Daily Forecast 2026-08-21

All sections

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

📋Morning Board

Symbol	Prev close	Change	VIX / VXN (pct)	GEX ($B/1%)	Expected range
QQQ	$710.93	-0.72%	23.3 (50th pctile)	—	—
SPY	$762.60	-0.84%	16.0 (24th pctile)	-9.21B flip 766.0	—

QQQ RSI(2)8 oversold

QQQ vs 200-day+9.8%

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	16.01	24% pctile · Near median	13.5 ─ median 17.2 ─ 31.1	2026-08-20
VXN · QQQ	23.26	50% pctile · Near median	17.2 ─ median 23.3 ─ 33.5	2026-08-20

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

📉 今日震幅预估 —— 取数失败

脚本无有效输出（退出码 null）：无任何输出
本板块本次无数据。这是故障提示，不是「今天没有预估」 —— 请检查 tools/amp_forecast.py 与 IB Gateway 状态。

ΓGamma Map

Symbol	Spot	Net GEX ($B per 1%)	Regime	Zero-gamma flip	Call wall	Put wall	Pin
QQQ	$714.25	-0.38B	Dealers short gamma	$723.74 (spot below)	$718 +0.53% · OI 1,442	$705 -1.30% · OI 3,274	—
SPY	$767.00	-1.85B	Dealers short gamma	$772.59 (spot below)	$772 +0.65% · OI 9,294	$765 -0.26% · OI 13,791	—

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

⚠️ This run failed; showing the last successful result (2026-08-19). The profile may not be the latest session.

Prior close profile (2026-08-19, QQQ $716.08): session -0.20% · 5-day -1.05% · vs 200-DMA +9.8% · below 52-week high -4.0% · RSI2=8 · VIX 14.9 · policy rate 3.63% (1-year -0.70)

Closest analog 2025-12-15 (distance 0.39): session -0.50% · 5-day -2.20% · vs 200-DMA +10.9% · below 52-week high -4.0% · RSI2=4 · VIX 16.5 · policy rate 3.64% (1-year -0.94)
What followed: next day +0.20% · 5-day +1.42% · 20-day +1.48%

Side by side | 2026-08-19 (prior session) -0.20% ↔ 2025-12-15 -0.50%; today maps to the day after 2025-12-15, which was +0.20% (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
2025-12-15	0.39	-0.50%	+0.20%	+1.42%	4	+1.48%
2025-08-19	0.46	-1.36%	-0.59%	+0.58%	3	+3.64%
2018-04-23	0.47	-0.25%	-2.12%	-0.59%	13	+4.02%
2026-01-02	0.50	-0.19%	+0.79%	+2.21%	4	+2.12%
2018-03-16	0.52	-0.30%	-2.29%	-7.31%	17	-4.92%

Top-20 analog statistics (deduplicated — far more reliable than any single day):
Next day mean -0.19% (up 60% of the time, range -2.3% to +1.3%) · 5-day -0.45% (45%) · 20-day +0.84% (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 1999-03-22–2026-08-19 (6896 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”.

📅Calendar

Here's a list of significant US economic data releases and Federal Reserve events between 2026-08-21 and 2026-08-26 (ET) that may impact the broader US stock market:

No major economic data this week.

🎯9:00 Forecast

9:00 premarket price$716.10 (vs prior close +0.72%, Prev close $710.95)

LeanBase — no strong signal, lean is small

P(close above 9:00 price)56%

Expected close$716.2

Expected high$720.5

Expected low$711.5

Expected range1.25% (0.76–2.10%)

Gatedeep_oversold_calm

Features used6

Model versionv0.3-gates · 2026-08-21 09:10:20 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 $716.2 · range $711.5–$720.5	Open $715.23 · High $715.67 · Low $709.20 · Close $713.44 (Close vs 9:00 price -0.37%)

Direction✗ miss

Range inside band✓ hit 0.91% vs 0.76–2.10%

Expected high touchedno

Expected low touchedyes

Brier0.310 Brier (naive) 0.310

Close error0.38% Naive error 0.37%

Running tally · 11 calls scored · direction hit rate 2/11 · avg Brier vs naive 0.292 / 0.289

Naive baseline = "close equals 9:00 price, always 55% up".

🌡Sentiment

NAAIM Manager Equity Exposure · week of 2026-07-29

79.7 ↓ from 84

All-history band: Neutral-bullish (the usual range) (range roughly −5 to 120)
1-year percentile 19.2% · since-inception percentile 31.2% (144 weeks)

How to read: a high percentile means managers are broadly fully invested with little room to add; a low one means broad caution and room to buy back in. Contrarian predictive power is weak (4-week horizon) and the sample has never been tested through a bear market — atmosphere only, not a signal.

AAII Retail Sentiment Survey · week of 2026-08-19

Bull−bear spread -4.4 bulls 35.5% / bears 39.9%

39-year percentile 27.5% · 5-year percentile 45.8% (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

55.2 greed

prior close 52.5 · one week ago 64 · one month ago 43.4
Percentile since 2022 58.8%

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 · 2026-08-20

0.58 index P/C 0.92 · total P/C 0.78

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.

🧭Macro Score

Total 68.5 / 100 · Posture: Neutral (2026-08-21)

Category	Value	Score	Note
Macro		17 / 20
└ GDP growth (ann.)	1.5	3 / 5
└ Core CPI YoY	2.5	5 / 5
└ Unemployment	4.1	5 / 5
└ PMI (mfg+svc avg)	54.9	4 / 5
Monetary policy		15 / 25
└ Real rate (FFR − core CPI)	1.25	8 / 8	neutral zone 0–1.5%
└ Policy stance & guidance	model judgment	3 / 10	model judgment
└ Communication vs market	model judgment	4 / 7	model judgment
Earnings		14 / 20
└ EPS growth YoY %	50.4	5 / 5
└ Forward P/E	24.9	2 / 8	10-yr avg ≈ 17–18
└ Earnings quality	—	4 / 4	model judgment
└ EPS beat rate %	86	3 / 3
Liquidity		9 / 10
└ IG credit spread OAS %	0.81	4 / 4
└ M2 YoY %	5.53	3 / 3	overheating also penalised
└ Financial conditions	—	2 / 3	proxied by spreads + M2
Policy & geopolitics		4.5 / 15
└ Domestic policy risk	model judgment	4.5 / 7.5	model judgment
└ Geopolitical risk	model judgment	0 / 7.5	model judgment
Sentiment & technicals		9 / 10
└ VIX regime	16.01	3 / 4	low = seller regime, high = oversold signals active; not directional
└ Trend (200-day, SPY+QQQ)	2	3 / 3	the only trend state that passed FDR
└ Flows / rotation / volume	model judgment	3 / 3	volume ratio + rotation dispersion + breadth; conditions, not direction

Weeks-to-months backdrop, not an overnight signal. Being forward-tested; it does not drive any order.

Full report: Morning report · Evening report

Research output, not investment advice.