Daily Forecast 2026-09-14

📋 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	$714.88	+0.87%	21.0 (26th pctile)	-4.26B flip 721.5	1.04% (0.63–1.76)
SPY	$764.29	+0.85%	15.8 (21st pctile)	-8.32B flip 768.4	0.70% (0.41–1.22)

QQQ RSI(2)59 neutral

QQQ vs 200-day+8.3%

QQQ GammaDealers short gamma ($-4.26B per 1% move), flip 721.5 sits -2.3% 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	15.84	21% pctile · Near median	13.5 ─ median 17.2 ─ 31.1	2026-09-11
VXN · QQQ	21.02	26% pctile · Near median	17.2 ─ median 23.3 ─ 33.5	2026-09-11

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 2026-09-11 的日线（距今约 27 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	0.70%	0.41% ~ 1.22%	Slightly above 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	1.04%	0.63% ~ 1.76%	Slightly above 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 0.70% above means the day's high and low are expected to differ by about 0.70%.
· 80% interval:on 8 days out of 10 the actual value lands between 0.41% and 1.22%; 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	$709.61	-2.51B	Dealers short gamma	$718.91 (spot below)	$715 +0.76% · OI 1,646	$705 -0.65% · OI 10,115	—
SPY	$761.13	-6.95B	Dealers short gamma	$769.25 (spot below)	$765 +0.51% · OI 2,008	$760 -0.15% · OI 43,115	—

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 (2026-09-11, QQQ $714.88): session +0.87% · 5-day -0.39% · vs 200-DMA +8.3% · below 52-week high -4.2% · RSI2=59 · VIX 15.8 · policy rate 3.63% (1-year -0.70)

Closest analog 2026-01-05 (distance 0.24): session +0.79% · 5-day -0.95% · vs 200-DMA +10.5% · below 52-week high -2.8% · RSI2=69 · VIX 14.9 · policy rate 3.64% (1-year -0.69)
What followed: next day +0.88% · 5-day +1.49% · 20-day -0.24%

Side by side | 2026-09-11 (prior session) +0.87% ↔ 2026-01-05 +0.79%; today maps to the day after 2026-01-05, which was +0.88% (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
2026-01-05	0.24	+0.79%	+0.88%	+1.49%	69	-0.24%
2019-12-04	0.35	+0.51%	+0.20%	+1.26%	45	+5.80%
2024-10-24	0.35	+0.81%	+0.61%	-1.72%	54	+2.57%
2025-09-03	0.39	+0.79%	+0.91%	+1.86%	55	+5.82%
2017-08-14	0.43	+1.29%	+0.07%	-2.00%	75	+1.59%

Top-20 analog statistics (deduplicated — far more reliable than any single day):
Next day mean +0.17% (up 60% of the time, range -1.1% to +1.5%) · 5-day +0.81% (75%) · 20-day +2.47% (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 1999-03-22–2026-09-11 (6912 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$702.61 (vs prior close -1.71%, Prev close $714.85)

LeanLEAN

P(close above 9:00 price)57%

Expected close$703.0

Expected high$706.2

Expected low$698.9

Expected range1.04% (0.63–1.76%)

Gategap_down_fade

Features used4 (Missing inputs: oi|gex)

Model versionv0.3-gates · 2026-09-14 09:04:00 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 $703.0 · range $698.9–$706.2	Open $703.33 · High $712.95 · Low $702.74 · Close $709.18 (Close vs 9:00 price +0.94%)

Direction✓ hit

Range inside band✓ hit 1.43% vs 0.63–1.76%

Expected high touchedyes

Expected low touchedno

Brier0.188 Brier (naive) 0.196

Close error0.87% Naive error 0.94%

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

31.1 fear

prior close 33.3 · one week ago 45.2 · one month ago 64.3
Percentile since 2022 21.9%

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 · 2026-09-11

0.58 index P/C 1.06 · total P/C 0.86

Percentile since 2023 40.2% (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.