Morning Sigma Brief
Normal volatility (VIX 17.6). Overnight gaps: ES gapped up 0.624%, NQ gapped up 1.458%, CL gapped down 1.54%, ZB gapped down 0.852%. Gap-fill or continuation setups in play.
☰ Market Conditions
MIXED 3↓ 3↔ 2↑
SMA Ribbon
ES
↔
Range
40%
NQ
↔
Range
40%
YM
▲
Uptrend
80%
RTY
▲
Uptrend
90%
CL
▼
Downtrend
90%
GC
▼
Downtrend
90%
SI
▼
Downtrend
90%
ZB
↔
Range
40%
1H
ES
↔
Range
40%
NQ
▲
Uptrend
60%
YM
↔
Range
40%
RTY
▲
Uptrend
60%
CL
↔
Range
40%
GC
↔
Range
40%
SI
↔
Range
40%
ZB
↔
Range
40%
VIX
17.61
+0.00%
TNX
4.45
+0.00%
DXY
28.30
+0.00%
🎯 Prediction Markets
Polymarket
US recession by end of 2026?
13%
$1.6M vol
How many Fed rate cuts in 2...
0 (0 bps)
$37.4M vol
Fed Decision in July?
No change
$15.6M vol
⚠ Data from Polymarket. Not financial advice.
1 SD (68% of days)
2 SD (95% of days)
3 SD (99.7% of days)
ES
S&P 500 E-Mini
7,555.25
+0.00 (+0.00%)
Overnight Gap
+46.82 (+0.624%)
Standard Deviation Levels (from prev close 7,508.43)
7,555.3
7,276
7,740
| Level | Lower | Upper | Width |
|---|---|---|---|
| 1 SD | 7,431.08 | 7,585.78 | 154.70 pts |
| 2 SD | 7,353.73 | 7,663.13 | 309.40 pts |
| 3 SD | 7,276.38 | 7,740.48 | 464.10 pts |
Key Levels
Yesterday High
7,580.00
Yesterday Low
7,513.00
5-Day High
7,584.50
5-Day Low
7,405.00
ATR(14)
109.11
Trading within 1 SD — normal range
LONG 1/10
— ES Invest Trend
NQ
Nasdaq 100 E-Mini
30,704.50
+0.00 (+0.00%)
Overnight Gap
+441.15 (+1.458%)
Standard Deviation Levels (from prev close 30,263.35)
30,704.5
28,595
31,931
| Level | Lower | Upper | Width |
|---|---|---|---|
| 1 SD | 29,707.34 | 30,819.36 | 1,112.02 pts |
| 2 SD | 29,151.34 | 31,375.36 | 2,224.04 pts |
| 3 SD | 28,595.33 | 31,931.37 | 3,336.06 pts |
Key Levels
Yesterday High
30,781.75
Yesterday Low
30,337.50
5-Day High
30,781.75
5-Day Low
29,616.00
ATR(14)
726.56
Trading within 1 SD — normal range
LONG 1/10
— NQ Swing Momentum
LONG 1/10
— NQ Invest Trend
CL
Crude Oil
75.42
+0.00 (+0.00%)
Overnight Gap
-1.18 (-1.540%)
Standard Deviation Levels (from prev close 76.60)
75.4
70
83
| Level | Lower | Upper | Width |
|---|---|---|---|
| 1 SD | 74.36 | 78.84 | 4.48 pts |
| 2 SD | 72.12 | 81.08 | 8.96 pts |
| 3 SD | 69.88 | 83.32 | 13.44 pts |
Key Levels
Yesterday High
78.14
Yesterday Low
74.90
5-Day High
82.42
5-Day Low
73.58
ATR(14)
4.96
Trading within 1 SD — normal range
GC
Gold
4,208.60
+0.00 (+0.00%)
Overnight Gap
-15.50 (-0.367%)
Standard Deviation Levels (from prev close 4,224.10)
4,208.6
3,998
4,450
| Level | Lower | Upper | Width |
|---|---|---|---|
| 1 SD | 4,148.90 | 4,299.30 | 150.40 pts |
| 2 SD | 4,073.69 | 4,374.51 | 300.80 pts |
| 3 SD | 3,998.49 | 4,449.71 | 451.20 pts |
Key Levels
Yesterday High
4,238.10
Yesterday Low
4,138.70
5-Day High
4,377.00
5-Day Low
4,138.70
ATR(14)
103.84
Trading within 1 SD — normal range
SI
Silver
65.94
+0.00 (+0.00%)
Overnight Gap
-0.31 (-0.468%)
Standard Deviation Levels (from prev close 66.25)
65.9
60
72
| Level | Lower | Upper | Width |
|---|---|---|---|
| 1 SD | 64.30 | 68.20 | 3.90 pts |
| 2 SD | 62.35 | 70.15 | 7.80 pts |
| 3 SD | 60.40 | 72.10 | 11.70 pts |
Key Levels
Yesterday High
67.23
Yesterday Low
63.35
5-Day High
70.95
5-Day Low
63.35
ATR(14)
2.36
Trading within 1 SD — normal range
ZB
30-Year T-Bond
112.88
+0.00 (+0.00%)
Overnight Gap
-0.97 (-0.852%)
Standard Deviation Levels (from prev close 113.84)
112.9
112
115
| Level | Lower | Upper | Width |
|---|---|---|---|
| 1 SD | 113.34 | 114.34 | 1.00 pts |
| 2 SD | 112.84 | 114.84 | 2.00 pts |
| 3 SD | 112.34 | 115.34 | 3.00 pts |
Key Levels
Yesterday High
113.50
Yesterday Low
112.63
5-Day High
114.38
5-Day Low
112.63
ATR(14)
0.79
Between 1-2 SD — extended move
Trade Calls
8 setups
LONG
ES
Range Play
PENDING
R:R 1.0
Low VIX (17.6) favors range-bound action. Buy ES at 1 SD support 7,431.08, target mean.
Entry
7,431.08
Stop Loss
7,353.73
Target 1
7,508.43
Target 2
7,585.78
SHORT
NQ
Gap Fill
PENDING
R:R 1.2
NQ gapped up 1.46% overnight. Fading gap toward prev close 30,263.35.
Entry
30,704.50
Stop Loss
31,067.78
Target 1
30,263.35
Target 2
30,045.38
LONG
NQ
Range Play
PENDING
R:R 1.0
Low VIX (17.6) favors range-bound action. Buy NQ at 1 SD support 29,707.34, target mean.
Entry
29,707.34
Stop Loss
29,151.34
Target 1
30,263.35
Target 2
30,819.36
LONG
CL
Range Play
PENDING
R:R 1.0
Low VIX (17.6) favors range-bound action. Buy CL at 1 SD support 74.36, target mean.
Entry
74.36
Stop Loss
72.12
Target 1
76.60
Target 2
78.84
LONG
GC
Range Play
PENDING
R:R 1.0
Low VIX (17.6) favors range-bound action. Buy GC at 1 SD support 4,148.90, target mean.
Entry
4,148.90
Stop Loss
4,073.69
Target 1
4,224.10
Target 2
4,299.30
LONG
SI
Range Play
PENDING
R:R 1.0
Low VIX (17.6) favors range-bound action. Buy SI at 1 SD support 64.30, target mean.
Entry
64.30
Stop Loss
62.35
Target 1
66.25
Target 2
68.20
LONG
ZB
Gap Fill
PENDING
R:R 2.4
ZB gapped down 0.85% overnight. Buying gap fill toward prev close 113.84.
Entry
112.88
Stop Loss
112.48
Target 1
113.84
Target 2
114.08
LONG
ZB
Mean Reversion
PENDING
R:R 1.2
ZB trading below 1 SD. Buying toward prev close 113.84. Stop below 2 SD.
Entry
113.24
Stop Loss
112.74
Target 1
113.84
R:R
1.2:1
Brief Call Track Record (10 days)
Expectancy
0.7041%
Profit Factor
1.95
Total P&L
+39.79%
Win Rate
58.2%
Total Calls
83
12W /
20P /
23L /
28E
Avg Win: 1.94%
Avg Loss: -1.02%
| Call Type | Count | Wins | Win% | Avg P&L |
|---|---|---|---|---|
| Mean Reversion | 17 | 1 | 5.9% | -0.97% |
| Gap Fill | 32 | 6 | 18.8% | -0.03% |
| Range Play | 34 | 25 | 73.5% | +1.69% |
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.