Market snapshot
In brief
The story
The move. Healthcare beat the S&P by 3.6% in a single session, a 3.1σ move and the third-best day for the sector since 2020, on a day the index fell 1.08% to 7,720.97 and the VIX rose 10.5% to 16.87. Consumer Defensive is 6.9% ahead of the S&P on the week, its ninth-best five-session run since 2020.
The books. High beta's long-short spread lost 10.4% against the S&P on the week, a 2.7σ move and the worst five sessions in a year. Technology took 4.42pp of that; Coherent fell 21%, Supermicro 20% and Ciena 19%, all in the long leg. Momentum's long book trailed by 3.7%, with Micron -16% and AMD -12%. Low volatility led by 4.4%, with Chevron +8%, Mastercard +6% and Coca-Cola +7%.
The baskets. Optical Interconnect is 17.8% behind the S&P on the week, the fifth-worst run since 2020 and session three of the move; AI Infrastructure Leaders is 11.2% behind and Defensives 4.7% ahead. On 60 sessions of relative daily returns, high beta's long book and AI Infrastructure Leaders sit at r=+0.93, versus r=+0.95 twenty sessions earlier on an overlapping window.
The tape. September CPI came in at 3.7% year on year against 3.6% expected, with core at 0.3% month on month versus 0.2%; Reuters reported Fed's Goolsbee called the data discouraging. The 10-year yield ended at 5.19%, down 2bp. The WSJ reported oil rose on a Saudi Aramco attack report and Hormuz shipping risks. 36% of the index is above its 50-day average. Thursday brings PPI, consensus 0.5%.
The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week
| Factor | 1D | 5D | 20D | YTD |
|---|---|---|---|---|
| S&P 500 (computed) absolute | -1.1% -1.5σ | -1.0% -0.8σ | +2.1% +0.3σ | +13.2% |
| Low volatility | +1.8% +1.9σ | +4.4% +2.1σ | -0.8% +0.0σ | -6.3% |
| Dividend yield | +1.6% +1.6σ | +3.7% +1.6σ | -3.2% -0.8σ | +1.4% |
| Size | +0.8% +0.9σ | +2.7% +1.4σ | -3.3% -0.9σ | -2.4% |
| Value | +1.2% +1.4σ | +2.7% +1.4σ | -3.8% -1.2σ | +2.1% |
| Quality | -0.2% -0.7σ | -0.5% -0.8σ | +1.1% +0.5σ | +5.4% |
| Momentum | -1.0% -1.1σ | -3.7% -2.0σ | -0.2% -0.4σ | +15.6% |
| High beta | -2.8% -2.3σ | -5.8% -2.3σ | -0.4% -0.4σ | +13.7% |
Also
- Inflation Rate 336.94 (336.65 expected)
- Inflation Rate YoY 3.7% (3.6% expected)
- Reported today: BAC missed (1.08 vs 1.1); BLK beat (15.93 vs 14.32); FAST beat (0.35 vs 0.3389) +3
- Memory & Storage basket -9.5% vs S&P over 20 sessions
- Homebuilders basket -7.8% vs S&P over 20 sessions
- Stock Market Pillars Are Wobbling as the Rally Faces Its Next Test — Barron's
- Oil Prices Rise as Traders Weigh Saudi Aramco Attack Report, Hormuz Shipping Risks — WSJ
Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.
Tomorrow · Oct 15
- Thursday: Producer Price Index MoM (Sep), consensus 0.5%.
- Thursday: Jobless Claims 4-Week Average (Oct/10), consensus 199K.
- Thursday: NY Empire State Manufacturing Index (Oct), consensus 10.3.
- Reporting Thursday: SCHW, IBKR, PLD, BNY and 4 more.
The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.