Daily Forecast 2026-10-26

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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	$704.40	-0.01%	28.3 (87th pctile)	-2.71B	1.53% (0.93–2.58)
SPY	$759.97	-0.52%	19.4 (78th pctile)	-10.22B flip 773.7	0.99% (0.58–1.74)

QQQ RSI(2)18 neutral

QQQ vs 200-day+4.0%

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	19.45	78% pctile · Slightly elevated	13.5 ─ median 17.1 ─ 31.1	2026-10-23
VXN · QQQ	28.30	87% pctile · Elevated (fear)	17.2 ─ median 23.3 ─ 33.5	2026-10-23

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 2026-10-23 的日线（距今约 19 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	0.99%	0.58% ~ 1.74%	Slightly above normal
A normal day with no particular signal. Run your usual parameters; no volatility-driven adjustment needed.
QQQ	High	1.53%	0.93% ~ 2.58%	Slightly above normal
Today is likely to swing harder than usual, but the direction is unknown. If selling options, either widen strikes by roughly half again or cut size — at normal width the probability of being breached roughly doubles while the premium does not rise nearly as much. Long straddles are favourable today. Stops must be widened: normal stop distance on a day like this is close to a random exit.

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 0.99% above means the day's high and low are expected to differ by about 0.99%.
· 80% interval:on 8 days out of 10 the actual value lands between 0.58% and 1.74%; 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	$714.44	-1.00B	Dealers short gamma	$724.41 (spot below)	$719 +0.64% · OI 4,371	$710 -0.62% · OI 1,159	—
SPY	$766.40	-4.53B	Dealers short gamma	$772.91 (spot below)	$768 +0.21% · OI 2,326	$762 -0.57% · OI 6,504	—

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 (2026-10-23, QQQ $704.40): session -0.01% · 5-day -0.76% · vs 200-DMA +4.0% · below 52-week high -7.3% · RSI2=18 · VIX 19.4 · policy rate 3.63% (1-year -0.48)

Closest analog 2025-01-13 (distance 0.49): session -0.32% · 5-day -2.51% · vs 200-DMA +5.9% · below 52-week high -6.1% · RSI2=9 · VIX 19.2 · policy rate 4.33% (1-year -1.00)
What followed: next day -0.09% · 5-day +3.81% · 20-day +4.44%

Side by side | 2026-10-23 (prior session) -0.01% ↔ 2025-01-13 -0.32%; today maps to the day after 2025-01-13, which was -0.09% (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
2025-01-13	0.49	-0.32%	-0.09%	+3.81%	9	+4.44%
2019-05-28	0.51	-0.38%	-0.82%	-1.45%	8	+4.19%
2026-02-17	0.52	-0.10%	+0.75%	+1.09%	23	+0.33%
2024-04-18	0.52	-0.57%	-2.07%	+0.25%	4	+6.75%
2026-07-16	0.53	-1.64%	-1.50%	-1.98%	15	+3.70%

Top-20 analog statistics (deduplicated — far more reliable than any single day):
Next day mean -0.03% (up 50% of the time, range -2.8% to +3%) · 5-day +0.49% (65%) · 20-day +2.88% (90%)
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 1999-03-22–2026-10-23 (6942 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

[FOMC Interest Rate Decision] 10-28 Wed 14:00 ET — Market focus on whether rate cuts continue and Powell's press conference remarks on the December path
[FOMC Press Conference] 10-28 Wed 14:00 ET — Powell's wording is the biggest volatility catalyst of the week, focused on his latest characterization of the employment/inflation tradeoff
[GDP (Q3 Advance)] 10-29 Thu 08:30 ET — Focus on whether growth resilience holds up, providing evidence for the pace of rate cuts
[PCE Price Index (Sep)] 10-29 Thu 08:30 ET — The Fed's preferred inflation gauge; whether core PCE m/m and y/y continue cooling directly affects December rate cut expectations

No NFP, unemployment rate, CPI, PPI, or retail sales releases during this window (CPI/NFP typically fall early in the month, outside this week's window).

🎯9:00 Forecast

9:00 premarket price$708.26 (vs prior close +0.55%, Prev close $704.39)

LeanBase — no strong signal, lean is small

P(close above 9:00 price)56%

Expected close$708.3

Expected high$713.5

Expected low$702.7

Expected range1.53% (0.93–2.58%)

Gatebase

Features used4 (Missing inputs: oi|gex)

Model versionv0.3-gates · 2026-10-26 09:03:59 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 $708.3 · range $702.7–$713.5	Open $707.06 · High $715.25 · Low $705.58 · Close $712.20 (Close vs 9:00 price +0.56%)

Direction✓ hit

Range inside band✓ hit 1.37% vs 0.93–2.58%

Expected high touchedyes

Expected low touchedno

Brier0.196 Brier (naive) 0.196

Close error0.54% Naive error 0.56%

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 2026-10-21

Bull−bear spread -8.9 bulls 36.9% / bears 45.8%

39-year percentile 20.5% · 5-year percentile 38.1% (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

27.1 fear

prior close 21 · one week ago 20.8 · one month ago 36.9
Percentile since 2022 16.4%

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 · 2026-10-23

0.67 index P/C 1.1 · total P/C 0.93

Percentile since 2023 71.8% (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 61.2 / 100 · Posture: Neutral (2026-10-26)

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		13 / 20
└ EPS growth YoY %	29	5 / 5
└ Forward P/E	22.1	3 / 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	19.45	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.