Morning Sigma Brief
Normal volatility (VIX 17.3). Overnight gaps: ES gapped up 0.707%, NQ gapped up 1.633%, CL gapped down 1.958%, ZB gapped down 0.799%. 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
▼
Downtrend
50%
VIX
17.31
+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)
$37.5M vol
Fed Decision in July?
No change
$15.8M 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
7,561.50
+0.00 (+0.00%)
Overnight Gap
+53.07 (+0.707%)
Standard Deviation Levels (from prev close 7,508.43)
7,561.5
7,275
7,741
| Level | Lower | Upper | Width |
|---|---|---|---|
| 1 SD | 7,430.78 | 7,586.08 | 155.30 pts |
| 2 SD | 7,353.14 | 7,663.72 | 310.60 pts |
| 3 SD | 7,275.49 | 7,741.37 | 465.90 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
30,757.50
+0.00 (+0.00%)
Overnight Gap
+494.15 (+1.633%)
Standard Deviation Levels (from prev close 30,263.35)
30,757.5
28,589
31,937
| Level | Lower | Upper | Width |
|---|---|---|---|
| 1 SD | 29,705.37 | 30,821.33 | 1,115.96 pts |
| 2 SD | 29,147.39 | 31,379.31 | 2,231.92 pts |
| 3 SD | 28,589.40 | 31,937.30 | 3,347.88 pts |
Key Levels
Yesterday High
30,828.00
Yesterday Low
30,337.50
5-Day High
30,828.00
5-Day Low
29,616.00
ATR(14)
729.86
Trading within 1 SD — normal range
LONG 1/10
— NQ Invest Trend
LONG 1/10
— NQ Swing Momentum
CL
Crude Oil
75.10
+0.00 (+0.00%)
Overnight Gap
-1.50 (-1.958%)
Standard Deviation Levels (from prev close 76.60)
75.1
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 | 69.87 | 83.33 | 13.44 pts |
Key Levels
Yesterday High
78.14
Yesterday Low
74.63
5-Day High
82.42
5-Day Low
73.58
ATR(14)
4.98
Trading within 1 SD — normal range
GC
Gold
4,222.50
+0.00 (+0.00%)
Overnight Gap
-1.60 (-0.038%)
Standard Deviation Levels (from prev close 4,224.10)
4,222.5
3,998
4,450
| Level | Lower | Upper | Width |
|---|---|---|---|
| 1 SD | 4,148.84 | 4,299.36 | 150.52 pts |
| 2 SD | 4,073.57 | 4,374.63 | 301.04 pts |
| 3 SD | 3,998.31 | 4,449.89 | 451.56 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
66.36
+0.00 (+0.00%)
Overnight Gap
+0.11 (+0.166%)
Standard Deviation Levels (from prev close 66.25)
66.4
60
72
| Level | Lower | Upper | Width |
|---|---|---|---|
| 1 SD | 64.30 | 68.20 | 3.90 pts |
| 2 SD | 62.34 | 70.16 | 7.80 pts |
| 3 SD | 60.39 | 72.11 | 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
112.94
+0.00 (+0.00%)
Overnight Gap
-0.91 (-0.799%)
Standard Deviation Levels (from prev close 113.84)
112.9
112
115
| Level | Lower | Upper | Width |
|---|---|---|---|
| 1 SD | 113.35 | 114.33 | 0.98 pts |
| 2 SD | 112.86 | 114.82 | 1.96 pts |
| 3 SD | 112.37 | 115.31 | 2.94 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
7 setups
LONG
CL
Range Play
PENDING
R:R 1.0
Low VIX (17.3) 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
ES
Range Play
PENDING
R:R 1.0
Low VIX (17.3) favors range-bound action. Buy ES at 1 SD support 7,430.78, target mean.
Entry
7,430.78
Stop Loss
7,353.14
Target 1
7,508.43
Target 2
7,586.08
LONG
GC
Range Play
PENDING
R:R 1.0
Low VIX (17.3) favors range-bound action. Buy GC at 1 SD support 4,148.84, target mean.
Entry
4,148.84
Stop Loss
4,073.57
Target 1
4,224.10
Target 2
4,299.36
SHORT
NQ
Gap Fill
PENDING
R:R 1.4
NQ gapped up 1.63% overnight. Fading gap toward prev close 30,263.35.
Entry
30,757.50
Stop Loss
31,122.43
Target 1
30,263.35
Target 2
30,044.39
LONG
NQ
Range Play
PENDING
R:R 1.0
Low VIX (17.3) favors range-bound action. Buy NQ at 1 SD support 29,705.37, target mean.
Entry
29,705.37
Stop Loss
29,147.39
Target 1
30,263.35
Target 2
30,821.33
LONG
ZB
Gap Fill
PENDING
R:R 2.3
ZB gapped down 0.80% overnight. Buying gap fill toward prev close 113.84.
Entry
112.94
Stop Loss
112.54
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
113.25
Stop Loss
112.76
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.