| Symbol | Prev close | Change | VIX / VXN (pct) | GEX ($B/1%) | Expected range |
|---|---|---|---|---|---|
| QQQ | $746.04 | -0.70% | 20.8 (19th pctile) | -3.09B flip 746.5 | 1.04% (0.63–1.75) |
| SPY | $778.10 | -0.06% | 15.2 (15th pctile) | +2.48B flip 776.0 | 0.66% (0.38–1.16) |
| Index | Current | Percentile | 1-year range | As of |
|---|---|---|---|---|
| VIX · SPY | 15.21 | 15% pctile · Depressed (complacency) |
|
2026-10-12 |
| VXN · QQQ | 20.84 | 19% pctile · Depressed (complacency) |
|
2026-10-12 |
| Symbol | Tier | Forecast day range | 80% interval | vs last 20d |
|---|---|---|---|---|
| SPY | Low | 0.66% | 0.38% ~ 1.16% | Slightly below normal |
| Today is likely to be calmer than usual — price has less room to move. Selling options is favoured and normal strike width is fine. Long straddles are unfavourable today: you need a big move just to break even. Stops can be tightened somewhat. | ||||
| QQQ | Low | 1.04% | 0.63% ~ 1.75% | About normal |
| Today is likely to be calmer than usual — price has less room to move. Selling options is favoured and normal strike width is fine. Long straddles are unfavourable today: you need a big move just to break even. Stops can be tightened somewhat. | ||||
| Symbol | Spot | Net GEX ($B per 1%) | Regime | Zero-gamma flip | Call wall | Put wall | Pin |
|---|---|---|---|---|---|---|---|
| QQQ | $742.87 | -0.67B | Dealers short gamma | $745.13 (spot below) | $750 +0.96% · OI 3,730 | $742 -0.12% · OI 2,389 | — |
| SPY | $777.62 | +1.37B | Dealers long gamma | $776.38 (spot above) | $780 +0.31% · OI 6,876 | $774 -0.47% · OI 4,897 | $778 |
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 (top 5) | Distance | That day | Next day | 5 days on | RSI2 then | 20 days on |
|---|---|---|---|---|---|---|
| 2024-11-27 | 0.36 | -0.79% | +0.88% | +3.27% | 31 | +3.42% |
| 2019-09-23 | 0.37 | -0.16% | -1.33% | -0.89% | 10 | +1.52% |
| 2025-07-11 | 0.41 | -0.23% | +0.36% | +1.27% | 39 | +3.67% |
| 2025-11-11 | 0.41 | -0.27% | -0.08% | -4.06% | 64 | +0.97% |
| 2017-03-07 | 0.41 | -0.17% | +0.18% | +0.60% | 25 | +1.53% |
10-13 Tue ET Time TBD — Cleveland Fed President Beth Hammack delivers a speech. The market will focus on her latest views on inflation and monetary policy, as she has stated that further monetary policy tightening is still needed to lower inflation.
10-14 Wed 8:30 AM ET — CPI (Consumer Price Index) released, covering September 2026 data. The market generally expects September CPI to increase by 3.6% year-over-year (previous value 3.4%) and 0.6% month-over-month; core CPI to increase by 2.5% year-over-year (previous value 2.4%) and 0.2% month-over-month. If the data is higher than expected, it may strengthen market pricing for a Fed rate hike this year.
10-15 Thu 8:30 AM ET — PPI (Producer Price Index) released, covering September 2026 data. The market generally expects September PPI to increase by 5.3% year-over-year, and core PPI to increase by 4.4% year-over-year. PPI measures the costs paid by producers, and its increase may foreshadow future CPI increases, having a significant impact on the inflation outlook.
10-15 Thu 8:30 AM ET — Retail Sales data released, covering September 2026 data. This data reflects consumer spending and is crucial for assessing economic growth momentum.
10-16 Fri 10:30 AM ET — Fed Chair Walsh delivers a speech at the International Monetary Fund (IMF). The market will closely monitor his remarks to gauge the pace and path of the Fed's next rate hike.
Posted at 09:05 ET, scored at 16:45 ET. The ledger keeps every call — misses included.
| Called | Actual |
|---|---|
| P(up) 57% · close $741.1 · range $736.7–$744.4 | Open $739.51 · High $744.20 · Low $738.83 · Close $743.57 (Close vs 9:00 price +0.39%) |
Naive baseline = "close equals 9:00 price, always 55% up".
| Category | Value | Score | Note |
|---|---|---|---|
| Macro | 18 / 20 | ||
| └ GDP growth (ann.) | 2.2 | 4 / 5 | |
| └ Core CPI YoY | 2.4 | 5 / 5 | |
| └ Unemployment | 4.2 | 5 / 5 | |
| └ PMI (mfg+svc avg) | 54.7 | 4 / 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 % | 29.6 | 5 / 5 | |
| └ Forward P/E | 19.1 | 5 / 8 | 10-yr avg ≈ 17–18 |
| └ Earnings quality | model judgment | 4 / 4 | model judgment |
| └ EPS beat rate % | 84 | 3 / 3 | |
| Liquidity | 9 / 10 | ||
| └ IG credit spread OAS % | 0.58 | 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 | 7.9 / 10 | ||
| └ VIX regime | 15.21 | 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 | 1.9 / 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.
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Research output, not investment advice.