Daily Forecast 2026-10-01

📋 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	$739.77	+0.25%	22.5 (38th pctile)	+1.41B flip 740.5	1.09% (0.66–1.83)
SPY	$762.63	-0.21%	16.3 (31st pctile)	-0.71B flip 765.0	0.72% (0.42–1.27)

QQQ RSI(2)60 neutral

QQQ vs 200-day+10.9%

QQQ GammaDealers long gamma (+$1.41B per 1% move), flip 740.5 sits 0.4% below 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	16.34	31% pctile · Near median	13.5 ─ median 17.2 ─ 31.1	2026-09-30
VXN · QQQ	22.46	38% pctile · Near median	17.2 ─ median 23.3 ─ 33.5	2026-09-30

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 2026-09-30 的日线（距今约 8 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	0.72%	0.42% ~ 1.27%	About normal
A normal day with no particular signal. Run your usual parameters; no volatility-driven adjustment needed.
QQQ	Normal	1.09%	0.66% ~ 1.83%	About 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 0.72% above means the day's high and low are expected to differ by about 0.72%.
· 80% interval:on 8 days out of 10 the actual value lands between 0.42% and 1.27%; 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	$743.61	+0.41B	Dealers long gamma	$742.49 (spot above)	$745 +0.19% · OI 19,847	$730 -1.83% · OI 48,924	$745
SPY	$764.73	-0.91B	Dealers short gamma	$766.21 (spot below)	$770 +0.69% · OI 15,400	$760 -0.62% · OI 13,354	—

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 (2026-09-30, QQQ $739.77): session +0.25% · 5-day -0.19% · vs 200-DMA +10.9% · below 52-week high -1.0% · RSI2=60 · VIX 16.3 · policy rate 3.63% (1-year -0.46)

Closest analog 2025-07-02 (distance 0.38): 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 | 2026-09-30 (prior session) +0.25% ↔ 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	0.38	+0.70%	+0.98%	+0.84%	70	+2.58%
2017-09-06	0.39	+0.30%	+0.23%	+0.89%	52	+0.62%
2019-09-17	0.39	+0.48%	-0.04%	-2.40%	65	+0.48%
2025-09-04	0.39	+0.91%	+0.14%	+1.54%	79	+5.30%
2025-07-23	0.40	+0.46%	+0.21%	+0.75%	70	+0.37%

Top-20 analog statistics (deduplicated — far more reliable than any single day):
Next day mean +0.30% (up 85% of the time, range -1.3% to +1.4%) · 5-day -0.09% (60%) · 20-day +0.60% (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 1999-03-22–2026-09-30 (6925 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$743.74 (vs prior close +0.53%, Prev close $739.84)

LeanBase — no strong signal, lean is small

P(close above 9:00 price)56%

Expected close$743.8

Expected high$747.7

Expected low$739.6

Expected range1.09% (0.66–1.83%)

Gatebase

Features used5 (Missing inputs: oi)

Model versionv0.3-gates · 2026-10-01 09:02:19 ET

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

✅Scorecard

Called	Actual
P(up) 56% · close $743.8 · range $739.6–$747.7	Open $742.51 · High $744.67 · Low $736.25 · Close $742.03 (Close vs 9:00 price -0.23%)

Direction✗ miss

Range inside band✓ hit 1.14% vs 0.66–1.83%

Expected high touchedno

Expected low touchedyes

Brier0.310 Brier (naive) 0.310

Close error0.24% Naive error 0.23%

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

28.1 fear

prior close 30.8 · one week ago 35.7 · one month ago 44.9
Percentile since 2022 17.6%

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 · 2026-09-30

0.53 index P/C 1.03 · total P/C 0.88

Percentile since 2023 19.7% (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.