Morning Sigma Brief
Elevated volatility (VIX 27.2) — expect wider ranges, consider tighter stops. No significant overnight gaps — clean open expected.
VIX
27.19
+0.00%
TNX
4.29
+0.00%
DXY
27.89
+0.00%
1 SD (68% of days)
2 SD (95% of days)
3 SD (99.7% of days)
ES
S&P 500 E-Mini
6,636.00
+0.00 (+0.00%)
Overnight Gap
+0.00 (+0.000%)
Standard Deviation Levels (from prev close 6,636.00)
6,636.0
6,491
6,781
| Level | Lower | Upper | Width |
|---|---|---|---|
| 1 SD | 6,587.82 | 6,684.18 | 96.36 pts |
| 2 SD | 6,539.64 | 6,732.36 | 192.72 pts |
| 3 SD | 6,491.47 | 6,780.53 | 289.08 pts |
Key Levels
Yesterday High
6,737.50
Yesterday Low
6,625.00
5-Day High
6,852.00
5-Day Low
6,625.00
ATR(14)
110.27
Trading within 1 SD — normal range
NQ
Nasdaq 100 E-Mini
24,394.25
+0.00 (+0.00%)
Overnight Gap
+0.00 (+0.000%)
Standard Deviation Levels (from prev close 24,394.25)
24,394.3
23,676
25,112
| Level | Lower | Upper | Width |
|---|---|---|---|
| 1 SD | 24,154.90 | 24,633.60 | 478.70 pts |
| 2 SD | 23,915.55 | 24,872.95 | 957.40 pts |
| 3 SD | 23,676.20 | 25,112.30 | 1,436.10 pts |
Key Levels
Yesterday High
24,805.25
Yesterday Low
24,333.75
5-Day High
25,217.50
5-Day Low
24,333.75
ATR(14)
498.88
Trading within 1 SD — normal range
CL
Crude Oil
98.71
+0.00 (+0.00%)
Overnight Gap
+0.00 (+0.000%)
Standard Deviation Levels (from prev close 98.71)
98.7
84
114
| Level | Lower | Upper | Width |
|---|---|---|---|
| 1 SD | 93.77 | 103.65 | 9.88 pts |
| 2 SD | 88.83 | 108.59 | 19.76 pts |
| 3 SD | 83.89 | 113.53 | 29.64 pts |
Key Levels
Yesterday High
99.32
Yesterday Low
92.04
5-Day High
99.32
5-Day Low
76.73
ATR(14)
7.80
Trading within 1 SD — normal range
GC
Gold
5,061.70
+0.00 (+0.00%)
Overnight Gap
+0.00 (+0.000%)
Standard Deviation Levels (from prev close 5,061.70)
5,061.7
4,820
5,304
| Level | Lower | Upper | Width |
|---|---|---|---|
| 1 SD | 4,981.00 | 5,142.40 | 161.40 pts |
| 2 SD | 4,900.29 | 5,223.11 | 322.80 pts |
| 3 SD | 4,819.59 | 5,303.81 | 484.20 pts |
Key Levels
Yesterday High
5,132.40
Yesterday Low
5,014.10
5-Day High
5,229.70
5-Day Low
5,009.50
ATR(14)
104.64
Trading within 1 SD — normal range
SI
Silver
81.34
+0.00 (+0.00%)
Overnight Gap
+0.00 (+0.000%)
Standard Deviation Levels (from prev close 81.34)
81.3
71
91
| Level | Lower | Upper | Width |
|---|---|---|---|
| 1 SD | 78.06 | 84.62 | 6.56 pts |
| 2 SD | 74.77 | 87.91 | 13.12 pts |
| 3 SD | 71.49 | 91.19 | 19.68 pts |
Key Levels
Yesterday High
85.62
Yesterday Low
79.52
5-Day High
89.59
5-Day Low
79.45
ATR(14)
5.09
Trading within 1 SD — normal range
ZB
30-Year T-Bond
113.72
+0.00 (+0.00%)
Overnight Gap
+0.00 (+0.000%)
Standard Deviation Levels (from prev close 113.72)
113.7
112
115
| Level | Lower | Upper | Width |
|---|---|---|---|
| 1 SD | 113.25 | 114.19 | 0.94 pts |
| 2 SD | 112.78 | 114.66 | 1.88 pts |
| 3 SD | 112.31 | 115.13 | 2.82 pts |
Key Levels
Yesterday High
114.44
Yesterday Low
113.59
5-Day High
117.16
5-Day Low
113.59
ATR(14)
0.90
Trading within 1 SD — normal range
Data sourced from Yahoo Finance with approximately 30-second delay on futures and 15-minute delay on equities.
Standard deviation levels are calculated from the trailing 20 trading days of daily closes.
These levels represent statistical expectations, not guarantees — approximately 68% of trading days stay within 1 SD,
95% within 2 SD, and 99.7% within 3 SD of the previous close. This is not financial advice.