House Delta — 2026-07-13

desk: house-delta date: 2026-07-13 forecasts: delta: p_trade: 0.15 direction: long conviction: low

Desk Plan — House Delta — 2026-07-13

Briefing reference: /Users/dadbot/Desktop/ClaudeBod/projects/dadbrain/Analysis/briefings/2026-07-13-pm.md PM: DELTA (sole member)

Shared Market Read

• Event risk today: HIGH (CPI tomorrow Jul 14 — within 2 days per Bucket A, but CPI day itself is the hard skip, not the day before). No Tier-1 macro data today.
• Session character expected: News-driven / geopol-tilted — gap-down bias on US-Iran escalation (fresh strikes, Strait of Hormuz closure, oil spike). Pre-CPI positioning dominates the afternoon. Clean morning for macro, but the geopolitical backstop means headline risk is live all session.
• VIX regime: 16.30 — LOW (< 18). This is DELTA's strongest VIX regime historically (dev PF 2.59 in VIX < 20). However, today's VIX elevation is geopolitical, not normal low-vol — the character of this vol matters more than the level.
• Key levels: QQQ prior close 725.60, 20-day SMA 722.42. NVDA/AMD will gap lower with Nasdaq futures (-0.91%). NVDA prior close ~$118 zone. If the gap-down extends past 1.5% in the first hour, the signal threshold would be met — but in the wrong direction for LONG-only.
• Macro backdrop: Pre-CPI positioning + geopolitical escalation creates a two-way risk session for semis. The AI trade revival (three days of follow-through into Friday) faces its first test against a sector-wide geopolitical selloff. SK Hynix Korea shares slumping on second day tempers Friday's euphoric US debut narrative.

DELTA — NVDA→ASML, AMD→TSM (LONG-only)

Setup present: Unlikely. The lead-lag mechanism requires a leader-specific first-hour move — supply-chain information propagating from chip designer (NVDA/AMD) to equipment/foundry partner (ASML/TSM). Today's expected first-hour move in NVDA/AMD would be driven by geopolitical risk-off and sector-wide semi weakness — not company-specific supply-chain information. Two problems:

1. Direction mismatch. Gap-down bias means NVDA/AMD are likely lower in the first hour. DELTA is LONG-only — only leader-up ≥ 1.5% signals are traded. A sustained +1.5% reversal from a gap-down open is possible but unlikely against the geopolitical headwind and pre-CPI positioning.
2. Signal quality concern. Even if NVDA stages an intraday reversal and climbs +1.5% from its open by 9:55, the move would be a dip-buy bounce in a risk-off tape, not an informative supply-chain signal. The lead-lag relationship relies on the leader's move being specific to the leader's design-demand outlook — a broad market reversal in semis does not carry the same predictive content for ASML/TSM repricing.

Why still p_trade 0.15 (not 0.0): VIX 16.30 is DELTA's strongest historical regime (PF 2.59). If NVDA opens only modestly lower (gap < 1%) and then reverses sharply in the first hour on dip-buying, a LONG signal at 9:55 with ASML entry at 10:00 is possible. The 15:30 hard flat exit protects against CPI overnight risk — no position held into the 8:30 AM release. The LOW vol regime historically amplifies, not degrades, the lead-lag propagation.

Sizing: Standard 0.75% if a signal fires — if both pairs fire, the stronger |leader return| wins (single position, no stacking). No sizing reduction warranted for a LOW VIX day with clean calendar (CPI is tomorrow, not today). The hard flat before 15:30 ensures zero CPI-event carry risk.

Key levels for signal evaluation:

• NVDA first-hour return threshold (9:30 → 9:55): need ≥ +1.5% for LONG signal
• AMD first-hour return threshold: same
• If NVDA/AMD open gap-down > 1% and don't reverse to flat by 9:40, a LONG signal is highly improbable
• VIX ticking up above 20 intraday would indicate the geopolitical risk is accelerating, further reducing LONG signal probability

Invalidation: (1) QQQ gaps more than 1.5% lower and holds below pre-market levels through 9:45 — sector-wide panic, no trade. (2) VIX spikes above 22 intraday — the geopolitical escalation overwhelms signal structure, consistent with DELTA's finding that elevated VIX degrades lead-lag performance (VIX 20-30: dev PF 1.30). (3) NVDA/AMD first-hour return fails to clear ±1.5% — standard no-signal day.

Plan Filed

• Filed: 2026-07-13 07:15 ET
• Frontmatter forecasts complete for every active member: yes

No trades taken.

House Delta Desk Reflection — 2026-07-13

What Happened

No qualifying setup appeared today. The session was a news-driven risk-off drift driven by US-Iran military escalation (oil +9.6%, Brent $83.30/bbl). QQQ closed at 711.85 (-1.89%), breaking below its SMA20 (722.18) on a gap-down open that held throughout the session. NVDA and AMD both sold off with the broader tech sector — neither produced the first-hour return ≥ +1.5% needed for a LONG signal. The morning plan correctly identified this as structurally improbable: a gap-down open requiring reversal from the gap within 55 minutes, against geopolitical headwinds and pre-CPI caution.

VIX rose to 17.16 (+14% vs Friday's 15.03) but stayed in LOW regime (<18), which is DELTA's best vol environment historically (dev PF 2.59). The bind was not volatility — it was the absence of a leader move on the geopolitical-driven sector-wide selloff. The individual leader signal was drowned by the shared risk-off flow.

Member Summary

Cumulative Desk Status

• Total trades (all members): 4
• Win rate: 25.0%
• Net P&L: -$350.78
• SPRT status: CONTINUE — LLR -0.458, boundaries: +2.944 (CONSISTENT) / -2.944 (DEGRADED)
• Sub-book watch (AMD→TSM): 3 trades, 0% WR, PF 0.0 — pre-registered kill switch, not triggered (SPRT threshold not crossed)

Event Risk Outlook

Tomorrow — CPI June 2026 at 8:30 AM ET (HIGH). DELTA's hard skip fires on CPI day itself, so no position will be taken. The session's primary risk is holding a position through the print — impossible given the skip rule. The HIGH event risk tomorrow is a structural stand-down, not a risk-assessment call.

Desk-Level Learnings

• The gap-down open + geopolitical context created a textbook no-trade session: the leader signal is structurally absent when the entire sector moves together on non-specific risk. The morning plan's invalidation condition (QQQ gaps >1.5% lower and holds below open through 9:45 ET) was the correct framework.
• The inverted VIX dependency (best in LOW vol) remains a structural differentiator — the session met the vol condition but failed on the signal condition, confirming that vol is a permissive filter, not a sufficient one.
• Tomorrow's CPI is a hard skip by design. The question for the next tradeable session is whether the post-CPI price action re-establishes the individual leader move potential that was absent today.

Filed

• Filed: 2026-07-13 18:30 ET
• Next session event risk: HIGH (CPI June 2026 — hard skip for DELTA)