Daily Forecast 2026-10-09

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$747.58-1.34%22.0 (32nd pctile)+3.94B flip 747.01.15% (0.70–1.94)
SPY$773.93-0.42%15.4 (17th pctile)+9.77B flip 773.50.69% (0.40–1.21)
QQQ RSI(2)17 neutral
QQQ vs 200-day+11.3%
QQQ GammaDealers long gamma (+$3.94B per 1% move), flip 747.0 sits 1% 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 15.41 17% pctile · Depressed (complacency)
13.5 ─ median 17.2 ─ 31.1 		2026-10-08
VXN · QQQ 21.98 32% pctile · Near median
17.2 ─ median 23.3 ─ 33.5 		2026-10-08
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)
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 0.69% 0.40% ~ 1.21% 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 Normal 1.15% 0.70% ~ 1.94% 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 0.69% above means the day's high and low are expected to differ by about 0.69%.
· 80% interval:on 8 days out of 10 the actual value lands between 0.40% and 1.21%; 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$754.18+3.94BDealers long gamma$746.99 (spot above)$755 +0.11% · OI 12,707$754 -0.02% · OI 12,242$754
SPY$777.30+9.77BDealers long gamma$773.49 (spot above)$780 +0.35% · OI 43,838$775 -0.30% · OI 18,278$780

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 · pre-open snapshot

🕰Analog Days

Prior close profile (2026-10-08, QQQ $747.58): session -1.34% · 5-day +0.75% · vs 200-DMA +11.3% · below 52-week high -1.6% · RSI2=17 · VIX 15.4 · policy rate 3.63% (1-year -0.46)
Closest analog 2025-08-29 (distance 0.41): session -1.16% · 5-day -0.27% · vs 200-DMA +10.0% · below 52-week high -1.7% · RSI2=27 · VIX 15.4 · policy rate 4.33% (1-year -1.00)
What followed: next day -0.84% · 5-day +1.48% · 20-day +4.97%
Side by side | 2026-10-08 (prior session) -1.34% ↔ 2025-08-29 -1.16%; today maps to the day after 2025-08-29, which was -0.84% (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
2025-08-29 0.41 -1.16% -0.84% +1.48% 27 +4.97%
2025-09-25 0.41 -0.43% +0.41% +2.06% 15 +2.87%
2025-10-30 0.42 -1.53% +0.48% -2.30% 32 -1.09%
2025-08-15 0.45 -0.44% -0.04% -0.93% 30 +2.48%
2021-07-27 0.45 -1.10% +0.38% +0.65% 30 +2.73%
Top-20 analog statistics (deduplicated — far more reliable than any single day):
Next day mean -0.17% (up 60% of the time, range -2.5% to +1%) · 5-day -0.01% (60%) · 20-day +1.04% (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 1999-03-22–2026-10-08 (6931 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$752.40 (vs prior close +0.65%, Prev close $747.57)
LeanBase — no strong signal, lean is small
P(close above 9:00 price)56%
Expected close$752.5
Expected high$756.6
Expected low$748.0
Expected range1.15% (0.70–1.94%)
Gatebase
Features used5 (Missing inputs: oi)
Model versionv0.3-gates · 2026-10-09 09:03:39 ET

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

✅Scorecard

Not scored yet (settles at 16:30 ET).

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%
Automatic retrieval found no newer release; this reading is 16 days old
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
38.1 fear
prior close 37.9 · one week ago 40 · one month ago 38.2
Percentile since 2022 30.1%
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 · 2026-10-08
0.62 index P/C 1.03 · total P/C 0.89
Percentile since 2023 57% (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

Research output, not investment advice.