| name | event-tape |
| description | Market-reaction measurement for listed-company events. Use when /ingest, /news, /earnings, event notes, actor notes, or securities notes need event-specific stock reaction adjusted for market, sector, and peer moves, with raw move, abnormal move, residual sigma, raw sigma, and abnormal/raw sigma outputs. Applies to after-close/pre-open announcements, intraday catalysts, M&A-adjacent events, financings, product launches, regulatory decisions, customer wins/losses, and peer read-throughs. |
Event Tape
Measure what the tape believed without confusing broad market beta, sector moves, or peer read-through with the company-specific event.
Trigger
Use this whenever a listed-company event changes valuation, financing, competitive position, risk, or peer read-through. Run it before writing the final ## Market Reaction section.
For public-company M&A, keep merger-arb fields from docs/note-checklist.md#public-company-ma-market-reaction; use this skill for the adjusted return and sigma stack.
Event Window
- During market hours: use the pre-announcement regular-session price as the anchor, then the first stabilized post-announcement print after the initial noise subsides. Also update with the regular-session close when available.
- After close and before open: use the prior regular-session close to a stabilized next-day regular-session print around 10:00-10:30 ET. Also update with the next-day close when available.
- Weekend or holiday: use the prior regular-session close to the next regular-session stabilized print. Also update with that session's close when available.
- If the close is not available yet, write the status explicitly:
same-day close not yet available as of HH:MM ET; stabilized morning reaction is .... Do not use TODO, TBD, or verify later.
Match the historical volatility window to the reaction window when possible. If only daily data exists, label intraday sigma as approximate and prefer close-to-close sigma for the final close reaction.
Price Sources
Use local market_data.db only when fresh for the relevant window. Otherwise verify price data from StockAnalysis, exchange data, company IR, broker market-data pages, or another reliable historical-price source. Record the source and timestamp in the output. Do not write precise price moves into vault notes from memory or secondary article commentary.
Adjustment Model
Report four layers, in this order:
- Raw move: company price change over the chosen event window.
- Benchmark or sector-adjusted abnormal move: raw move minus expected move from broad market, sector ETF, and/or beta model.
- Peer read-through: peer and competitor moves measured separately. Do not subtract peers by default when the event plausibly affects them indirectly; that peer move may be part of the event's market signal.
- Peer-adjusted residual: diagnostic only when peer moves are judged unrelated background or when the question is narrow single-name idiosyncrasy.
Prefer a simple transparent model over a fragile overfit model. State the factor set used, such as SPY + QQQ + SMH, sector ETF + market, or peer basket + market.
Sigma Stack
Use the model-adjusted abnormal move as the core event numerator. Show all three measurements:
| Metric | Numerator | Denominator | Meaning |
|---|
| Raw sigma | Raw move | Historical raw volatility | Holder impact: how unusual the experienced stock move was |
| Residual sigma | Model-adjusted abnormal move | Historical residual volatility from the same factor model | Event-specific surprise after discounting market, sector, and chosen factors |
| Abnormal/raw sigma | Model-adjusted abnormal move | Historical raw volatility | Event component compared with ordinary total stock volatility |
If using a peer-adjusted residual numerator, compare it with the historical residual volatility from that same peer model. Do not compare a peer-model residual against an unrelated residual denominator.
Required Output
Include a table with these columns:
| Actor / ticker | Window | Raw move | Benchmark / sector move | Abnormal move | Raw sigma | Residual sigma | Abnormal/raw sigma | Peer read-through | Price source / timestamp | Status |
|---|
Then write one sentence answering: what did the tape believe?
Separate preliminary, stabilized, and final-close reactions. A morning measurement can be useful, but do not let it masquerade as the final close-to-close verdict.
