Daily Forecast 2026-11-12

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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	$690.38	+2.31%	26.7 (72nd pctile)	-1.06B flip 692.3	1.56% (0.95–2.65)
SPY	$759.81	+1.32%	17.5 (57th pctile)	-3.86B flip 760.6	0.85% (0.49–1.49)

QQQ RSI(2)81 stretched

QQQ vs 200-day+1.3%

QQQ GammaDealers short gamma ($-1.06B per 1% move), flip 692.3 sits -1.6% above 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	17.49	57% pctile · Near median	13.5 ─ median 17.1 ─ 31.1	2026-11-11
VXN · QQQ	26.74	72% pctile · Slightly elevated	17.2 ─ median 23.6 ─ 38.3	2026-11-11

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)

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	0.85%	0.49% ~ 1.49%	Well below normal
A normal day with no particular signal. Run your usual parameters; no volatility-driven adjustment needed.
QQQ	High	1.56%	0.95% ~ 2.65%	Slightly below 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 0.85% above means the day's high and low are expected to differ by about 0.85%.
· 80% interval:on 8 days out of 10 the actual value lands between 0.49% and 1.49%; 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	$681.45	-1.06B	Dealers short gamma	$692.26 (spot below)	$690 +1.25% · OI 4,268	$680 -0.21% · OI 6,821	—
SPY	$754.53	-3.86B	Dealers short gamma	$760.55 (spot below)	$759 +0.59% · OI 6,217	$750 -0.60% · OI 9,090	—

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 · pre-open snapshot

🕰Analog Days

Prior close profile (2026-11-11, QQQ $690.38): session +2.31% · 5-day -0.23% · vs 200-DMA +1.3% · below 52-week high -9.1% · RSI2=81 · VIX 17.5 · policy rate 3.63% (1-year -0.24)

Closest analog 2018-04-10 (distance 0.50): session +2.21% · 5-day +2.51% · vs 200-DMA +5.2% · below 52-week high -7.4% · RSI2=80 · VIX 20.5 · policy rate 1.69% (1-year +0.78)
What followed: next day -0.58% · 5-day +3.03% · 20-day +3.01%

Side by side | 2026-11-11 (prior session) +2.31% ↔ 2018-04-10 +2.21%; today maps to the day after 2018-04-10, which was -0.58% (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
2018-04-10	0.50	+2.21%	-0.58%	+3.03%	80	+3.01%
2018-10-16	0.56	+2.91%	+0.04%	-2.23%	77	-6.07%
2022-02-15	0.58	+2.49%	-0.03%	-7.50%	70	-4.44%
2021-12-21	0.59	+2.24%	+1.22%	+3.17%	69	-7.06%
2019-08-26	0.59	+1.51%	-0.21%	+0.45%	49	+1.70%

Top-20 analog statistics (deduplicated — far more reliable than any single day):
Next day mean +0.09% (up 50% of the time, range -2.4% to +2%) · 5-day +0.26% (70%) · 20-day +0.31% (55%)
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 1999-03-22–2026-11-11 (6955 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

[Retail Sales] Tue 11-17 08:30 ET — Gauges the strength of consumer spending, a key piece of the December rate-cut/hold expectation.

🎯9:00 Forecast

9:00 premarket price$682.29 (vs prior close -1.17%, Prev close $690.38)

LeanLEAN

P(close above 9:00 price)57%

Expected close$682.7

Expected high$687.5

Expected low$676.8

Expected range1.56% (0.95–2.65%)

Gategap_down_fade

Features used5 (Missing inputs: oi)

Model versionv0.3-gates · 2026-11-12 09:03:18 ET

Posted at 09:05 ET, scored at 16:45 ET. The ledger keeps every call — misses included.

✅Scorecard

Not scored yet (settles at 16:30 ET).

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 2026-11-04

Bull−bear spread -14.3 bulls 34.1% / bears 48.4%

39-year percentile 12.8% · 5-year percentile 28.1% (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

37.5 fear

prior close 37 · one week ago 20 · one month ago 45.2
Percentile since 2022 29.1%

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 · 2026-11-11

0.59 index P/C 1.05 · total P/C 0.92

Percentile since 2023 45.9% (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 63.5 / 99 · Posture: Neutral (2026-11-12)

Category	Value	Score	Note
Macro		18.5 / 20
└ GDP growth (ann.)	3.4	5 / 5
└ Core CPI YoY	3	3.5 / 5
└ Unemployment	4.1	5 / 5
└ PMI (mfg+svc avg)	55	5 / 5
Monetary policy		10 / 25
└ Real rate (FFR − core CPI)	1	8 / 8	neutral zone 0–1.5%
└ Policy stance & guidance	model judgment	1 / 10	model judgment
└ Communication vs market	model judgment	1 / 7	model judgment
Earnings		15 / 20
└ EPS growth YoY %	13.1	5 / 5
└ Forward P/E	18.7	5 / 8	10-yr avg ≈ 17–18
└ Earnings quality	model judgment	2 / 4	model judgment
└ EPS beat rate %	82	3 / 3
Liquidity		9 / 10
└ IG credit spread OAS %	0.82	4 / 4
└ M2 YoY %	5.4	3 / 3	overheating also penalised
└ Financial conditions	—	2 / 3	proxied by spreads + M2
Policy & geopolitics		3 / 15
└ Domestic policy risk	model judgment	3 / 7.5	model judgment
└ Geopolitical risk	model judgment	0 / 7.5	model judgment
Sentiment & technicals		8 / 10
└ VIX regime	17.49	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 / 2	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

Research output, not investment advice.