Daily Forecast 2026-10-21

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	$717.63	-0.10%	25.2 (67th pctile)	-0.02B flip 722.0	1.43% (0.87–2.41)
SPY	$769.05	+0.34%	17.3 (54th pctile)	+0.62B flip 770.2	0.86% (0.50–1.51)

QQQ RSI(2)40 neutral

QQQ vs 200-day+6.2%

QQQ GammaDealers short gamma ($-0.02B per 1% move), flip 722.0 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	17.31	54% pctile · Near median	13.5 ─ median 17.1 ─ 31.1	2026-10-20
VXN · QQQ	25.22	67% pctile · Slightly elevated	17.2 ─ median 23.3 ─ 33.5	2026-10-20

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

Today's Range Forecast (pre-open)

⚠ 数据陈旧：本预测基于 2026-10-20 的日线（距今约 22 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	Normal	0.86%	0.50% ~ 1.51%	About normal
A normal day with no particular signal. Run your usual parameters; no volatility-driven adjustment needed.
QQQ	Normal	1.43%	0.87% ~ 2.41%	Slightly above 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 0.86% above means the day's high and low are expected to differ by about 0.86%.
· 80% interval:on 8 days out of 10 the actual value lands between 0.50% and 1.51%; 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	$719.45	-1.29B	Dealers short gamma	$724.78 (spot below)	$722 +0.35% · OI 12,760	$708 -1.59% · OI 9,977	—
SPY	$769.46	-1.66B	Dealers short gamma	$771.83 (spot below)	$770 +0.07% · OI 3,901	$769 -0.06% · OI 1,709	—

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 (2026-10-20, QQQ $717.63): session -0.10% · 5-day -3.49% · vs 200-DMA +6.2% · below 52-week high -5.5% · RSI2=40 · VIX 17.3 · policy rate 3.63% (1-year -0.48)

Closest analog 2024-11-04 (distance 0.42): session -0.29% · 5-day -1.90% · vs 200-DMA +5.9% · below 52-week high -3.4% · RSI2=30 · VIX 22.0 · policy rate 4.83% (1-year -0.50)
What followed: next day +1.28% · 5-day +5.73% · 20-day +6.35%

Side by side | 2026-10-20 (prior session) -0.10% ↔ 2024-11-04 -0.29%; today maps to the day after 2024-11-04, which was +1.28% (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
2024-11-04	0.42	-0.29%	+1.28%	+5.73%	30	+6.35%
2026-02-13	0.44	+0.21%	-0.10%	-0.08%	26	-0.26%
2021-05-17	0.47	-0.61%	-0.68%	+2.50%	56	+5.50%
2025-01-13	0.48	-0.32%	-0.09%	+3.81%	9	+4.44%
2025-02-26	0.48	+0.24%	-2.78%	-2.44%	17	-5.87%

Top-20 analog statistics (deduplicated — far more reliable than any single day):
Next day mean -0.57% (up 35% of the time, range -2.8% to +1.5%) · 5-day +0.29% (55%) · 20-day +2.73% (80%)
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 1999-03-22–2026-10-20 (6939 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

No important U.S. economic data this week.

Note: CPI (10-14), PPI (10-15), and retail sales (10-15) were released before this window; the FOMC rate decision, Q3 GDP advance estimate, and PCE price index are concentrated on 10-27~29, all after this window; September nonfarm payrolls, delayed by the government shutdown, won't be released until November and falls outside this window. No major Fed Chair speeches found scheduled for 10-21 through 10-26.

Sources:
- [FOMC Meeting – October 2026](https://www.calendarx.com/events/fomc-meeting-october-2026)
- [FOMC Meeting Schedule — October 2026](https://fedratecalc.com/fomc-meeting-schedule/october-2026/)
- [Monthly release schedule](https://fedratecalc.com/us-economic-calendar/october-2026/)
- [BLS: Nonfarm employment little changed in September 2026](https://www.bls.gov/opub/ted/2026/nonfarm-employment-little-changed-in-september-2026.htm)

🎯9:00 Forecast

9:00 premarket price$721.42 (vs prior close +0.55%, Prev close $717.50)

LeanBase — no strong signal, lean is small

P(close above 9:00 price)56%

Expected close$721.5

Expected high$726.5

Expected low$716.1

Expected range1.43% (0.87–2.41%)

Gatebase

Features used5 (Missing inputs: oi)

Model versionv0.3-gates · 2026-10-21 09:06:37 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 $721.5 · range $716.1–$726.5	Open $722.22 · High $727.95 · Low $719.71 · Close $725.20 (Close vs 9:00 price +0.52%)

Direction✓ hit

Range inside band✓ hit 1.15% vs 0.87–2.41%

Expected high touchedyes

Expected low touchedno

Brier0.196 Brier (naive) 0.196

Close error0.51% Naive error 0.52%

Running tally · 64 calls scored · direction hit rate 30/64 · avg Brier vs naive 0.257 / 0.257

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

🌡Sentiment

AAII Retail Sentiment Survey · week of 2026-10-14

Bull−bear spread -2.9 bulls 38.7% / bears 41.6%

39-year percentile 30.1% · 5-year percentile 47.7% (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

31.4 fear

prior close 27.2 · one week ago 26.7 · one month ago 34.2
Percentile since 2022 22%

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 · 2026-10-20

0.56 index P/C 1.01 · total P/C 0.87

Percentile since 2023 31.1% (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 62.2 / 100 · Posture: Neutral (2026-10-21)

Category	Value	Score	Note
Macro		16.5 / 20
└ GDP growth (ann.)	2.2	4 / 5
└ Core CPI YoY	2.6	3.5 / 5
└ Unemployment	4.2	5 / 5
└ PMI (mfg+svc avg)	54.7	4 / 5
Monetary policy		13 / 25
└ Real rate (FFR − core CPI)	1.4	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		14 / 20
└ EPS growth YoY %	29	5 / 5
└ Forward P/E	20	4 / 8	10-yr avg ≈ 17–18
└ Earnings quality	model judgment	2 / 4	model judgment
└ EPS beat rate %	84	3 / 3
Liquidity		9 / 10
└ IG credit spread OAS %	0.76	4 / 4
└ M2 YoY %	5.4	3 / 3	overheating also penalised
└ Financial conditions	—	2 / 3	proxied by spreads + M2
Policy & geopolitics		1.5 / 15
└ Domestic policy risk	model judgment	1.5 / 7.5	model judgment
└ Geopolitical risk	model judgment	0 / 7.5	model judgment
Sentiment & technicals		8.2 / 10
└ VIX regime	17.31	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	2.25 / 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.