| | FRIDAY 6 NOVEMBER 2026 · LONDON 07:30 | |
| | | FOR PROFESSIONAL INVESTORS ONLY GLOBAL MARKETS / CROSS-ASSET Nasdaq 100’s worst day since March 2020 puts payrolls in focusSelling in AI-linked stocks widened on Thursday, taking the S&P 500 −4.36% to 7,353.73 and the Nasdaq 100 −6.36%, while the PHLX Semiconductor Index fell −12.25%. Selling was broad: only 73 of the S&P 500's 502 constituents advanced, and the equal-weight index, which counts every stock equally, fell −2.89%. All 11 sectors declined, led by information technology at −7.3%. Chipmakers led Asia lower again on Friday. Seoul's Kospi closed −6.02% at 5,059.69 after trading was halted early in the session, and authorities relaxed margin rules to ease forced selling. The Nikkei 225 closed −5.96% and Taiwan's main index −4.51%, with TSMC limit-down at the open. The Shanghai Composite closed −1.19%. Hong Kong's Hang Seng was −1.01% in afternoon trade. In Asian trading hours, Nasdaq 100 futures were +0.78% and Dow futures −0.92%, while S&P 500 futures were little changed. January Brent was +1.35% at $99.62/bbl early on Friday after the president said a decision on Iran was coming, leaving it +2.08% over the past month. After the US close, Cloudflare rose +15.0% and Airbnb +10.8% after results above forecasts, while Atlassian fell −17.6% despite beating them. The October US payrolls report is due today, with consensus at +65,000 jobs and an unemployment rate of 4.2%, offering a read on the labour market after this week's equity sell-off. Options imply moves of ~±2.51% for SPY and ~±4.10% for QQQ through the 10 November expiry. Libella Insights • 6-minute read | THE DAY IN NUMBERS MARKETS −4.36% S&P 500, 5 Nov close | −6.36% Nasdaq 100, 5 Nov close | 4.84% UST10 Yield, 5 Nov close | +3.88% Brent (Jan), 5 Nov close $98.29 |
LIBELLA AI BASKETS (5 DAY) −19.9% Median of 47 baskets, 5D | 4 / 47 AI baskets positive, 5D | +2.12% Best verified basket: Europe AI Software | −36.94% Worst: AI US Optical & Fiber Infrastructure |
| AI / MARKETS: The AI sell-off reaches the largest US companies, wiping about $2.5tn off the Nasdaq Composite, press reports say. Nvidia closed −9.26%, entering a bear market, and AMD −17.26% despite raising its outlook earlier in the week; the Nasdaq Composite ended more than 10% below its 6 October closing high and below its 200-day moving average. AI / IPO: Potential investors question whether Anthropic can start its IPO roadshow next week. The listing had been planned for November; the doubts, reported on Thursday, follow the sell-off in AI shares. The company's filing sets out large multi-year compute commitments. CREDIT: The cost of insuring SoftBank's debt against default rose to a four-year high in Asian trading. Credit for AI-linked borrowers is being watched for signs of tighter funding. Apple, by contrast, sold about $7bn of investment-grade bonds on Thursday against about $31bn of orders. REPORTED: Texas's governor-elect wants a pause on new data-centre permits until rules are in place, according to CNN. The pause would cover new permits, not approved projects. Libella could not confirm the statement from a primary source before publication; she had called for a moratorium during the campaign. OIL / IRAN: The president says a decision on Iran is coming and does not rule out further strikes. He said he would rather not destroy the rest of the country “if possible”. Brent recovered part of Wednesday's slide on Thursday. US MACRO: Layoffs stay low and productivity jumps ahead of today's payrolls. Initial jobless claims fell to 189,000 vs 197,000 expected, the lowest since July; third-quarter productivity rose +3.6% vs +3.1% expected and unit labour costs fell −0.7%. FED: Two Fed officials keep further rate rises in view. Richmond Fed President Barkin expects gradual increases, and Cleveland Fed President Hammack said policy needs to become restrictive; Williams, Musalem and Bowman speak today. |
| | 1 | THE BIG STORY | Back to top ↑ | | The AI sell-off reaches the megacaps, and the average stock holds up better |
Thursday was the worst session for the S&P 500 and the Dow since April 2025, and the selling was no longer confined to build-out suppliers. Nvidia lost −9.26%, AMD −17.26% and Arm −13.08%; Tesla fell −10.77%, and the Vanguard Mega Cap Growth ETF −5.8%. Industrials lost −4.1% as data-centre construction names were sold again, and the Roundhill Neocloud ETF fell −12.3% to another record low. Exhibit 1b updates the usual post-midterm range from our 5 November report. Three sessions after the last close before Election Day, the S&P 500 is −2.49%, below the weakest of the 19 midterm years since 1950 at the same point (−2.22%) and the 10th percentile (−0.66%). History still leans towards recovery: after one-day falls of 4% or more since 1950, the index was back above its prior close within three months in 27 of 29 cases, though the median path took about two months. Demand for near-term protection jumped. The VIX rose +11.57 points to 28.18 and closed above the three-month VIX at 25.55, so one-month S&P 500 options now carry more implied volatility than three-month options. Early on Friday bitcoin was about −6%, near $75,000, after gold rose +1.0% on Thursday. Today's payrolls and next week's planned Anthropic roadshow are the next tests of risk appetite.
| Exhibit 1: S&P 500 sectors, the S&P 500, the equal-weight S&P 500 and the SOX, one-session change on 5 Nov (%) | | Consumer staples | | −0.7% | | Utilities | | −0.7% | | Communication services | | −1.9% | | Health care | | −2.5% | | Materials | | −2.7% | | Financials | | −2.8% | | Energy | | −2.8% | | S&P 500 equal weight (RSP) | | −2.9% | | Consumer discretionary | | −3.7% | | Industrials | | −4.1% | | S&P 500 | | −4.4% | | Information technology | | −7.3% | | Semiconductors (SOX) | | −12.3% |
| | Source: Briefing.com (sectors, 5 Nov close; real estate not reported) · Libella data (S&P 500, SOX, RSP equal-weight ETF; YFDP) · Libella Insights. All 11 sectors fell. |
| Exhibit 1b: 2026 drops below the usual post-midterm range |  | | Read: shaded channel = 10th to 90th percentile of 19 midterms (1950–2022), green = average, dashed = median, gold = 2026; 0 = last close before Election Day (2 Nov 2026). Updated from the 5 Nov Post-Midterm report to the 5 Nov close. History, not a forecast. Source: S&P 500 daily closes (YFDP); Libella calculation. |
| LIBELLA VIEW | | Thursday took the S&P 500 below the 7,550 floor of our post-midterm range and below the previous 7,400 floor, the level we said would point to a 2018-style path. We are not yet calling a 2018 repeat: history favours a recovery after one-day falls of this size, and oil and Treasury yields have fallen since the vote. But the selling is now about AI earnings and funding, not politics, so we stay selective. We prefer cloud platforms with capacity already running, healthcare and consumer stocks, and would wait before adding to AI build-out suppliers. A bounce that recovers 7,550 with broader breadth would restore the range; a Fed rate rise on 9 December or a delayed Anthropic listing would argue for the 2018 template. |
| | | WHAT WOULD CHANGE OUR VIEW Thursday's relative performance was consistent with this preference: Cloud / Telecom fell −2.51% on the day against −11.32% for AI Data-Centre Buildout and −9.25% for AI Data-Centre Cooling / Thermal. We would become more positive on build-out suppliers if hyperscaler capital-expenditure guidance holds at the next results, if AI-related bond deals keep pricing without wider spreads, and if Texas and other large states set permitting rules short of moratoria. Wider credit spreads for AI borrowers, a delayed Anthropic listing or cuts to capex plans would argue for a more defensive stance. |
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| | 2 | INSIDE THE LIBELLA BASKETS | Back to top ↑ | | Four of 47 baskets rise over five sessions; optical and memory-controller baskets fall most |
Only four of 47 Libella AI baskets rose over the five sessions to 5 November, and the median fell −19.95% (Thursday's median −10.44%). Europe AI Software (+2.12% in US dollars) led the verified baskets, with Sage (+5.54%), Dassault Systèmes (+5.35%) and SAP (+4.15%) outweighing Nemetschek (−6.57%). Cloud / Telecom was flat (−0.03%) as Verizon, AT&T, Amazon and Microsoft offset Oracle (−17.48%). AI US Optical & Fiber Infrastructure fell −36.94%, led by Lumentum (−44.57%) and Applied Optoelectronics (−40.79%), and Edge Storage / Memory Controllers lost −33.57%. Exhibit 2: Libella AI baskets, five-session return (%) | Europe AI Software | | +2.12% | | AI Workforce / Back-Office Automation | | +0.96% | | Cloud / Telecom | | −0.03% | | Median of 47 baskets | | −19.95% | | AI Storage | | −29.48% | | Edge Storage / Memory Controllers | | −33.57% | | AI US Optical & Fiber Infrastructure | | −36.94% |
Five sessions to 5 Nov; equal-weighted USD price returns, rebalanced daily. A stock's figure is its own five-session return. European members' 5 Nov closes cross-checked against IBKR prior closes. China Compute & Semiconductor (+5.36%) and Robotics Supply / Unitree China (+3.69%) also rose but are released under a verification rule and are not shown as rows or tiles. Source: Libella data. WHAT WE LIKE We prefer European AI software and cloud platforms with running capacity to US optical and memory-controller suppliers on a six- to twelve-month view, because the suppliers' orders depend most on new US data centres. The main risk is a broader cut in AI budgets that reaches software renewals too. |
| | 3 | THE MACRO LENS | Back to top ↑ | | Two-year yields lead a Treasury rally while rate volatility rises far less than equity volatility |
Treasuries drew safe-haven buying on Thursday: the 2-year yield settled −10bp at 4.49% and the 10-year −6bp at 4.84%, the lowest closes since the second week of September, and the 2s10s curve steepened +5bp to 35bp. Press reports say rate-futures traders pushed back the expected timing of the next Fed rise. The MOVE index of Treasury volatility rose +4.04 points to 97.92, and the dollar index was +0.31% at 101.86 early on Friday. Exhibit 3: US 2-year Treasury yield, three months | 84th | 2-year yield percentile
v past year · 4.49% settle, 5 Nov |
 | US 2-year Treasury yield, %, daily to 5 Nov (FRED DGS2 to 4 Nov; 5 Nov cash settlement 4.49%, Briefing.com). Read: lower = markets expect a lower path for the Fed funds rate. Source: Libella data (FRED); Briefing.com. |
| Exhibit 4: Treasury volatility (MOVE), three months | 88th | MOVE percentile
v past year · 97.92 close, 5 Nov |
 | ICE BofA MOVE index (implied volatility of Treasury options), daily closes to 5 Nov. Read: higher = larger expected swings in Treasury yields. Source: Libella data (YFDP). |
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THE TENSION Lower yields can support technology valuations, but on Thursday they were outweighed by concerns about AI earnings and investment. Rate volatility, at the 88th percentile of its past year, and the US high-yield spread, 3.32% on 4 November and the 97th percentile, were already elevated before the sell-off; the next test is whether AI borrowers can still issue debt on similar terms. |
| | 4 | OVERNIGHT EARNINGS | Back to top ↑ | | Cloudflare and Airbnb rise after hours while Atlassian and Applied Optoelectronics fall |
| COMPANY | RESULT VS CONSENSUS | AFTER HOURS | | Cloudflare | Q3 EPS $0.38 vs $0.34 consensus; revenue $782.5m vs $737.2m. | +15.0% (after hours) | | Airbnb | Q3 EPS $3.16 vs $2.85; revenue $4.87bn vs $4.75bn; nights and seats booked +16%; Q4 revenue guidance above consensus; $12bn added to the buyback. | +10.8% (after hours) | | Lam Research | News, not results: $25bn buyback authorisation and a $0.33 quarterly dividend, after the shares fell −16.36% in the session. | +4.4% (after hours) | | Microchip | Fiscal Q2 EPS $0.97, $0.03 above consensus; revenue in line; fiscal Q3 EPS and revenue guidance in line. | −6.2% (after hours) | | Applied Optoelectronics | Q3 EPS $0.17 vs $0.14; revenue in line; Q4 revenue guidance below consensus. | −11.1% (after hours) | | Atlassian | Fiscal Q1 EPS $1.65 vs $1.44; revenue above consensus; fiscal Q2 revenue guidance in line. | −17.6% (after hours) |
| EXHIBIT 5: OPTIONS POSITIONING INTO THE RESULTS · 5 NOV CLOSE (EODHD) |
| NAME | MOVE TO
EXPIRY (%) | TYPICAL
(%) | TRADING
DAYS | DAILY
EQUIV. (%) | OPTION
EXPIRY | SNAP | IV
30D | P/C
VOL | P/C
OI | RESULT | | ABNB | ±7.5 | ±6.9 | 1.00 | ±7.47 | 6 Nov | Close | 49% | 1.10 | 1.14 | +10.8% AH
1.45× exp. | | MCHP | ±9.1 | ±5.9 | 1.00 | ±9.06 | 6 Nov | Close | 76% | 1.22 | 0.16 | −6.2% AH
0.68× exp. | | AXON | ±13.9 | ±15.8 | 1.00 | ±13.91 | 6 Nov | Close | 85% | 1.69 | 0.82 | −9.0% AH
0.65× exp. | | AAOI | ±23.7 | ±17.1 | 6.00 | ±9.66 | 13 Nov | Close | 138% | 0.63 | 0.68 | −11.1% AH
0.47× exp. | | CHTR | ±12.4 | ±10.2 | 1.00 | ±12.36 | 6 Nov | Close | 76% | 2.40 | 1.13 | Fri, before open | | MRNA | ±8.3 | ±4.2 | 1.00 | ±8.26 | 6 Nov | Close | 94% | 3.29 | 1.94 | Fri, before open | | HUM | ±5.8 | ±5.2 | 1.00 | ±5.80 | 6 Nov | Close | 55% | 0.79 | 1.15 | Fri, before open | | PPL (monthly) | ±4.1 | ±1.4 | 11.00 | ±1.24 | 20 Nov | Close | — | 0.02 | 0.81 | Fri, before open | | ETF INDEX OPTIONS | | SMH | ±7.6 | — | 4.00 | ±3.80 | 11 Nov | Close | 58% | 2.69 | 1.19 | — | | QQQ | ±4.1 | — | 3.00 | ±2.37 | 10 Nov | Close | 34% | 1.25 | 1.26 | — | | SPY | ±2.5 | — | 3.00 | ±1.45 | 10 Nov | Close | 22% | 2.07 | 2.74 | — |
Source: Libella options data (EODHD end-of-day closing bid/ask); snapshot 5 Nov 16:00 ET close. Method: see Libella Options Model at the end. After-hours moves v options-implied moves: Airbnb's gain was larger than the ±7.47% its options implied through 6 November, after earnings of $3.16 a share beat the $2.85 consensus and it added $12bn to its buyback. Microchip, in the Semi Analog US basket, fell −6.2%, smaller than its ±9.06%, after in-line guidance; Applied Optoelectronics, in the optical basket, fell −11.1% against ±23.67% through 13 November after guiding fourth-quarter revenue below consensus. Cloudflare's revenue of $782.5m compared with $737.2m expected; it is not in the Libella options universe. Today's reporters: Charter (±12.36% through 6 November vs a typical ±10.17%), Moderna (±8.26% vs ±4.17%) and Humana (±5.80% vs ±5.18%) report before the open; PPL's monthly options price ±4.10% through 20 November. Moderna's implied move is about twice its typical results-day move, consistent with an event-related volatility premium. Options activity: over Thursday's full session ~2.07 SPY puts traded for every call, and SPY put open interest rose +11.21% on the day and +23.09% over the five sessions to 5 November. Nine of the ten names with the most option premium traded by 15:30 New York leaned to puts, led by Micron (~$5.5bn, 23% of it in calls); Meta was balanced. Libella's model estimates dealers are net short gamma in SPY and QQQ, so the hedging trades dealers must make as prices move could amplify moves in either direction. Options OI and blocks: Wednesday's Micron January $700 call trade (5,449 contracts) added 3,804 contracts of open interest, consistent with mostly new positions. Thursday's largest trades were ~$458m of QQQ 20 November $750 puts (44,359 contracts, 4.2 times open interest) and ~$190m of the $760 puts, likely one or a few large trades; end-of-day data do not show whether they were bought or sold. | | 5 | AROUND THE WORLD | Back to top ↑ | | Seoul, Tokyo and Taipei extend chip losses; Shanghai and Hong Kong fall less |
Friday's fall in Seoul followed a −5.28% close on Thursday and leaves the Kospi −25.64% over the past month; memory makers SK hynix and Samsung Electronics account for about half of the index. In Tokyo, chip-equipment and component makers such as Advantest and Ibiden led Thursday's losses, while Toyota rose after raising its operating-profit forecast. Taiwan's market is heading for its largest weekly fall since 1999, press reports say. | INDEX | LEVEL | CHANGE | STATUS | | NIKKEI 225 | 57,435 | −5.96% | close | | KOSPI | 5,060 | −6.02% | close | | SHANGHAI COMP | 3,646 | −1.19% | close | | HANG SENG | 24,546 | −1.01% | 15:02 HKT |
UK. The FTSE 100 closed −0.43% at 10,782.70 on Thursday after the Bank of England raised Bank Rate +25bp to 4.00% by an 8–1 vote and projected inflation near 5% by mid-2027; Standard Chartered was among the early gainers. Early on Friday sterling was −0.47% at $1.3413 and the 10-year gilt yield about 5.15%. Europe. The Euro Stoxx 50 closed −0.55% at 6,231.54 on Thursday as Rheinmetall fell −16% after cutting its outlook; German factory orders rose +4.4% m/m in September and euro-zone producer prices +11.1% y/y. Euro-zone retail sales are due today. | | 6 | ECONOMIC AND CORPORATE CALENDAR | Back to top ↑ | | On the radar today (London time) |
| TIME | EVENT | WHY IT MATTERS | | Morning | Euro-zone retail sales (Sep); Bank of Japan Governor Ueda speaks European consumer demand and the path of Japanese rates. | European consumer demand and the path of Japanese rates. | | Before US open | Charter, Moderna, Humana, PPL, Franklin Templeton, Oklo Cable, vaccines, health insurance and nuclear power. | Cable, vaccines, health insurance and nuclear power. | | 13:30 | US payrolls and unemployment (Oct) Consensus +65,000 (prior +29,000). | Consensus +65,000 (prior +29,000). | | 15:00 | University of Michigan consumer sentiment (Nov, preliminary) Consensus 47.2 (prior 48.0). | Consensus 47.2 (prior 48.0). | | During the day | Fed's Williams, Musalem and Bowman speak Views on further rate rises after the equity sell-off. | Views on further rate rises after the equity sell-off. | | 20:00 | US consumer credit (Sep) Consensus $11.0bn (prior $8.3bn). | Consensus $11.0bn (prior $8.3bn). |
| AS OF gives the date of each value. Equities: previous close (Asia: close, or last if still trading). Futures are Generic 1st (front-month) contracts: last price, or settlement when shut. FX: last. Cash yields: settlement; credit spreads and real yields: latest published day. 52W PCT ranks the latest value against the past year. | NAME | LAST | 1D | 1W | 1M | YTD | 52W PCT | AS OF | | S&P 500 | 7,353.73 | −4.36% | −4.75% | −5.95% | +7.42% | 51st | 5 Nov | | Nasdaq 100 | 26,629.81 | −6.36% | −9.43% | −14.71% | +5.47% | 45th | 5 Nov | | PHLX Semiconductor | 9,011.14 | −12.25% | −21.77% | −31.83% | +27.22% | 43rd | 5 Nov | | Euro Stoxx 50 | 6,231.54 | −0.55% | +0.39% | −0.65% | +7.51% | 70th | 5 Nov | | FTSE 100 | 10,782.70 | −0.43% | +0.57% | +2.29% | +8.57% | 88th | 5 Nov | | Nikkei 225 | 57,434.77 | −5.96% | −9.25% | −17.99% | +14.09% | 41st | 6 Nov | | Hang Seng | 24,546.40 | −1.01% | +5.37% | +1.72% | −4.23% | 19th | 6 Nov |
| NAME | LAST | 1D | 1W | 1M | YTD | 52W PCT | | US 2Y note future (Gen 1st) | 102.50 | +0.02% | +0.21% | +0.60% | −1.81% | 17th | | US 10Y note future (Gen 1st) | 107.38 | +0.04% | +0.69% | +2.77% | −4.50% | 17th |
Gen 1st = front-month contract. Fed funds: implied rate (100 − price) on the contract for the first full month after the next Fed meeting; rolls the day after each meeting. | NAME | LAST | 1D (bp) | 1W (bp) | 1M (bp) | YTD (bp) | 52W PCT | AS OF | | US 2Y Treasury | 4.49% | −10bp | −12bp | −35bp | +102bp | 84th | 5 Nov | | US 10Y Treasury | 4.84% | −6bp | −14bp | −47bp | +66bp | 84th | 5 Nov | | 2s10s curve | 35bp | +5bp | −2bp | −12bp | −36bp | 16th | 5 Nov | | US 10Y real yield (TIPS) | 2.64% | −1bp | −3bp | −31bp | +71bp | 90th | 4 Nov | | US IG credit spread (OAS) | 0.91% | −2bp | +5bp | +7bp | +12bp | 97th | 4 Nov | | US HY credit spread (OAS) | 3.32% | −8bp | +18bp | +20bp | +51bp | 97th | 4 Nov |
| NAME | LAST | 1D | 1W | 1M | YTD | 52W PCT | AS OF | | US dollar index (DXY) | 101.86 | +0.31% | −0.02% | −0.37% | +3.64% | 93rd | 6 Nov | | EUR/USD | 1.1187 | −0.43% | +0.04% | −0.59% | −4.77% | 3rd | 6 Nov | | GBP/USD | 1.3413 | −0.47% | +0.26% | +1.10% | −0.40% | 49th | 6 Nov | | USD/JPY | 158.11 | −0.16% | +0.19% | −0.12% | +1.08% | 49th | 6 Nov |
| NAME | LAST | 1D | 1W | 1M | YTD | 52W PCT | AS OF | | Brent crude (Jan) $/bbl | 99.62 | +1.35% | — | +2.08% | — | 67th | 6 Nov | | WTI crude (Generic 1st) $/bbl | 91.41 | +0.97% | −12.22% | +4.40% | +60.58% | 65th | 6 Nov | | Gold (Generic 1st) $/oz | 4,058.00 | −1.35% | +4.08% | −2.00% | −6.52% | 9th | 6 Nov | | Copper (Generic 1st) $/lb | 6.21 | −0.69% | −3.91% | −5.92% | +10.23% | 55th | 6 Nov | | Bitcoin $ | 75,502.14 | −6.10% | −2.20% | −9.33% | −13.72% | 44th | 6 Nov |
| NAME | LAST | 1D (pts) | 1W (pts) | 1M (pts) | YTD (pts) | 52W PCT | AS OF | | VIX index (spot) | 28.18 | +11.57 | +10.98 | +12.66 | +13.23 | 99th | 5 Nov | | VXN (Nasdaq 100 vol) | 38.26 | +13.18 | +13.08 | +17.11 | +18.70 | 100th | 5 Nov | | S&P 500 realised vol (20-day) | 20.22 | +7.30 | +10.05 | +9.82 | +11.18 | 99th | 5 Nov | | MOVE (Treasury vol) | 97.92 | +4.04 | +4.38 | −7.28 | +33.96 | 88th | 5 Nov |
| CROWDING (EQUAL-WEIGHT LEGS) |
| NAME | 1D (%) | 5D (%) | 1M (%) | RSI (14) | RSI>70 (%) | AS OF | | Libella US consensus long | −7.54 | −10.98 | −13.86 | 27 | 4% | 5 Nov | | Libella US consensus short | −4.40 | −2.74 | +5.87 | 52 | 10% | 5 Nov | | Gap: long minus short | −3.14 | −8.24 | −19.73 | — | — | 5 Nov |
| SENTIMENT & FUTURES POSITIONING |
| NAME | LATEST | PREVIOUS | 1W AGO | 1M AGO | READING | AS OF | | Libella Fear / Greed (0–100) | 15 | 32 | 29 | 43 | Extreme fear | 5 Nov | | Nasdaq-100 E-mini: OI change | +0 | +0 | — | — | OI 0 | 5 Nov | | S&P 500 E-mini: OI change | +0 | +0 | — | — | OI 0 | 5 Nov | | S&P 500 skew (SPY, 1M) | −9.48 | −4.39 | −4.68 | — | Puts dearer | 5 Nov | | Nasdaq-100 skew (QQQ, 1M) | −10.83 | −5.31 | −6.16 | — | Puts dearer | 5 Nov | | AI stocks skew (median, 1M) | −7.46 | −3.47 | −0.97 | — | Puts dearer | 5 Nov | | S&P 500 E-mini: lev. funds net | −400,604 | — | −371,245 | −372,489 | −20.5% · 27th | 27 Oct | | Nasdaq-100 E-mini: lev. funds net | +2,301 | — | +950 | −24,723 | +0.9% · 95th | 27 Oct |
| CREDIT DIVERGENCE: WEAKEST V BROAD |
| NAME | Latest | 4W change | Percentile | AS OF | | Weakest credit: CCC−B spread (ETF proxy) | 9.64% | +89bp | 100th (1Y) | 5 Nov | | Broad credit: OFR credit stress | −0.84 | +0.17 | 98th (1Y) | 3 Nov |
| BREADTH: LIBELLA STIX (0–100) |
| NAME | LATEST | PREVIOUS | 1W AGO | 1M AGO | READING | AS OF | | Libella STIX: NYSE | 48.7 | 52.0 | 51.1 | 44.4 | Neutral · falling | 5 Nov | | Libella STIX: Nasdaq | 46.2 | 49.2 | 49.3 | 44.6 | Neutral · falling | 5 Nov | | Libella STIX: NYSE + Nasdaq | 47.1 | 50.2 | 50.0 | 44.5 | Neutral · falling | 5 Nov |
Libella US consensus long: Libella calculation from SEC Form 13F filings. Libella US consensus short: Libella calculation from FINRA short-interest data. Raw, unhedged; equal weight, rebalanced daily; prices YFDP; RSI(14) descriptive, not a signal; RSI>70 = share of stocks with RSI above 70. OI change and positions in contracts. Open interest: CME Group daily volume and open interest. Skew (vol pts): 1-month 25-delta risk reversal (call IV minus put IV) from Libella option-chain snapshots (YFDP); negative = puts dearer. Lev. funds net: CFTC Traders in Financial Futures, leveraged funds, weekly (Tuesday positions); reading = net as % of open interest · 3-year percentile. AS OF gives each series' latest session. Credit stress = credit category of the OFR Financial Stress Index (US Treasury, Office of Financial Research; 0 = average stress). Latest -0.84 on 2026-11-03 (21st percentile since 2000; 1W +0.05, 1M +0.12). Rows: first reading at or above its 90th percentile (2.08) after 63 sessions below it; S&P 500 drawdown from its 52-week high that day, worst drawdown in the next 3 months, and price return 3 and 12 months later, all in %. Newest first. History, not a forecast. Libella calculation. CCC−B spread (ETF proxy): Libella calculation from BondBloxx CCC-rated (XCCC) and B-rated (XB) ETF closes via EODHD, scaled to the ICE BofA CCC & Lower and Single-B US High Yield spreads by back-test (Nov 2023–Oct 2026; typical error ±35bp; reliable for levels and 4-week changes, not daily moves). Not an ICE index. OFR credit stress: credit category of the OFR Financial Stress Index (US Treasury, Office of Financial Research; 0 = average stress). 4W = 20 sessions. Both percentiles rank the latest reading against the past year (owner, 29 Oct 2026); OFR since 2000: 21st. Polymarket 'Balance of Power: 2026 Midterms' prices, last print each day (UTC); changes in percentage points (pp) of probability over calendar days. Market prices, not Libella forecasts. Libella STIX: advancing issues as a share of advancing plus declining issues on NYSE and on Nasdaq (common, preferred and ETFs), 9% exponential average, Heikin-Ashi trend (rising / falling); above 60 overbought, below 40 oversold; descriptive. Libella calculation from EODHD closes; today's listings, so not official exchange counts. Libella macro board: Sources | | The macro board, the full 47-basket monitor and the weekly AI Sector Themes report are available in the client portal (access by invitation). |
| Sources. Briefing.com · Reuters · FT · MarketWatch · Barchart · Libella data (YFDP, EODHD, FRED, Cboe, OCC, CFTC, SEC, FINRA, IBKR) · ZeroHedge, The Kobeissi Letter and Barchart (X). US close, sectors, Treasury settlements, WTI settle and gold, US data v Briefing.com consensus, company moves, results and guidance (consensus: FactSet), Roundhill Neocloud ETF, Apple bond sale, Fed speakers (Barkin), today's calendar and consensus, Asia and Europe session notes, and after-hours moves: Briefing.com (Closing Market Summary, Treasury Market Summary, After Hours Summary, Earnings Out After the Close/Before the Open and Earnings Topic Alerts, 5 Nov 2026). US 10-year yield: Briefing.com (Treasury Market Summary, 5 Nov 2026); series FRED DGS10. S&P 500, Nasdaq 100, SOX, FTSE 100 and Euro Stoxx 50 levels, equal weight (RSP), S&P 500 member breadth, MOVE, VIX close (Cboe via YFDP), baskets and members: Libella data (YFDP/EODHD, 5 Nov); European basket members' closes cross-checked against IBKR prior closes (5 Nov). Futures: YFDP Generic 1st, S&P 500, Nasdaq 100 and Dow E-mini Dec 26 contracts, 07:02 London 6 Nov. Brent: ICE Brent futures, Jan 27 contract, via YFDP 06:57 London 6 Nov; 5 Nov close $98.29 (YFDP; confirmed on IBKR). Dollar index, sterling, Nikkei 225, Kospi, Taiwan and Shanghai closes and Hang Seng afternoon level (15:02 HKT): YFDP, 07:02 London 6 Nov. Kospi halt and margin-rule change, TSMC limit-down, Taiwan weekly loss, SoftBank CDS, Anthropic IPO doubts, Nasdaq value lost: Reuters (Morning Bid Europe 6 Nov; Trading Day 5 Nov). Bitcoin, Fed timing, today's Fed speakers and euro-zone diary: Reuters Trading Day (5 Nov). Kospi opening fall and gilt yield: FT (FirstFT, 6 Nov). Hammack remarks: Barchart (5 Nov). Tech's worst day since 2020: MarketWatch (5 Nov). Iran remarks: Axios via Briefing.com (5 Nov). Texas governor-elect remarks: CNN, relayed by The Kobeissi Letter (X, 6 Nov scan); not confirmed. Post-midterm range chart (Exhibit 1b) and one-day-fall history: S&P 500 daily closes (YFDP); Libella calculation. Options: Libella options data (EODHD closing file, 5 Nov; YFDP chains to 15:30 New York; OCC). Positioning appendix: Libella calculation (SEC 13F, FINRA, CME, CFTC). Claim-level links for the headlines are in the headline links.
Data notes. Libella macro board: YFDP (exchanges and data providers distributed through Yahoo Finance), FRED (ICE BofA), Cboe, CFTC. Futures are Generic 1st (front-month) contracts; last prices carry the London time of the 07:02 feed run, otherwise settlement. Brent is the January 2027 ICE contract (5 Nov close $98.29, YFDP; last $99.62 at 06:57 London, YFDP); WTI Generic 1st is the December contract (5 Nov settle $90.55/bbl, Briefing.com). US 2-year, 10-year and 2s10s cash yields are 5 Nov settlements from Briefing.com; the VIX is the Cboe daily close via YFDP (Briefing.com's summary showed 26.69, an earlier reading); credit spreads and real yields are the latest FRED daily values (4 Nov). The Nikkei 225, Kospi and Shanghai Composite are closing levels and the Hang Seng an afternoon level (07:02 London, 15:02 HKT). Publication cutoff 07:15 London; earlier observations are labelled with their time. Realised volatility = annualised standard deviation of 20 daily S&P 500 log returns. 52W PCT = percentile rank of the latest value against the past year. Rates moves in basis points; — = not available. The Fed funds future and 10-year yield future rows stay hidden until their history is corrected (owner, 2 Nov).
Libella Options Model. Moves are based on ATM call and put bid/ask mid-prices divided by spot. Trading days run from the quote time to the expiry close on NYSE sessions: the quote day counts as the fraction of its session remaining, exchange holidays are excluded and early-close days count as full sessions. Daily equivalents use square-root-of-time scaling and assume risk is evenly distributed across the remaining trading days. For reporting names the expiry is the first on or after the reaction session, so the move is mostly the report; the daily equivalent still spreads it evenly and understates the reaction day. Typical = average absolute close-to-close move on the reaction session over the last eight reports with known timing (at least four). Where a reaction session has closed, the result is the close-to-close move and its ratio to the expected move at the previous close. These are straddle-based measures, not one-standard-deviation estimates or probability bounds. Put/call ratios use total listed volume and open interest and do not show whether options were bought or sold. Implied moves, IVs and put/call ratios: EODHD closing file (end-of-day closing bid/ask), 5 Nov 16:00 New York, to the first expiry on or after the reaction session (earnings window); AAOI has no earnings-window entry, so its move is to the 13 Nov weekly expiry. After-hours moves: Briefing.com After Hours Summary (5 Nov, 18:00 ET), shown against the implied move as a multiple (initial reaction vs the move implied to expiry). Trading days = US equity sessions from the 5 Nov close to expiry (6 Nov 1, 10 Nov 3, 11 Nov 4, 13 Nov 6, 20 Nov 11). PPL has monthly options only inside the window; PPL 30-day IV not available. Typical = average absolute results-day move in past quarters, from the 5 Nov EODHD closing file (AAOI from the 4 Nov file). Premium leaders and leans in the text: YFDP option chains (delayed) to 15:30 New York, Libella calculation; total premium traded, every expiry; "leaned to calls/puts" = at least 60% of that premium in calls/puts, otherwise balanced. SPY put open interest: EODHD, all expiries (index_oi); the SPY P/C OI in the table is the closing-file figure for the listed chains. Consensus: FactSet via Briefing.com. IV = implied volatility; P/C = put/call ratio; OI = open interest; AH = after hours; ET = New York time. Dealer gamma: Libella model estimate (dealers long calls / short puts), an estimate, not observed positioning. Options OI and blocks: EODHD full-session per-contract file (whales_eod, 5 Nov; premium = volume x closing mid x 100, approximate); open-interest change from the 5 Nov file for 4 Nov trades. No matching external block report checked.
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