Daily Forecast 2026-09-11

📋 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	$708.69	-1.06%	23.3 (52nd pctile)	+0.15B flip 712.7	1.31% (0.80–2.21)
SPY	$757.83	-0.60%	17.8 (59th pctile)	-4.19B flip 766.0	0.88% (0.52–1.55)

QQQ RSI(2)8 oversold

QQQ vs 200-day+7.5%

QQQ GammaDealers long gamma (+$0.15B per 1% move), flip 712.7 sits 0.1% 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	17.84	59% pctile · Near median	13.5 ─ median 17.2 ─ 31.1	2026-09-10
VXN · QQQ	23.33	52% pctile · Near median	17.2 ─ median 23.3 ─ 33.5	2026-09-10

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 2026-09-10 的日线（距今约 28 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	0.88%	0.52% ~ 1.55%	Well above normal
A normal day with no particular signal. Run your usual parameters; no volatility-driven adjustment needed.
QQQ	Normal	1.31%	0.80% ~ 2.21%	Well 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 0.88% above means the day's high and low are expected to differ by about 0.88%.
· 80% interval:on 8 days out of 10 the actual value lands between 0.52% and 1.55%; 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	$714.89	+0.19B	Dealers long gamma	$713.94 (spot above)	$715 +0.02% · OI 2,949	$710 -0.68% · OI 2,769	$715
SPY	$764.48	-1.11B	Dealers short gamma	$766.42 (spot below)	$765 +0.07% · OI 6,907	$760 -0.59% · OI 3,086	—

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 (2026-09-10, QQQ $708.69): session -1.06% · 5-day -0.08% · vs 200-DMA +7.5% · below 52-week high -5.0% · RSI2=8 · VIX 17.8 · policy rate 3.63% (1-year -0.70)

Closest analog 2025-09-02 (distance 0.43): session -0.84% · 5-day -0.82% · vs 200-DMA +9.0% · below 52-week high -2.5% · RSI2=14 · VIX 17.2 · policy rate 4.33% (1-year -1.00)
What followed: next day +0.79% · 5-day +2.63% · 20-day +6.14%

Side by side | 2026-09-10 (prior session) -1.06% ↔ 2025-09-02 -0.84%; today maps to the day after 2025-09-02, which was +0.79% (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
2025-09-02	0.43	-0.84%	+0.79%	+2.63%	14	+6.14%
2024-12-30	0.46	-1.33%	-0.85%	-0.08%	11	+1.44%
2018-09-17	0.49	-1.44%	+0.83%	+1.41%	16	-5.03%
2024-10-31	0.50	-2.52%	+0.74%	+6.14%	10	+5.35%
2025-11-13	0.50	-2.04%	+0.08%	-3.74%	11	+0.86%

Top-20 analog statistics (deduplicated — far more reliable than any single day):
Next day mean +0.46% (up 70% of the time, range -1.6% to +2.9%) · 5-day +1.05% (75%) · 20-day +2.10% (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 1999-03-22–2026-09-10 (6911 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$717.25 (vs prior close +1.22%, Prev close $708.63)

LeanBase — no strong signal, lean is small

P(close above 9:00 price)56%

Expected close$717.3

Expected high$721.8

Expected low$712.4

Expected range1.31% (0.80–2.21%)

Gatebase

Features used5 (Missing inputs: oi)

Model versionv0.3-gates · 2026-09-11 09:02:56 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 $717.3 · range $712.4–$721.8	Open $715.68 · High $717.63 · Low $713.63 · Close $714.88 (Close vs 9:00 price -0.33%)

Direction✗ miss

Range inside band✗ miss 0.56% vs 0.80–2.21%

Expected high touchedno

Expected low touchedno

Brier0.310 Brier (naive) 0.310

Close error0.34% Naive error 0.33%

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

33.3 fear

prior close 33.1 · one week ago 45.2 · one month ago 60.1
Percentile since 2022 24.2%

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 · 2026-09-10

0.6 index P/C 0.85 · total P/C 0.83

Percentile since 2023 50.1% (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.