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 |
Normal |
1.04% |
0.61% ~ 1.83% |
Slightly below normal |
| A normal day with no particular signal. Run your usual parameters; no volatility-driven adjustment needed. |
| QQQ |
High |
1.72% |
1.05% ~ 2.90% |
About 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 1.04% above means the day's high and low are expected to differ by about 1.04%.
· 80% interval:on 8 days out of 10 the actual value lands between 0.61% and 1.83%; 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.