Daily Forecast 2026-09-25

📋Morning Board

Symbol	Prev close	Change	VIX / VXN (pct)	GEX ($B/1%)	Expected range
QQQ	$741.10	-0.01%	20.2 (14th pctile)	+4.86B flip 737.7	1.00% (0.61–1.68)
SPY	$767.18	-0.08%	14.2 (2nd pctile)	+5.99B flip 766.9	0.59% (0.35–1.04)

QQQ RSI(2)59 neutral

QQQ vs 200-day+11.4%

QQQ GammaDealers long gamma (+$4.86B per 1% move), flip 737.7 sits 1.2% 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	14.21	2% pctile · Depressed (complacency)	13.5 ─ median 17.2 ─ 31.1	2026-09-22
VXN · QQQ	20.18	14% pctile · Depressed (complacency)	17.2 ─ median 23.3 ─ 33.5	2026-09-22

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 2026-09-24 的日线（距今约 14 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	0.59%	0.35% ~ 1.04%	Slightly below 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	1.00%	0.61% ~ 1.68%	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.

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 0.59% above means the day's high and low are expected to differ by about 0.59%.
· 80% interval:on 8 days out of 10 the actual value lands between 0.35% and 1.04%; 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	$745.40	+1.92B	Dealers long gamma	$736.82 (spot above)	$749 +0.48% · OI 4,819	$727 -2.47% · OI 31,066	$740
SPY	$772.04	+3.05B	Dealers long gamma	$768.00 (spot above)	$773 +0.12% · OI 4,705	$770 -0.26% · OI 3,072	$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 (2026-09-24, QQQ $741.10): session -0.01% · 5-day +3.37% · vs 200-DMA +11.4% · below 52-week high -0.8% · RSI2=59 · VIX 14.2 · policy rate 3.63% (1-year -0.46)

Closest analog 2025-02-20 (distance 0.39): session -0.42% · 5-day +1.69% · vs 200-DMA +9.8% · below 52-week high -0.4% · RSI2=34 · VIX 15.7 · policy rate 4.33% (1-year -1.00)
What followed: next day -2.08% · 5-day -6.88% · 20-day -10.79%

Side by side | 2026-09-24 (prior session) -0.01% ↔ 2025-02-20 -0.42%; today maps to the day after 2025-02-20, which was -2.08% (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
2025-02-20	0.39	-0.42%	-2.08%	-6.88%	34	-10.79%
2025-08-11	0.42	-0.30%	+1.26%	+0.74%	67	+1.34%
2019-09-13	0.42	-0.36%	-0.45%	-0.90%	54	-0.74%
2025-07-01	0.43	-0.84%	+0.70%	+1.69%	41	+3.84%
2024-11-13	0.44	-0.13%	-0.69%	-1.77%	47	+2.78%

Top-20 analog statistics (deduplicated — far more reliable than any single day):
Next day mean -0.09% (up 55% of the time, range -3.5% to +1.7%) · 5-day +0.06% (60%) · 20-day +1.40% (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 1999-03-22–2026-09-24 (6921 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

This week (ET 2026 September 25 to 2026 September 30) there are no significant economic data releases or Federal Reserve events that would have a major impact on the US stock market, such as Non-farm Payrolls, Unemployment Rate, CPI, PPI, PCE, GDP, Retail Sales, FOMC Interest Rate Decisions/Meeting Minutes/Federal Reserve Chairman Speeches.

According to existing information, the Federal Reserve has already raised the federal funds rate target range by 25 basis points to 3.75% to 4.00% at its September FOMC meeting. The market is currently assessing the subsequent interest rate path, as the latest economic projections show that the median policy rate forecast for year-end 2026 has risen from 3.8% in June to 4.1%, implying there might be room for another rate hike this year.

Although there is no particularly important economic data this week as mentioned above, US Treasury yields, the US dollar, and interest rate futures may still fluctuate around policy expectations. If economic data continues to show strong demand, the market may raise expectations for subsequent rate hikes; if manufacturing, housing, or corporate orders show significant weakening, investors may re-evaluate the room for further policy tightening.

🎯9:00 Forecast

9:00 premarket price$744.77 (vs prior close +0.50%, Prev close $741.06)

LeanBase — no strong signal, lean is small

P(close above 9:00 price)56%

Expected close$744.9

Expected high$748.4

Expected low$741.0

Expected range1.00% (0.61–1.68%)

Gatebase

Features used5 (Missing inputs: oi)

Model versionv0.3-gates · 2026-09-25 09:02:23 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 $744.9 · range $741.0–$748.4	Open $742.83 · High $745.91 · Low $739.64 · Close $744.50 (Close vs 9:00 price -0.04%)

Direction✗ miss

Range inside band✓ hit 0.85% vs 0.61–1.68%

Expected high touchedno

Expected low touchedyes

Brier0.310 Brier (naive) 0.310

Close error0.05% Naive error 0.04%

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%

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

37 fear

prior close 36.1 · one week ago 30.4 · one month ago 59.6
Percentile since 2022 28%

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 · 2026-09-24

0.55 index P/C 0.87 · total P/C 0.8

Percentile since 2023 27.3% (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 / 100 · Posture: Neutral (2026-09-25)

Category	Value	Score	Note
Macro		18 / 20
└ GDP growth (ann.)	1.5	3 / 5
└ Core CPI YoY	2.4	5 / 5
└ Unemployment	4.1	5 / 5
└ PMI (mfg+svc avg)	55	5 / 5
Monetary policy		12 / 25
└ Real rate (FFR − core CPI)	1.6	5 / 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		17 / 20
└ EPS growth YoY %	51	5 / 5
└ Forward P/E	19	5 / 8	10-yr avg ≈ 17–18
└ Earnings quality	model judgment	4 / 4	model judgment
└ EPS beat rate %	86	3 / 3
Liquidity		9 / 10
└ IG credit spread OAS %	0.77	4 / 4
└ M2 YoY %	5.66	3 / 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	14.21	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.