Daily Forecast 2026-09-16

All sections
📋 Morning Board📏 Range ForecastΓ Gamma Map🕰 Analog Days🎯 9:00 Forecast✅ Scorecard🌡 Sentiment

📋Morning Board

SymbolPrev closeChangeVIX / VXN (pct)GEX ($B/1%)Expected range
QQQ$704.54-0.65%22.3 (37th pctile)-0.85B flip 710.51.19% (0.73–2.01)
SPY$757.39-0.46%17.2 (49th pctile)-4.69B flip 765.40.81% (0.47–1.42)
QQQ RSI(2)16 neutral
QQQ vs 200-day+6.6%
QQQ GammaDealers short gamma ($-0.85B per 1% move), flip 710.5 sits -0.4% 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 17.20 49% pctile · Near median
13.5 ─ median 17.2 ─ 31.1 		2026-09-15
VXN · QQQ 22.26 37% pctile · Near median
17.2 ─ median 23.3 ─ 33.5 		2026-09-15
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 2026-09-15 的日线（距今约 23 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 Normal 0.81% 0.47% ~ 1.42% Well above normal
A normal day with no particular signal. Run your usual parameters; no volatility-driven adjustment needed.
QQQ Normal 1.19% 0.73% ~ 2.01% Slightly above normal
A normal day with no particular signal. Run your usual parameters; no volatility-driven adjustment needed.
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 0.81% above means the day's high and low are expected to differ by about 0.81%.
· 80% interval:on 8 days out of 10 the actual value lands between 0.47% and 1.42%; 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 0.48, model refits on every run.

ΓGamma Map

SymbolSpotNet GEX ($B per 1%)RegimeZero-gamma flipCall wallPut wallPin
QQQ$709.46-0.94BDealers short gamma$712.60 (spot below)$715 +0.78% · OI 5,093$706 -0.49% · OI 1,792—
SPY$757.38-5.99BDealers short gamma$766.34 (spot below)$760 +0.35% · OI 4,826$755 -0.31% · OI 3,505—

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 (2026-09-15, QQQ $704.54): session -0.65% · 5-day -1.92% · vs 200-DMA +6.6% · below 52-week high -5.6% · RSI2=16 · VIX 17.2 · policy rate 3.63% (1-year -0.70)
Closest analog 2024-11-04 (distance 0.36): session -0.29% · 5-day -1.90% · vs 200-DMA +5.9% · below 52-week high -3.4% · RSI2=30 · VIX 22.0 · policy rate 4.83% (1-year -0.50)
What followed: next day +1.28% · 5-day +5.73% · 20-day +6.35%
Side by side | 2026-09-15 (prior session) -0.65% ↔ 2024-11-04 -0.29%; today maps to the day after 2024-11-04, which was +1.28% (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
2024-11-04 0.36 -0.29% +1.28% +5.73% 30 +6.35%
2017-08-21 0.38 -0.13% +1.52% +0.96% 10 +3.37%
2015-06-08 0.41 -1.02% -0.17% +0.02% 4 -0.20%
2015-03-31 0.45 -1.06% -0.52% +0.98% 35 +3.55%
2018-09-17 0.46 -1.44% +0.83% +1.41% 16 -5.03%
Top-20 analog statistics (deduplicated — far more reliable than any single day):
Next day mean +0.14% (up 60% of the time, range -2.5% to +2.9%) · 5-day +1.01% (80%) · 20-day +1.91% (70%)
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 1999-03-22–2026-09-15 (6914 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”.

🎯9:00 Forecast

9:00 premarket price$708.26 (vs prior close +0.52%, Prev close $704.59)
LeanBase — no strong signal, lean is small
P(close above 9:00 price)56%
Expected close$708.3
Expected high$712.4
Expected low$703.9
Expected range1.19% (0.73–2.01%)
Gatebase
Features used5 (Missing inputs: oi)
Model versionv0.3-gates · 2026-09-16 09:02:53 ET

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

✅Scorecard

CalledActual
P(up) 56% · close $708.3 · range $703.9–$712.4Open $708.00 · High $711.88 · Low $700.00 · Close $704.72 (Close vs 9:00 price -0.50%)
Direction✗ miss
Range inside band✓ hit 1.69% vs 0.73–2.01%
Expected high touchedno
Expected low touchedyes
Brier0.310 Brier (naive) 0.310
Close error0.51% Naive error 0.50%
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 2026-09-02
Bull−bear spread +2.1 bulls 39.7% / bears 37.6%
39-year percentile 40.1% · 5-year percentile 58.1% (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
26.5 fear
prior close 28.7 · one week ago 38.2 · one month ago 64.3
Percentile since 2022 15.7%
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 · 2026-09-15
0.56 index P/C 1.01 · total P/C 0.86
Percentile since 2023 30.8% (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.

Full report: Morning report · Evening report

Research output, not investment advice.