KTR Intel · Daily Market Note

KTR Market Note — 2026-11-13

KTR Research · written from the Helios daily diagnosis · published after the close

Overview

A mechanical session: SPY held a range while QQQ realized a trend day, with both indices mapped into negative dealer gamma. The structural fact of the day is the sign split between the front and back books — short front-dated gamma against modest long gamma at the 91-day-plus tenor — against a draining liquidity tide.

The Tape measured

SPY closed 754.21 against a prior close of 757.12, with a gap of +62bp and a realized day-type of RANGE. QQQ closed 679.89 against a prior close of 688.17, gap +51bp, realized day-type TREND. Breadth on the SPX-50 came in at 0.80 with the basket +12bp and dispersion of 17bp — a narrow spread between constituents, meaning index-level movement was not being driven by a wide fan of single-name outcomes. Premarket leadership was 43 of 50 up, with ORCL +209, NVDA +220 and PANW +333 at the top, and CSCO -297, AMD -159 and AVGO -157 at the bottom.

Liquidity & the Fed measured; posture graded-forward

Posture is NEUTRAL with tide at -1 and no macro tilt. Reserves are running $-62bn over four weeks, a slow drain. NetLiq stands at 5844 bn, RRP at 0.2 bn, and the four-week QT pace at 1.4 bn. The intel digest reads STRESS EMERGING: the liquidity tide is DRAINING on a four-week NetLiq change of -27bn, and tail hedges are richly bid with SKEW at 150 — that is, the cost of far out-of-the-money protection is elevated relative to the body of the distribution.

Positioning — Near and Far measured; WHERE, not direction

SPY's 0-1DTE book shows a flip at 762.3 with walls at 745.0 and 754.0 and net gamma of -1250 MM (NEGATIVE_GAMMA) — below the flip, dealer hedging amplifies rather than dampens movement. The far book totals -5596 MM/1%, composed of -4599 in 2-7D, -69 in 8-30D, -600 in 31-60D (put wall 650.0) and +247 at 91D+ (put wall 700.0). QQQ shows a flip at 691.5, walls at 650.0 and 689.0, and net gamma of -464 MM (NEGATIVE_GAMMA); its far book totals -3117 MM/1%, with -1497 in 2-7D, -589 in 8-30D, -379 in 31-60D (put wall 650.0) and +65 at 91D+ (put wall 600.0). Per the source read: short front against long back is compression inside a monthly ceiling/floor (shadow organ, day 2).

Regime & Season shadow organ; PM-pin law 2/2 days

SPY and QQQ both register gamma NG, mode RANGE, drive MECHANICAL, energy NORMAL, season FEAST. Both names are therefore described by the same configuration: positioning mechanics, rather than impulse, is the stated driver.

What We Are Watching

The SPY flip at 762.3 and QQQ flip at 691.5, and the walls bracketing each — 745.0 / 754.0 and 650.0 / 689.0 respectively.
The liquidity tide: NetLiq 4w at -27bn, reserves $-62bn/4w, RRP at 0.2 bn, and SKEW at 150.
Whether the front-short / back-long gamma split persists, and the FEAST season reading now in its second day as a shadow organ.

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KTR Intel is research output of KTR Capital’s proprietary systems, provided for informational purposes only. It is not investment advice, not a recommendation, and not an offer or solicitation to invest. Grades describe the evidentiary status of a claim. Past notes do not guarantee future outcomes.