Daily Forecast 2026-09-28

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

📋Morning Board

Symbol	Prev close	Change	VIX / VXN (pct)	GEX ($B/1%)	Expected range
QQQ	$744.50	+0.46%	20.9 (23rd pctile)	-2.61B flip 743.8	1.03% (0.63–1.74)
SPY	$771.35	+0.54%	14.9 (8th pctile)	-1.64B flip 769.4	0.63% (0.37–1.10)

QQQ RSI(2)78 stretched

QQQ vs 200-day+11.9%

QQQ GammaDealers short gamma ($-2.61B per 1% move), flip 743.8 sits -0.7% 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	14.87	8% pctile · Depressed (complacency)	13.5 ─ median 17.2 ─ 31.1	2026-09-25
VXN · QQQ	20.87	23% pctile · Near median	17.2 ─ median 23.3 ─ 33.5	2026-09-25

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 2026-09-25 的日线（距今约 13 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	0.63%	0.37% ~ 1.10%	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.
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 0.63% above means the day's high and low are expected to differ by about 0.63%.
· 80% interval:on 8 days out of 10 the actual value lands between 0.37% and 1.10%; 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

Symbol	Spot	Net GEX ($B per 1%)	Regime	Zero-gamma flip	Call wall	Put wall	Pin
QQQ	$737.05	-1.78B	Dealers short gamma	$742.00 (spot below)	$740 +0.40% · OI 1,266	$736 -0.14% · OI 24,655	—
SPY	$765.73	-3.05B	Dealers short gamma	$769.65 (spot below)	$770 +0.56% · OI 1,868	$765 -0.10% · OI 3,026	—

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 (2026-09-25, QQQ $744.50): session +0.46% · 5-day +3.19% · vs 200-DMA +11.9% · below 52-week high -0.4% · RSI2=78 · VIX 14.9 · policy rate 3.63% (1-year -0.46)

Closest analog 2025-07-02 (distance 0.34): session +0.70% · 5-day +1.78% · vs 200-DMA +9.5% · below 52-week high -0.1% · RSI2=70 · VIX 16.6 · policy rate 4.33% (1-year -1.00)
What followed: next day +0.98% · 5-day +0.84% · 20-day +2.58%

Side by side | 2026-09-25 (prior session) +0.46% ↔ 2025-07-02 +0.70%; today maps to the day after 2025-07-02, which was +0.98% (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
2025-07-02	0.34	+0.70%	+0.98%	+0.84%	70	+2.58%
2019-09-11	0.35	+0.94%	+0.42%	+0.05%	83	-2.70%
2025-08-13	0.37	+0.05%	-0.08%	-2.49%	90	+0.64%
2025-02-18	0.39	+0.23%	+0.03%	-4.83%	96	-12.02%
2025-09-16	0.39	-0.08%	-0.20%	+1.19%	88	+1.15%

Top-20 analog statistics (deduplicated — far more reliable than any single day):
Next day mean +0.11% (up 60% of the time, range -1% to +1%) · 5-day -0.26% (55%) · 20-day +0.34% (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 1999-03-22–2026-09-25 (6922 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$740.67 (vs prior close -0.51%, Prev close $744.45)

LeanLEAN

P(close above 9:00 price)57%

Expected close$741.1

Expected high$744.4

Expected low$736.7

Expected range1.03% (0.63–1.75%)

Gategap_down_fade

Features used5 (Missing inputs: oi)

Model versionv0.3-gates · 2026-09-28 09:05:25 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 $741.1 · range $736.7–$744.4	Open $740.46 · High $741.42 · Low $731.63 · Close $736.53 (Close vs 9:00 price -0.56%)

Direction✗ miss

Range inside band✓ hit 1.32% vs 0.63–1.75%

Expected high touchedno

Expected low touchedyes

Brier0.322 Brier (naive) 0.310

Close error0.62% Naive error 0.56%

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 2026-09-23

Bull−bear spread -15.4 bulls 32.7% / bears 48.1%

39-year percentile 11.8% · 5-year percentile 26.2% (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

33.9 fear

prior close 37 · one week ago 34.2 · one month ago 53.7
Percentile since 2022 25.2%

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 · 2026-09-25

0.52 index P/C 0.95 · total P/C 0.75

Percentile since 2023 15.7% (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.