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The Daily Digits

@The_DailyDigits

Crypto and macro, every morning.

 NYC
thedailydigits.com/
Joined April 2014
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Every thread here gets a longer version the next morning, with the method, the robustness cuts, and the call with a horizon. 👉thedailydigits.com/
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the KOSPI fell 5.3% on Thursday on chip fears, per @koreatimescokr. Since 2000, after 28 drops of 4.5% or more, EWY was up 5% or more a month later in 17, or 61%, against 29% of all months. A 4 Dec EWY close under 5% above its 5 Nov close breaks the read.
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thedailydigits.com/p/daily-2…
16 of 18 S&P 4% drops rose a quarter later | Daily Digits

16 of 18 S&P 4% drops rose a quarter later | Daily Digits

The S&P's first 4% drop in six months: of 18 earlier cases, 16 were up a quarter later. Plus VIX, Korea, Micron, and tech vs healthcare with lose lines.

thedailydigits.com
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$BTC options charge more for crash insurance than for upside. On the Nov 27 expiry the $71,000 put costs 42.73% implied vol, the $81,000 call 36.46%. Friday's weekly ran opposite: 0.37 puts per call on about $2.6B of notional into the 08:00 UTC settlement. Takers sold more than they bought on Nov 5. Short-dated hope, longer-dated insurance. Data: Deribit, @cryptoquant_com Taker Buy Sell Ratio.
Bar chart of Deribit implied volatility for the Nov 27 bitcoin expiry: the 25-delta $71,000 put at 42.73%, at the money 38.04%, the 25-delta $81,000 call at 36.46%. Downside puts cost 6.27 vol points more than upside calls.

ALT Bar chart of Deribit implied volatility for the Nov 27 bitcoin expiry: the 25-delta $71,000 put at 42.73%, at the money 38.04%, the 25-delta $81,000 call at 36.46%. Downside puts cost 6.27 vol points more than upside calls.

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Applied Materials option buyers are pricing Thursday's chip crash as the new normal. Short $AMAT vol into the 12 Nov report: it closes 13 Nov between $279.63 and $358.87. The 13 Nov straddle cost $39.62 at the 5 Nov close, 12.4% of the stock. Since 1996 it moved more than that over the same six sessions in 8 of 122 reports, median 4.4%. What makes me wrong: three of those eight came since 2024.
Histogram of Applied Materials' six-session price move around each of 122 earnings reports since 1996. Most moves are under 8%, median 4.4%. A white dashed line at 12.4% marks what the 13 Nov straddle prices; only 8 reports moved more.

ALT Histogram of Applied Materials' six-session price move around each of 122 earnings reports since 1996. Most moves are under 8%, median 4.4%. A white dashed line at 12.4% marks what the 13 Nov straddle prices; only 8 reports moved more.

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the 10-year yield fell in the month after 14 of the last 16 midterms. election day to a month later, since 1962 median drop 13bp 15bp or more in 8 of 16 rose only in 1978 and 2010 election day close was 4.95%. my call: $TNX ends dec 4 below 4.80%.
Lollipop chart: drop in the US 10-year Treasury yield, in basis points, from midterm election day close to 22 sessions later, 1962 to 2022. Fell in 14 of 16: 1970 97bp, 1990 54, 2022 53, 1974 40, 2018 33, 1986 21, 1966 18, 1994 16, 1982 10, 2006 10, 1998 9, 2014 9, 2002 4, 1962 1. Rose in 1978 (5bp) and 2010 (32bp). Dashed line at 15bp, the drop needed for the call. 2026 election day close 4.95%. Source: FRED DGS10.

ALT Lollipop chart: drop in the US 10-year Treasury yield, in basis points, from midterm election day close to 22 sessions later, 1962 to 2022. Fell in 14 of 16: 1970 97bp, 1990 54, 2022 53, 1974 40, 2018 33, 1986 21, 1966 18, 1994 16, 1982 10, 2006 10, 1998 9, 2014 9, 2002 4, 1962 1. Rose in 1978 (5bp) and 2010 (32bp). Dashed line at 15bp, the drop needed for the call. 2026 election day close 4.95%. Source: FRED DGS10.

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Dip buyers in $MU are on the wrong side of the next quarter. Micron fell 23.9% in a month to Wednesday's close. After 47 drops that size since 1984, it was higher 63 sessions later only 43% of the time, vs 57% on any day. Median -2.5% vs +5.5%. Call: below $795.23 on 5 Feb 2027. The rebound is the lottery ticket, not the base case.
Bar chart: share of times Micron (MU) was higher 63 trading sessions after a 21-session drop, 1984 to 2026, non-overlapping episodes. After drops of 15% or more: 51% (n=84). 20% or more: 49% (n=61). 23% or more, which includes today's 23.9% drop: 43% (n=47). Dashed line: 57.2% for any day. Median 63-session return after a 23%+ drop was -2.5% vs +5.5% for any day. Yahoo Finance daily closes to 4 Nov 2026.

ALT Bar chart: share of times Micron (MU) was higher 63 trading sessions after a 21-session drop, 1984 to 2026, non-overlapping episodes. After drops of 15% or more: 51% (n=84). 20% or more: 49% (n=61). 23% or more, which includes today's 23.9% drop: 43% (n=47). Dashed line: 57.2% for any day. Median 63-session return after a 23%+ drop was -2.5% vs +5.5% for any day. Yahoo Finance daily closes to 4 Nov 2026.

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The tech dip is still early. Over four weeks $XLV gained 12.4% and $XLK lost 12.4%, a gap wider than any since the sector funds launched in 1998. After 11 past 15-point gaps, tech kept lagging healthcare over the next two months in 8, by a median 10 points, vs 48% of all windows. Most were the 2000-02 bust, and two of the three since 2024 rebounded. Bearish $XLK against $XLV, 4 Nov close to 4 Jan.
Bar chart: after 11 past 20-session gaps of 15 points or more between XLK and XLV since 1998, XLK did worse than XLV over the next 20 sessions 64% of the time, next 40 sessions 73%, next 63 sessions 73%, against 48% for any 40 sessions. Since 2024, 1 of 3 episodes. Current gap 24.7 points as of the 4 Nov 2026 close.

ALT Bar chart: after 11 past 20-session gaps of 15 points or more between XLK and XLV since 1998, XLK did worse than XLV over the next 20 sessions 64% of the time, next 40 sessions 73%, next 63 sessions 73%, against 48% for any 40 sessions. Since 2024, 1 of 3 episodes. Current gap 24.7 points as of the 4 Nov 2026 close.

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Buying volatility after today is late. $VIX closed up 70% at 28.18, its third biggest one-day jump since 1990, and junk bonds ($HYG) slipped only 0.3%. In the 19 prior 40%+ jumps, $VIX sat 25%+ lower a month later 11 times, vs 6.6% normally. The big miss was Feb 2020. Fade it: $VIX at 21.1 or lower on Dec 7.
Bar chart: after a 40%+ one-day VIX jump since 1990 (n=19), VIX was 25%+ lower 21 sessions later 58% of the time; 50%+ jumps 60% (n=10); 40%+ jumps since 2004 69% (n=16); versus 6.6% on any day.

ALT Bar chart: after a 40%+ one-day VIX jump since 1990 (n=19), VIX was 25%+ lower 21 sessions later 58% of the time; 50%+ jumps 60% (n=10); 40%+ jumps since 2004 69% (n=16); versus 6.6% on any day.

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Today's 4.4% $SPX drop was the first 4%+ fall in six months. It has happened 18 times since 1950. A month later it was higher in only 8. Three months later it was 5%+ higher in 12 of 18, vs 35% normally. Early, but a buy: $SPX at 7,721 or higher on Feb 8.
Image from The Daily Digits (@The_DailyDigits)
Michael Saylor (@saylor) profile pictureMichael Saylor
@saylor17h
Today was a 4σ day for equities. The S&P 500 fell 4.4% and the Nasdaq fell 5.5%, a decline seen roughly once every 19 months. Bitcoin fell about 5%. $STRC closed at $99.56, just 44 cents below par.
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audio edition: the @CBOE VIX fell 20% to 16.61, and after 42 crushes like it, since 1998, it was higher a week later only 24 times in 100, half the usual rate. we call it bearish into 11 Nov. open.substack.com/pub/thedai…
-20%: Bearish the VIX for another week after the crush

-20%: Bearish the VIX for another week after the crush

Bearish VIX into 11 Nov, bearish staples into February, bullish chips into December

thedailydigits.com
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the VIX fell 20.3% to 16.61 on Wednesday, per @YahooFinance closes. Since 1990, after 42 crushes like it, the VIX was higher a week later in 23.8% of cases, against 47.1% on any day. A close at or above 16.61 on 11 Nov breaks the read.
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thedailydigits.com/p/daily-2…
VIX crushes of 15%+ held a week later 76% of the time

VIX crushes of 15%+ held a week later 76% of the time

Bearish VIX into 11 Nov, bearish staples into February, bullish chips into December.

thedailydigits.com
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Selling Korea into the 5 Nov chip crash has been the wrong trade. The KOSPI fell 5.28% as Samsung and SK Hynix sank on US AI-curb fears. After 28 past drops of 4.5%+ since 2000, $EWY was 5%+ higher 20 sessions later in 17 (61%), vs 29% for any 20-session stretch. Call: $EWY closes 4 Dec 5%+ above its 5 Nov close. This year's two misses followed drops about twice as deep.
Bar chart: after 28 KOSPI drops of 4.5% or more since 2000, EWY was 5%+ higher 20 sessions later 61% of the time (78% since 2020, n=9), against a 29% base rate for any 20 sessions; any 20 sessions in 2026 ran 47%.

ALT Bar chart: after 28 KOSPI drops of 4.5% or more since 2000, EWY was 5%+ higher 20 sessions later 61% of the time (78% since 2020, n=9), against a 29% base rate for any 20 sessions; any 20 sessions in 2026 ran 47%.

That Martini Guy ₿ (@MartiniGuyYT) profile pictureThat Martini Guy ₿
@MartiniGuyYTNov 5
South Korea’s stock market has taken a major hit. The KOSPI plunged 5.3%, wiping approximately ₩250 TRILLION off market value in a single day. A sharp sell-off across one of Asia’s key equity markets. 👀
Image from That Martini Guy ₿ (@MartiniGuyYT)
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Dumping chips on a day the S&P rips has been the wrong side a month out. $SMH fell 2.75% on 4 Nov as $SPY rose 1.65%. On past days since 2000 with $SPY up 1%+ and $SMH down 1%+, $SMH was 5%+ higher a month later in 11 of 21: 52% vs 30% on any day. Next week is a coin flip. Bullish $SMH: close at or above 529.48 on 3 Dec.
Bar chart: share of past days when the chip ETF SMH fell 1% or more while SPY rose 1% or more (21 days since 2000, 10+ sessions apart) where SMH closed 5% or more higher 20 sessions later. All 21: 52%. 2000-2009: 41% (n=17). 2011-2022: 100% (n=4). Dashed line: 30% for any 20-session window. As of 4 Nov 2026 close. Source: Yahoo Finance SMH and SPY daily adjusted closes.

ALT Bar chart: share of past days when the chip ETF SMH fell 1% or more while SPY rose 1% or more (21 days since 2000, 10+ sessions apart) where SMH closed 5% or more higher 20 sessions later. All 21: 52%. 2000-2009: 41% (n=17). 2011-2022: 100% (n=4). Dashed line: 30% for any 20-session window. As of 4 Nov 2026 close. Source: Yahoo Finance SMH and SPY daily adjusted closes.

Mario Nawfal (@MarioNawfal) profile pictureMario Nawfal
@MarioNawfalNov 4
🇺🇸Markets just delivered a massive verdict on the midterms. The Dow surged 1569 points or 3% for its best day since Apr 2025 and its biggest post midterm single day gain since 1982. The S&P 500 rose 1.58% and the Nasdaq climbed 1.44%. Investors welcomed the reduced uncertainty and lower odds of extreme policy. The VIX volatility index sank almost 20% while bond yields fell and the dollar weakened. Oil prices plunged as traders priced in possible de escalation of the war with Iran. Brent crude fell nearly 8.7% to settle at $94.62 a barrel after Vance said the reason we lost is the war. Not every sector joined the rally. Shares tied to AI and data centers sold off on concerns that Democrat wins in states like Texas could bring new restrictions. Nvidia fell 3% while an AI infrastructure ETF dropped 9%. CoreWeave sank roughly 10%. Source: CNN / Writer: Bri
Image from Mario Nawfal (@MarioNawfal)
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Buying a VIX snap-back after today's crush is paying for an edge the history doesn't show. $VIX fell 20% to 16.61. After 42 one-day drops of 15%+ to a sub-20 close since 1990, it was higher a week later just 24% of the time vs 47% on any day: bearish for vol. A quick 10% pop inside two days did come 26% vs 15%. Fade it. Call: $VIX below 16.61 on Nov 11. teapaw.org/market_sleuth/status/2…
Bar chart: share of past VIX crushes (one-day drop of 15% or more to a close below 20, 42 events since 1990) where VIX was above the crush close 1, 2, 3, 5 and 10 trading days later: 40%, 45%, 45%, 24%, 38%, against 47% on any day. As of Nov 4 2026 close, 16.61, down 20%. Source: Cboe VIX via Yahoo daily closes.

ALT Bar chart: share of past VIX crushes (one-day drop of 15% or more to a close below 20, 42 events since 1990) where VIX was above the crush close 1, 2, 3, 5 and 10 trading days later: 40%, 45%, 45%, 24%, 38%, against 47% on any day. As of Nov 4 2026 close, 16.61, down 20%. Source: Cboe VIX via Yahoo daily closes.

John (@market_sleuth) profile pictureJohn
@market_sleuthNov 4
VIX with a massive gap down & a nearly 20% haircut on the day with a 16 handle. Thursday or Friday “could” see a violent VIX snap back so be nimble. 💯
Image from John (@market_sleuth)
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$BTC options price 39.7% vol for the next month per Block Scholes, against 28% realized. Selling that premium looks free. Since 2025, months this calm were followed by one above 39.7% 65% of the time, vs 45% on any day. My call: $BTC 30-day realized vol ends Dec 4 above 39.7%.
Bar chart: share of days bitcoin's realized volatility over the next 30 days topped 39.7%, the implied vol options charge today, grouped by the prior 30 days' realized vol, Jan 2025 to Nov 3 2026. Prior month under 30%: 65% (124 days). 30 to 40%: 27% (199). Over 40%: 49% (319). Dashed line: any day since 2025, 45%. Last 30 days realized 28.2%. Source: Coinbase BTC-USD daily closes; implied vol from Block Scholes.

ALT Bar chart: share of days bitcoin's realized volatility over the next 30 days topped 39.7%, the implied vol options charge today, grouped by the prior 30 days' realized vol, Jan 2025 to Nov 3 2026. Prior month under 30%: 65% (124 days). 30 to 40%: 27% (199). Over 40%: 49% (319). Dashed line: any day since 2025, 45%. Last 30 days realized 28.2%. Source: Coinbase BTC-USD daily closes; implied vol from Block Scholes.

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Dip buyers waiting for Sysco to fill its gap back to $81.74 are betting against the odds. SYY fell 9.3% to $74.11 on earnings, one of its worst days this century. Since 2003, 139 staples stocks gapped down 8%+ on earnings. Only 24.5% were back above the pre-drop close 60 sessions later, the same odds as a random rally that size (23.7%). Call: SYY under $81.74 on Feb 1. thedailydigits.com
Bar chart: share of US staples stocks back above their pre-drop close 60 sessions after an 8%+ earnings-day gap down. All 2003-2026: 24.5% (n=139). 2010-2026: 24.1% (n=112). Drops of 8-10.5%: 24.1% (n=79). Sysco, any 8%+ drop: 0% (n=6). Dashed base rate, any day rallying 10.3% in 60 sessions: 23.7%.

ALT Bar chart: share of US staples stocks back above their pre-drop close 60 sessions after an 8%+ earnings-day gap down. All 2003-2026: 24.5% (n=139). 2010-2026: 24.1% (n=112). Drops of 8-10.5%: 24.1% (n=79). Sysco, any 8%+ drop: 0% (n=6). Dashed base rate, any day rallying 10.3% in 60 sessions: 23.7%.

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Dip buyers reading today's +1.6% $SPX rip as the all-clear are paying for an edge the history doesn't show. Since 1950 the S&P has ripped 1.5%+ within a week of closing 2 standard deviations below its 50-day 104 times. A month later it was higher 60% of the time vs 62% on any day: noise. What did change is the tail. A further 5% drop inside that month came 22% of the time vs 15%. teapaw.org/OddStats/status/211805…
Dot plot: since 1950, after a 1.5%+ S&P 500 rip within a week of a close 2 standard deviations below its 50-day average, the index was higher a month later 60% of the time vs 62% on any day, and fell 5%+ within a month 22% of the time vs 15%.

ALT Dot plot: since 1950, after a 1.5%+ S&P 500 rip within a week of a close 2 standard deviations below its 50-day average, the index was higher a month later 60% of the time vs 62% on any day, and fell 5%+ within a month 22% of the time vs 15%.

OddStats (@OddStats) profile pictureOddStats
@OddStatsNov 4
Oh, hi. Don't mind me. I just thought you should know, while you enjoy the face ripping rally today, that it is not without precedent. In fact, the day after the 2018 Trump Midterm Election, SPX was up +2.1%! Which was so bullish that the market then proceeded to do this:
Image from OddStats (@OddStats)
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Selling oil after this flush has been the wrong side of the odds. WTI ($USO) is down about 12% in four sessions to near $90. After 65 drops of 11%+ in four days since 1986, crude closed 10%+ higher at some point within a month 54% of the time, about double the 28% for any month. Another 10% leg down came 37% of the time. The squeeze has been likelier than the next leg down. teapaw.org/Kalshi/status/21179864…
Bar chart: share of times WTI crude closed at least 10% above its crash-day close within 21 sessions, after a 4-session fall, 1986 to 2026. Fell 10%+: 48% (81 episodes). Fell 11%+: 54% (65). Fell 12%+: 54% (55). Fell 15%+: 78% (27). Dashed line: any month, 28%. Source: FRED DCOILWTICO to 27 Oct 2026, Yahoo CL=F front month after.

ALT Bar chart: share of times WTI crude closed at least 10% above its crash-day close within 21 sessions, after a 4-session fall, 1986 to 2026. Fell 10%+: 48% (81 episodes). Fell 11%+: 54% (65). Fell 12%+: 54% (55). Fell 15%+: 78% (27). Dashed line: any month, 28%. Source: FRED DCOILWTICO to 27 Oct 2026, Yahoo CL=F front month after.

Kalshi (@Kalshi) profile pictureKalshi
@KalshiNov 4
JUST IN: US oil prices fall below $93 a barrel
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Traders who fled tech for staples are paying up at the top: after a month like this, $XLP's usual gain vanishes. XLP rose 9.8% in 21 sessions, a 99th-percentile run, while $XLK fell 12%. In 32 past runs of 7%+ since 1998, XLP was higher 63 sessions later 47% of the time vs 71% for any window. The gap held across thresholds and windows. Bearish $XLP to 4 Feb. The hiding place stops paying.
Bar chart: share of times the consumer staples ETF XLP was higher 63 trading sessions later, after a 21-session gain of at least 5%, 6% or 7%, 1998 to 2026. After +5%: 60% (57 episodes). After +6%: 57% (44). After +7%: 47% (32). Dashed line: any 63-session window, 71%. XLP rose 9.8% in the 21 sessions to the 3 Nov 2026 close. Source: Yahoo Finance adjusted closes.

ALT Bar chart: share of times the consumer staples ETF XLP was higher 63 trading sessions later, after a 21-session gain of at least 5%, 6% or 7%, 1998 to 2026. After +5%: 60% (57 episodes). After +6%: 57% (44). After +7%: 47% (32). Dashed line: any 63-session window, 71%. XLP rose 9.8% in the 21 sessions to the 3 Nov 2026 close. Source: Yahoo Finance adjusted closes.

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