2026-10-07

Market state: TREND (since Sep 25) · Switch: IN SPY

Gauges: VIX 16.0 · NAAIM 80 · Fear&Greed 45 · CAPE 41.8 · temp yellow (as of 2026-10-08)

Macro ahead: CPI Oct 14 (extreme) · PPI Oct 15 (high)

Track #0 (SPY state machine, rule position): SPY · state trend

SCREENS · pre-registered rules (fingerprint 0d842165) · entry = close of the first session after the signal date

SCR-1 Trend breakout: no new signal

SCR-2 Mean reversion: no new signal

SCR-3 Gap follow-through: no new signal

SCR-5 Volume/price vector: no new signal

SCR-4 Sector rotation: no rebalance today · paper NAV $9448 (-5.52% since start)

Status: all five screens are in live trial. No screen carries a verification badge yet. Killed strategies stay on the record.

EVENT TRACKS · 16 pre-registered tracks (fingerprint 93a651bf)

8-K 8.01 buyback announcement (killed in backtest): 1 new (names in Member edition)

8-K 2.02 post-earnings drift (killed in backtest): 12 new (names in Member edition)

8-K 5.02 leadership change (killed in backtest): 8 new (names in Member edition)

13D activist stake (killed in backtest): 1 new (names in Member edition)

NAMES NOW PUBLIC: not yet available for Sep 30 (archive starts with the first letter).

RISK FLAGS · same day for everyone (public filings)

Earnings within 2 sessions: PEP Oct 08, DAL Oct 09

Planned insider sales (Form 144): 9 filing(s) — LLY $347.2M (Shareholder), ANET $21.1M (Director), DDOG $15.0M (Director), DELL $5.2M (Director), SMCI $4.5M (Director), VST $3.1M (Officer), RMD $1.1M (Director), ADI $820K (Officer)

News risk ≥7/10: ALL 7/10 — Elizabeth Warren, Josh Hawley Launch Probe Into Insurance Giants Over Claims That End With $0 Payouts — State

EVENTS · counts (names in Member edition)

Insider buys (Form 4): 0

13D stakes: 9

Unusual volume: 55

Pre-market movers: 6

Social buzz: 4

SCORECARD · live record, settled windows only, vs SPY

SCR-1 Trend breakout: n=0 · 5 signals, 1 quarter(s) · bar n>=100 and >=4 calendar quarters

SCR-2 Mean reversion: n=0 · 0 signals, 0 quarter(s) · bar n>=100 and >=4 calendar quarters

SCR-3 Gap follow-through: n=3 median -1.91% hit 33% (net vs SPY) · 7 signals, 2 quarter(s) · bar n>=100 and >=4 calendar quarters

SCR-5 Volume/price vector: n=0 · 6 signals, 1 quarter(s) · bar n>=100 and >=4 calendar quarters

Event tracks with settled windows: f13_L n=507 median -5.59% hit 39% (gross vs SPY) [killed in backtest] · f13_S n=508 median -3.18% hit 41% (net vs SPY) [killed in backtest] · d13_S n=38 median -2.71% hit 37% (net vs SPY) [killed in backtest] · clu_S n=20 median -2.28% hit 20% (net vs SPY) [killed in backtest] · pead_S n=2029 median -0.79% hit 45% (net vs SPY) [killed in backtest] · bb_S n=82 median -0.81% hit 44% (net vs SPY) [killed in backtest]

The operator trades the same pre-registered rules with personal funds, after publication, never before.

AEGIS Letter is an impersonal financial publication of general circulation. Same content, same time, to every subscriber. It is not personalized investment advice, not a broker-dealer or investment adviser, and manages no money.

Informational only. Not investment advice. All investing involves risk of loss. Sources: SEC EDGAR, exchange data, FRED. Data as of 2026-10-07.