Daily Forecast 2026-08-31

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📋 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	—	—	19.9 (13th pctile)	-0.04B flip 715.3	1.06% (0.64–1.78)
SPY	—	—	14.4 (3rd pctile)	-3.28B flip 770.4	0.67% (0.39–1.17)

QQQ RSI(2)52 neutral

QQQ vs 200-day+9.3%

QQQ GammaDealers short gamma ($-0.04B per 1% move), flip 715.3 sits 0% 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	14.43	3% pctile · Depressed (complacency)	13.5 ─ median 17.2 ─ 31.1	2026-08-28
VXN · QQQ	19.92	13% pctile · Depressed (complacency)	17.2 ─ median 23.3 ─ 33.5	2026-08-28

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	0.67%	0.39% ~ 1.17%	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	1.06%	0.64% ~ 1.78%	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 0.67% above means the day's high and low are expected to differ by about 0.67%.
· 80% interval:on 8 days out of 10 the actual value lands between 0.39% and 1.17%; 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 0.49, model refits on every run.

ΓGamma Map

Symbol	Spot	Net GEX ($B per 1%)	Regime	Zero-gamma flip	Call wall	Put wall	Pin
QQQ	$716.49	-0.02B	Dealers short gamma	$718.01 (spot below)	$720 +0.49% · OI 1,429	$715 -0.21% · OI 1,757	—
SPY	$767.86	+0.20B	Dealers long gamma	$766.13 (spot above)	$770 +0.28% · OI 2,549	$767 -0.11% · OI 1,163	$770

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 (2026-08-28, QQQ $716.43): session -0.65% · 5-day +0.42% · vs 200-DMA +9.3% · below 52-week high -4.0% · RSI2=52 · VIX 14.4 · policy rate 3.63% (1-year -0.70)

Closest analog 2025-08-29 (distance 0.40): 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 | 2026-08-28 (prior session) -0.65% ↔ 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	0.40	-1.16%	-0.84%	+1.48%	27	+4.97%
2024-10-30	0.41	-0.76%	-2.52%	+1.85%	43	+1.80%
2019-12-09	0.44	-0.45%	-0.08%	+2.55%	55	+6.41%
2024-11-27	0.44	-0.79%	+0.88%	+3.27%	31	+3.42%
2018-09-19	0.44	-0.08%	+1.11%	+0.86%	50	-2.96%

Top-20 analog statistics (deduplicated — far more reliable than any single day):
Next day mean +0.08% (up 65% of the time, range -2.5% to +1.3%) · 5-day +0.64% (65%) · 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 1999-03-22–2026-08-28 (6903 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 are the major US economic data releases and Federal Reserve events between 2026-08-31 and 2026-09-05 (ET) that could impact the broader US stock market:

09-04 Fri 08:30 AM ET - Nonfarm Payrolls (NFP) and Unemployment Rate — These reports provide a comprehensive look at the US labor market, influencing expectations for economic growth and the Federal Reserve's monetary policy decisions.

🎯9:00 Forecast

9:00 premarket price$713.81 (vs prior close -0.37%, Prev close $716.45)

LeanBase — no strong signal, lean is small

P(close above 9:00 price)56%

Expected close$713.9

Expected high—

Expected low—

Expected range—

Gatebase

Features used5 (Missing inputs: oi)

Model versionv0.3-gates · 2026-08-31 09:08:41 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 · 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 30.5% (141 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 2026-08-26

Bull−bear spread -11.5 bulls 32.9% / bears 44.4%

39-year percentile 16.2% · 5-year percentile 32.7% (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

49.7 neutral

prior close 54.4 · one week ago 56.1 · one month ago 45.2
Percentile since 2022 49.9%

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 · 2026-08-28

0.62 index P/C 0.99 · total P/C 0.84

Percentile since 2023 56.5% (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 67 / 100 · Posture: Neutral (2026-08-31)

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		13 / 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	2 / 7	model judgment
Earnings		17 / 20
└ EPS growth YoY %	52	5 / 5
└ Forward P/E	19.6	5 / 8	10-yr avg ≈ 17–18
└ Earnings quality	model judgment	4 / 4	model judgment
└ EPS beat rate %	86	3 / 3
Liquidity		8 / 10
└ IG credit spread OAS %	0.8	4 / 4
└ M2 YoY %	2.03	2 / 3	overheating also penalised
└ Financial conditions	—	2 / 3	proxied by spreads + M2
Policy & geopolitics		3 / 15
└ Domestic policy risk	model judgment	1.5 / 7.5	model judgment
└ Geopolitical risk	model judgment	1.5 / 7.5	model judgment
Sentiment & technicals		9 / 10
└ VIX regime	14.43	4 / 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	2 / 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.