Daily Forecast 2026-09-01

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📋 Morning Board 📏 Range Forecast Γ Gamma Map 🕰 Analog Days 📅 Calendar 🎯 9:00 Forecast ✅ Scorecard 🌡 Sentiment 🧭 Macro Score

📋Morning Board

Symbol	Prev close	Change	VIX / VXN (pct)	GEX ($B/1%)	Expected range
QQQ	$716.76	+0.05%	20.2 (18th pctile)	-1.92B flip 716.1	1.03% (0.63–1.74)
SPY	$767.05	-0.30%	14.9 (8th pctile)	-4.31B flip 767.8	0.71% (0.41–1.24)

QQQ RSI(2)55 neutral

QQQ vs 200-day+9.3%

QQQ GammaDealers short gamma ($-1.92B per 1% move), flip 716.1 sits -0.9% above spot

How to read this · VIX

σ Volatility Indices (VIX / VXN)

VIX = S&P 500 30-day implied volatility (maps to SPY); VXN = the same measure for the Nasdaq 100 (maps to QQQ). Percentile = share of the past year (252 trading days) that closed below the current value.

Index	Current	Percentile	1-year range	As of
VIX · SPY	14.92	8% pctile · Depressed (complacency)	13.5 ─ median 17.2 ─ 31.1	2026-08-31
VXN · QQQ	20.18	18% pctile · Depressed (complacency)	17.2 ─ median 23.3 ─ 33.5	2026-08-31

CBOE official daily closes (VIX from 1990, VXN from 2009). These are closing values, not intraday — the morning brief uses the prior session's close and the evening review the current close, so the series stays consistent with history with no point-in-time bias.

📏Range Forecast

Today's Range Forecast (pre-open)

⚠ 数据陈旧：本预测基于 2026-08-31 的日线（距今约 38 天）。落盘日线可能未更新（检查 PostClose_Rebuild 任务），下面的数字不可用于今日决策。

This section answers one question only: how far price is likely to swing between the open and the close (high minus low). It does not forecast direction — the directional version has been backtested repeatedly and produced no reliable signal.

Symbol	Tier	Forecast day range	80% interval	vs last 20d
SPY	Low	0.71%	0.41% ~ 1.24%	Slightly above normal
Today is likely to be calmer than usual — price has less room to move. Selling options is favoured and normal strike width is fine. Long straddles are unfavourable today: you need a big move just to break even. Stops can be tightened somewhat.
QQQ	Low	1.03%	0.63% ~ 1.74%	About normal
Today is likely to be calmer than usual — price has less room to move. Selling options is favoured and normal strike width is fine. Long straddles are unfavourable today: you need a big move just to break even. Stops can be tightened somewhat.

How to read this table
· Forecast day range: how far today's high is from today's low, as a percentage of the current price.For example 0.71% above means the day's high and low are expected to differ by about 0.71%.
· 80% interval:on 8 days out of 10 the actual value lands between 0.41% and 1.24%; on the other 2 it falls outside. That is the honest error band — the real value may be half the forecast, or half again as large.
· Tier: days are bucketed into large / medium / small. When it says “High”, about 6 times out of 10 the day really is large, versus barely 3 in 10 for a blind guess. Good enough to size positions and choose strike width; not good enough to compute precise P&L.
· “Tier” and “vs last 20d” can look contradictory, and that is normal: the tier compares against the past several years, the right-hand column against the last 20 days. “High tier but about normal” means the recent period has itself been high-volatility — today is not exceptional, but the overall environment is jumpy and position sizing should stay cautious.
· A 10:00 intraday revision email follows, folding in the actual range and volume from the first half hour; the forecast gets sharper then.

Technical: out-of-sample R² SPY 0.51 / QQQ 0.49, model refits on every run.

ΓGamma Map

Symbol	Spot	Net GEX ($B per 1%)	Regime	Zero-gamma flip	Call wall	Put wall	Pin
QQQ	$707.83	-1.17B	Dealers short gamma	$715.28 (spot below)	$715 +1.01% · OI 1,741	$700 -1.11% · OI 5,514	—
SPY	$761.93	-3.56B	Dealers short gamma	$769.21 (spot below)	$766 +0.53% · OI 3,096	$760 -0.25% · OI 2,803	—

Positive gamma: dealers sell rallies and buy dips, damping moves. Negative gamma: dealers chase, amplifying moves.

Walls are gamma-weighted, not raw OI. 503-day test: a NEAR call wall is real resistance and breakouts through it run shorter; a FAR call wall breaks more often (a volatility tell). Put walls show no measurable support.

DTE≤7 · Walls use the front expiry · post-close snapshot

🕰Analog Days

Prior close profile (2026-08-31, QQQ $716.76): session +0.05% · 5-day +1.48% · vs 200-DMA +9.3% · below 52-week high -3.9% · RSI2=55 · VIX 14.9 · policy rate 3.63% (1-year -0.70)

Closest analog 2019-12-09 (distance 0.45): session -0.45% · 5-day +0.53% · vs 200-DMA +8.5% · below 52-week high -1.0% · RSI2=55 · VIX 15.9 · policy rate 1.55% (1-year -0.64)
What followed: next day -0.08% · 5-day +2.55% · 20-day +6.41%

Side by side | 2026-08-31 (prior session) +0.05% ↔ 2019-12-09 -0.45%; today maps to the day after 2019-12-09, which was -0.08% (single days are mostly coincidence — the Top-20 statistics below are more reliable)

Analog (top 5)	Distance	That day	Next day	5 days on	RSI2 then	20 days on
2019-12-09	0.45	-0.45%	-0.08%	+2.55%	55	+6.41%
2025-09-04	0.46	+0.91%	+0.14%	+1.54%	79	+5.30%
2019-09-19	0.46	+0.17%	-1.06%	-1.79%	75	+0.37%
2024-10-30	0.47	-0.76%	-2.52%	+1.85%	43	+1.80%
2018-09-18	0.47	+0.83%	-0.08%	+0.71%	54	-3.07%

Top-20 analog statistics (deduplicated — far more reliable than any single day):
Next day mean -0.18% (up 50% of the time, range -2.5% to +2%) · 5-day -0.10% (60%) · 20-day +0.81% (75%)
Note: QQQ drifts up over time, so the unconditional probability of any given next day being positive is already about 55%. Compare the “up %” above against that baseline, not against 50%.

25 features in three equally weighted groups: price position (return / distance to moving averages / position in the 52-week range / trend slope / consecutive up-down days / gaps) + technicals (RSI2 / RSI14 / volatility / relative volume / volume trend / range / KDJ-J / Bollinger %B / MACD histogram) + environment (VIX / rate cycle / credit spreads / dollar index / oil / S&P P/E / CBOE equity P/C / AAII bull-bear spread). Weighted z-score Euclidean distance; matching pool 1999-03-22–2026-08-31 (6904 days, excluding ±60 days around the target). Narrative context, not a trading signal: after four rounds of feature engineering the Top-1 next-day directional hit rate tops out at 54.9%, still below the 57% you get by always guessing up. The data is given in full, but do not use it for direction — it answers “which historical setup does today resemble”, not “will tomorrow be up or down”.

📅Calendar

Here's a summary of key US economic data releases and Federal Reserve events between September 1 and September 6, 2026 (ET) that could impact the broader US stock market:

September 1, 2026, Tuesday, 10:00 AM ET - ISM Manufacturing Index — This report provides a look into the health of the manufacturing sector.

September 2, 2026, Wednesday, 2:00 PM ET - Beige Book — This report offers anecdotal information on current economic conditions across the twelve Federal Reserve districts.

September 4, 2026, Friday, 8:30 AM ET - Non-Farm Payrolls (NFP) — This is a highly anticipated report on US employment, excluding the farming sector, and can significantly influence market sentiment.

September 4, 2026, Friday, 8:30 AM ET - Unemployment Rate — Released alongside NFP, this indicates the percentage of the labor force that is jobless and actively seeking employment.

🎯9:00 Forecast

9:00 premarket price$707.57 (vs prior close -1.29%, Prev close $716.82)

LeanLEAN

P(close above 9:00 price)57%

Expected close$708.0

Expected high$711.1

Expected low$703.8

Expected range1.03% (0.63–1.74%)

Gategap_down_fade

Features used5 (Missing inputs: oi)

Model versionv0.3-gates · 2026-09-01 09:02:28 ET

Posted at 09:05 ET, scored at 16:45 ET. The ledger keeps every call — misses included.

✅Scorecard

Called	Actual
P(up) 57% · close $708.0 · range $703.8–$711.1	Open $707.39 · High $712.30 · Low $704.66 · Close $707.64 (Close vs 9:00 price +0.01%)

Direction✓ hit

Range inside band✓ hit 1.07% vs 0.63–1.74%

Expected high touchedyes

Expected low touchedno

Brier0.188 Brier (naive) 0.196

Close error0.05% Naive error 0.01%

Running tally · 40 calls scored · direction hit rate 18/40 · avg Brier vs naive 0.259 / 0.259

Naive baseline = "close equals 9:00 price, always 55% up".

🌡Sentiment

AAII Retail Sentiment Survey · week of 2026-08-26

Bull−bear spread -11.5 bulls 32.9% / bears 44.4%

39-year percentile 16.2% · 5-year percentile 32.7% (the distribution has shifted down; use the 5-year figure)

Historically a contrarian indicator, and it takes 3–4 weeks to work, not 1–2. Since 2020 the effect has broken down and at times inverted — low-weight atmosphere only.

CNN Fear & Greed Index · live

44.6 fear

prior close 49.7 · one week ago 56.8 · one month ago 45.2
Percentile since 2022 42.2%

Backtested: no predictive power for same-day or next-day direction (its components are that day's price action, which makes it circular). Forward absolute returns are positive from every bucket; only the magnitude differs — pure atmosphere.

CBOE Equity Put/Call · 2026-08-31

0.7 index P/C 0.92 · total P/C 0.84

Percentile since 2023 79.4% (median over the same period 0.59)
Low = retail crowding into calls (speculative heat); high = heavy put demand (defensive)

Backtested: an extremely low P/C (call mania) does not mark tops — forward returns are in fact slightly positive, the opposite of the popular claim. Atmosphere only.

All four have been backtested: none carries tradable predictive power for same-day or next-day direction. They describe the sentiment backdrop and are not a basis for buying or selling.

🧭Macro Score

Total 68 / 99 · Posture: Neutral (2026-09-01)

Category	Value	Score	Note
Macro		17 / 20
└ GDP growth (ann.)	1.5	3 / 5
└ Core CPI YoY	2.5	5 / 5
└ Unemployment	4.1	5 / 5
└ PMI (mfg+svc avg)	54.9	4 / 5
Monetary policy		13 / 25
└ Real rate (FFR − core CPI)	1.25	8 / 8	neutral zone 0–1.5%
└ Policy stance & guidance	model judgment	3 / 10	model judgment
└ Communication vs market	model judgment	2 / 7	model judgment
Earnings		17 / 20
└ EPS growth YoY %	52	5 / 5
└ Forward P/E	19.6	5 / 8	10-yr avg ≈ 17–18
└ Earnings quality	model judgment	4 / 4	model judgment
└ EPS beat rate %	86	3 / 3
Liquidity		9 / 10
└ IG credit spread OAS %	0.8	4 / 4
└ M2 YoY %	5.41	3 / 3	overheating also penalised
└ Financial conditions	—	2 / 3	proxied by spreads + M2
Policy & geopolitics		3 / 15
└ Domestic policy risk	model judgment	1.5 / 7.5	model judgment
└ Geopolitical risk	model judgment	1.5 / 7.5	model judgment
Sentiment & technicals		9 / 10
└ VIX regime	14.92	4 / 4	low = seller regime, high = oversold signals active; not directional
└ Trend (200-day, SPY+QQQ)	2	3 / 3	the only trend state that passed FDR
└ Flows / rotation / volume	model judgment	2 / 2	volume ratio + rotation dispersion + breadth; conditions, not direction

Weeks-to-months backdrop, not an overnight signal. Being forward-tested; it does not drive any order.

Full report: Morning report · Evening report

Research output, not investment advice.