, then the longest-duration stocks; a CCC downgrade forces CLOs to sell; a dealer short gamma sells as prices fall. That chain is the mechanism, and the "Why this matters" note under each section states the one in force that day.
The model’s summary of which kind of market it is in, as weights across five states: Calm, Pathological Calm, Transition, Event-gated and Storm.
The regime reading combines volatility, breadth, fragility and event proximity into weights that sum to one. Transition is a market between settled states, where neither the trending nor the mean-reverting description fits well. Event-gated is a market waiting on a scheduled release: the weight rises into CPI or payrolls and falls to zero once the print is out. Storm is a market in forced deleveraging.
When one of the model’s inputs is unavailable, the reading says so and the brief treats it as less reliable that morning.
Related: condition · Appears in: Macro state, as measured
typed cause also: cause on file, typed event, 8-K, filing
A company event the model has read from a filing, a report or a headline and classified: a guidance change, a contract award, a regulatory action, a dividend change.
Every large pre-market move is checked against what is on file for that company: 8-K filings from EDGAR, earnings reports, and headlines classified into event types. A move with a typed cause is a repricing of that company. A move without one is flow, and when a group of related names moves without a cause the group, not the company, is what is being repriced.
The model also types a session itself when a company’s move exceeds what its exposures explain: a repriced-higher or repriced-lower event, which then counts as a cause the next morning.
Related: condition · peer group · Appears in: Company causes; Before the open
peer group also: peer-group repricing, group reprice, residual
A declared set of related companies; when at least half of them fall a full day’s typical range together, the model reads the group as being repriced on something shared.
Memory chips, storage, AI infrastructure, regional banks: each is a declared peer group. The reading fires when most of a group moves together by more than a typical day, on normal or heavier volume, which separates an industry repricing from one company’s news.
A residual is the part of a company’s move left after its market and sector exposure are removed: the part that is about the company.
directional reading also: days horizon, weeks horizon, desk floor, no direction
A name the model finds under measurable directional pressure at a given horizon (days or weeks); the brief reports how many, never which.
Each scan evaluates every name in the universe and sorts it into: a directional reading, no direction, no usable estimate, or below the desk floor, which is the minimum size and liquidity for the reading to matter. The counts are reported in the Breadth section as a measure of how much the model can read in the morning’s tape.
A wide board after days of one-way flow and a thin board after a reversal are both information about the market’s state. The brief does not publish the names; it is not a list of trades.
Related: condition · Appears in: Breadth and dispersion; Sector flow
The model’s summary readings of stress in the system: leverage concentration, forced-actor pressure, credit pressure and a cascade probability. Model readings, not events.
These are composites of the conditions and flows in force, scaled between zero and one. Leverage concentration rises when a crowded, leveraged position is being unwound; forced-actor pressure when participants are acting because they must rather than because they choose to. The cascade probability is the model’s estimate that one forced move triggers another.
The brief reports them when they change materially and always labels them as model readings.
Where the regime components place the credit cycle, read through interest rates, credit and the stages of production; a description of the present state, not a forecast.
The brief reads the cycle in the Austrian sense: cheap credit lengthens the structure of production toward long-dated, capital-intensive projects, and when the price of time rises the marginal borrower is shut out and those higher-order stages reprice first. The phase names which part of that sequence the measured components describe together.
The phase is built from the components and changes when they change. It says what state the cycle is in now; it does not say how long the state lasts or what comes next.
The interest rate as the cost of waiting: the level and monthly change of short and long Treasury yields and the gap between the 10-year and the policy rate, each against its own history.
Long-dated projects are worth less when money costs more to borrow over time. The component reads where the 2-year and 10-year yields and the term spread sit against their own year, and how fast they are moving. Elevated means the price of time is high for its year.
How much more the weakest borrowers pay than the stronger high-yield ones (CCC against BB spreads); when it steepens, the marginal borrower is being shut out first.
Credit is withdrawn from the edge inward. The gradient between CCC and BB spreads shows that before the high-yield average does, because the weakest names reprice while the rest hold. The component reads its level and monthly change against its own history.
The capital-goods end of the economy (semiconductors, industrials, materials) measured against the consumer end (staples, health care); when it falls behind, the long projects are being repriced.
In the Austrian reading, the stages furthest from the consumer are the most sensitive to the price of time and the first to be cut when credit tightens. The component compares a basket of those stages with a basket of consumer stages over a month, against its own history.
the three mover figures also: move when listed, from that price to the close, session, close to close, continued
For each pre-market mover the review carries three numbers: the move when listed, the move from that listed price to the close, and the session close to close.
They answer different questions. The move when listed is the pre-market change against the prior close. The move from that price to the close is what happened after the listing. The session is the compound of the two: where the stock finished against the prior close.
"Continued" means the second figure had the same sign as the first. A name can continue from its pre-market print and still finish the session the other side of unchanged, or reverse from its print and still close lower. The chart shows all three; the text says which one it quotes.
delayed quotes also: 15 minutes delayed, delayed about 15 minutes
The vendor’s futures, fund and option quotes reach the brief about fifteen minutes after the trade; the masthead says when each reading was taken.
Every figure in the brief carries the time it was read. A pre-market reading taken at 07:30 ET reflects trades to about 07:15. Official series such as Treasury yields lag by a day and are dated.
Related: not measured · Appears in: Before the open
not measured also: absent, unavailable, could not be computed
A reading the brief could not take this edition, shown as a dash and named, rather than filled with an old value or an estimate.
Readings go missing: an option chain not read, a flip that does not resolve, a feed down overnight. The brief prints "not measured" and, where it matters, says what that leaves unknown. The "Why this matters" notes may not describe an absent reading as if it were there.
Related: delayed quotes · Appears in: What options are pricing, and the levels that matter; Volatility
68 entries · updated 2026-10-21 · reviewed by Myriad Labs Market Research · general information, not investment advice