Latest forecast
╭────────────────────────────────────────────────────── SPXLcast ──────────────────────────────────────────────────────╮
│ SPXL 280.76 close 2026-09-17 | S&P 500 7,638 | VIX 15.4 | 3m bill 4.14% | 10y 5.01% │
╰─────────────────────────────── prices fetched 2026-09-17 21:40 UTC | run 21:40 UTC ────────────────────────────────╯
╭─────────────────────────────────────────────────────── Rating ───────────────────────────────────────────────────────╮
│ HOLD conviction low score +0.16 (+/- 0.02 Monte Carlo) horizon 6M (126 trading days) │
│ │
│ - Typical outcome: median 6-month return +3.1% vs T-bill +2.0% (annualised edge +2.1% -> +0.07 of the score) │
│ - Expected value: mean +3.9%, vol 28% -> Sharpe-like +0.09/yr (+0.09 of the score) │
│ - P(beat T-bill) 51%, P(positive) 54%; 5% worst case -41.1%; P(-20% drawdown on the path) 37% │
│ - S&P 500 expected total return +6.2%/yr (E/P 4.1%, div yield 1.0%, valuation and regime adj -0.1%) │
│ - Implied vol 13% to the rating horizon -> leverage decay about 5%/yr; fund costs 10.6%/yr; the index needs about │
│ +7.0%/yr for SPXL's median to be flat over a year │
│ - News sentiment neutral (+0.03) -> +0.1% annualised drift for 10 days in the price tables; excluded from this │
│ rating │
│ - Yield curve 10y-3m +0.87%; 3m bill 4.14% sets the financing cost │
│ │
╰──────────────────────────────────────────────────────────────────────────────────────────────────────────────────────╯
SPXL price distribution (spot 280.76)
Horizon Mean P5 P25 Median P75 P95 P(up) P(>bill) P(>S&P) P(dd 20%)
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━
1M 283 233 266 284 301 329 55% 53% 52% 5%
3M 286 193 251 287 322 377 55% 52% 50% 23%
6M 292 165 238 289 342 425 54% 51% 49% 37%
1Y 303 119 209 288 379 541 52% 49% 45% 56%
P(up): ends above spot. P(>bill): beats the T-bill. P(>S&P): beats the unlevered index. P(dd 20%): touches -20% from
spot at some point before the horizon.
Returns (SPXL vs. unlevered S&P 500 total return vs. T-bill)
Horizon SPXL median SPXL mean SPXL 5% worst S&P median T-bill
─────────────────────────────────────────────────────────────────────────
1M +1.1% +0.7% -17.0% +0.7% +0.3%
3M +2.1% +1.9% -31.1% +2.0% +1.0%
6M +3.1% +3.9% -41.1% +3.6% +2.0%
1Y +2.6% +8.0% -57.6% +6.6% +4.1%
Price 200.00 (-28.8% vs spot 280.76)
P(dips to level) = buy-limit P(rises to level) = sell-limit
Horizon Percentile of end price P(end above) fill fill
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━
1M 1st 99% 1% already above
3M 6th 94% 11% already above
6M 12th 88% 22% already above
1Y 22nd 78% 41% already above
Price 250.00 (-11.0% vs spot 280.76)
P(dips to level) = buy-limit P(rises to level) = sell-limit
Horizon Percentile of end price P(end above) fill fill
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━
1M 12th 88% 19% already above
3M 25th 75% 45% already above
6M 30th 70% 58% already above
1Y 38th 62% 73% already above
Percentile = share of simulated end-of-horizon prices at or below the level (a low percentile means the level is a cheap
outcome). Fill probabilities use the whole simulated path: a buy-limit placed below spot fills if the price dips to it
at any point before the horizon.
Buy-limit ladder over the next 6M (chance the price dips to the level)
P(fill) Limit price vs spot Median end vs entry (if filled) P(profit if filled)
─────────────────────────────────────────────────────────────────────────────────────────
90% 277.85 -1.0% +0.6% 51%
75% 265.83 -5.3% -0.4% 49%
50% 241.20 -14.1% -1.3% 47%
25% 206.30 -26.5% -1.8% 46%
10% 170.42 -39.3% -3.0% 43%
The last two columns only count the paths on which the order actually fills, so they already reflect that a dip to the
level is bad news on average.
S&P 500 expected total return (annualised) - how it is built
Component Value Detail
─────────────────────────────────────────────────────────────────────────────────
Earnings-yield model +6.4% E/P 4.06% + inflation 2.33%
Dividend-growth model +6.3% div yield 0.98% + nominal EPS growth 5.33%
Base (50/50 blend) +6.3%
adj: hot_inflation -0.1% risk-regime penalty
CPI YoY 3.71% above 3.50%
Final index drift +6.2% clipped to [-10%, +20%]
News tilt (first 10 days) +0.1% Neutral (+0.03); kept small, not calibrated
Volatility (from the VIX term structure) and SPXL mechanics
Item Value Detail
──────────────────────────────────────────────────────────────────────────────────────────────────────────────────────
Index vol pillar 1M 12.4%
Index vol pillar 3M 13.5%
Index vol pillar 6M 13.3%
Index vol pillar 1Y 14.7%
Index vol to 6M 13.3% variance-consistent average
Daily shock shape t(4), skew 0.90 fat tails; skew < 1 means larger down moves than up moves
Leverage 3.00x stated 3x, checked against realised beta
Expense ratio 0.84%
Financing cost 9.78% (2x) x (3m bill + 0.75% all-in spread)
Volatility decay 5.3% L(L-1)/2 x sigma^2 at the horizon vol (emerges in the simulation)
Break-even index return 7.0% arithmetic index return at which SPXL's median is flat over a year (at
the 1-year vol)
Realised beta / R2 2.97 / 0.999 504 days, 4 dislocation days excluded; tracking noise 0.08%/day
pillars after VRP haircuts of 3/5/7 pts: 21d 12.4%, 63d 13.5%, 126d
13.3%, 252d 14.7%
realised 3m vol of SPY: 11.6% (diagnostic only)
expense ratio 0.84% (Yahoo info.netExpenseRatio)
calibrated on 504 days (4 dislocation days excluded): beta 2.969, R2
0.999, tracking noise 0.079%/day, empirical drag +10.2%/yr (noisy)
financing 2x (4.14% + 0.75% all-in spread) = 9.78%/yr
Influencers - current levels
Ticker Description Last 1D 1M 3M 1Y
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━
SPXL Direxion Daily S&P 500 Bull 3X 280.76 +3.4% -2.8% +6.2% +37.4%
SPY SPDR S&P 500 ETF (total-return proxy) 762.60 +1.1% -0.6% +3.2% +16.8%
^GSPC S&P 500 index 7,637.76 +1.1% -0.7% +2.9% +15.6%
^VIX VIX (30-day implied vol, %) 15.44 -2.27 -0.40 -3.00 -0.92
^VIX3M VIX 3-month (%) 18.55 -1.18 n/a n/a n/a
^VIX6M VIX 6-month (%) 20.30 -0.73 n/a n/a n/a
^VVIX VVIX (vol of vol) 87.72 -7.69 -5.15 -6.81 -16.38
^SKEW CBOE SKEW (tail-risk pricing) 145.70 -0.25 +2.10 +3.08 -2.51
^IRX 13-week T-bill, discount basis (%) 3.97 -0.00 +0.26 +0.32 +0.08
2YY=F 2-year yield future, CBOT front month (%) 4.39 +0.01 +0.22 +0.54 +0.90
^FVX 5-year Treasury yield (%) 4.80 -0.06 +0.43 +0.57 +1.22
^TNX 10-year Treasury yield (%) 4.95 -0.06 +0.24 +0.48 +0.92
^TYX 30-year Treasury yield (%) 5.30 -0.05 +0.01 +0.37 +0.65
DX-Y.NYB US Dollar Index 100.23 -0.1% +0.6% +0.1% +3.7%
HYG High-yield corporate bond ETF 78.72 +0.4% -0.5% +0.2% +2.9%
LQD Investment-grade corporate bond ETF 105.16 +0.7% -0.2% -2.2% -1.9%
TLT 20y+ Treasury ETF 81.78 +1.1% +0.5% -4.2% -5.3%
CL=F WTI crude ($/bbl) 101.09 -1.3% +19.0% +31.6% +56.7%
GC=F Gold ($/oz) 4,380.60 -0.2% -0.9% -0.0% +17.6%
Yield and volatility rows show changes in points; price rows show % changes. Changes are aligned to the trading
calendar; n/a means the series has a gap there.
S&P 500 valuation and macro backdrop
Metric Value Source
────────────────────────────────────────────────────────────────────────────────
Trailing P/E 24.6 Yahoo:SPY.info.trailingPE
Earnings yield (E/P) 4.06% Yahoo:SPY.info.trailingPE
Dividend yield 0.98% Yahoo:SPY.info.yield
Nominal EPS growth assumed 5.33% real 3.0% + inflation 2.33%
Price/Book 5.28 Yahoo funds_data
Price/Sales 3.66 Yahoo funds_data
3m T-bill (bond-equivalent) 4.14% FRED:DGS3MO
2y yield 4.74% FRED:DGS2
10y Treasury 5.01% FRED:DGS10
30y Treasury 5.30% Yahoo:^TYX
Curve 10y-3m +0.87%
10y breakeven inflation 2.33% FRED:T10YIE
Real 10y yield +2.68% FRED:DFII10
E/P minus real 10y +1.38% context only
HY credit spread (OAS) 2.70% FRED:BAMLH0A0HYM2
CPI YoY 3.71% FRED:CPIAUCSL
Unemployment 4.1% FRED:UNRATE
VIX / 3M / 6M 15.4 / 18.5 / 20.3 Yahoo
VVIX / SKEW 87.7 / 145.7 Yahoo
Top S&P 500 constituents (weight, valuation, 1M move, news tone)
Symbol Name Weight Trailing P/E Forward P/E 1M News
────────────────────────────────────────────────────────────────────────────────────────────
NVDA NVIDIA Corp 8.1% 27.7 14.0 -0.1% +0.14
AAPL Apple Inc 7.0% 38.7 35.1 +8.7% +0.30
MSFT Microsoft Corp 5.7% 27.7 21.1 +3.5% +0.20
AMZN Amazon.com Inc 3.8% 20.2 24.2 -3.2% +0.08
GOOGL Alphabet Inc Class A 3.0% 17.4 23.4 +1.0% +0.46
AVGO Broadcom Inc 2.6% 44.3 17.9 -8.6% -0.20
GOOG Alphabet Inc Class C 2.4% 17.3 23.1 +0.8% n/a
META Meta Platforms Inc Class A 1.9% 25.7 19.5 +25.5% +0.05
MU Micron Technology Inc 1.6% 22.1 6.2 +3.9% +0.32
TSLA Tesla Inc 1.6% 342.2 166.6 +8.7% +0.18
News tone is per company; share classes (e.g. GOOG/GOOGL) are merged into one.
What moves SPXL: daily OLS betas over the last year
Driver Shock SPXL move R2 Days
──────────────────────────────────────────────────────────
SPY total return +1% +3.00% 1.00 252
10y Treasury yield +1pp -16.70% 0.07 252
3m T-bill yield +1pp -6.83% 0.00 252
VIX +1pt -1.27% 0.67 252
US Dollar Index +1% -2.06% 0.08 252
High-yield bonds (HYG) +1% +7.86% 0.60 252
Long Treasuries (TLT) +1% +1.03% 0.06 252
WTI crude +1% -0.24% 0.11 252
Gold +1% +0.38% 0.08 252
Read: a +2.9% move for a +1% shock to SPY means SPXL moves about 2.9% per 1% SPY move on the same day. Yield shocks are
+1 percentage point, VIX +1 point. Descriptive statistics, not a trading signal.
╭─────────────────────────────────────────────────── News sentiment ───────────────────────────────────────────────────╮
│ Neutral score +0.03 from 104 unique recent stories (150 fetched); near-term drift tilt +0.1%/yr │
╰──────────────────────────────────────────────────────────────────────────────────────────────────────────────────────╯
104 unique stories within 7 days (34 weighted as market-relevant), half-life 2 days
By feed/company: GOOGL +0.46 MU +0.32 ^VIX -0.31 AAPL +0.30 MSFT +0.20 AVGO -0.20 TSLA +0.18 NVDA +0.14 ^GSPC
-0.12 ^TNX -0.11 AMZN +0.08 META +0.05 SPY -0.02
Most positive (weighted)
Score Weight Feed When Headline
──────────────────────────────────────────────────────────────────────────────────────────────────────────────────────
+0.76 0.93 TSLA 09-17 17:01 Automaker Stocks Rally as Rotation Lifts Cyclicals: General Motors
Climbs 4%, Stellantis Rises 4%, Ford Gains
+0.64 0.96 AAPL,MSFT,GOOG 09-17 19:02 Top 5 Tech Stocks Built to Weather Higher Interest Rates
+0.63 0.98 MU 09-17 20:21 AMD Leads Chip Stocks Higher Amid Sector Rebound
+0.56 1.00 AMZN 09-17 21:21 AI Power Stocks Rally After Generac's Deal For Amazon Data Centers
+0.53 0.94 MU 09-17 17:10 Stock Market Midday, Sept. 17: Stocks Rebound From Post Fed
Sell-off, Generac soars 20%
Most negative (weighted)
Score Weight Feed When Headline
──────────────────────────────────────────────────────────────────────────────────────────────────────────────────────
-0.63 0.91 AVGO 09-17 14:54 Broadcom CEO Hock Tan Says He Isn’t Worried – ‘No, Not in the Least’ – About
AVGO as AI Extinction Fears Rattl
-0.55 1.00 ^GSPC 09-17 21:32 Stock Market Today, Sept. 17: CoreWeave Falls on Convertible Debt and Share
Sale Announcement
-0.48 0.97 SPY 09-17 19:41 Fed Rate Hike in October or December? Benzinga Viewers Say This is More
Likely
-0.66 0.69 ^TNX 09-16 20:01 Dow Sinks 630 Points as Market Frets More Hikes Ahead
-0.49 0.89 ^TNX 09-17 13:55 There's more pain in store for the bond market. Here's why.
appended to /data/logs/forecast_log.csv
wrote /data/output/forecast.json
wrote /data/output/fan.png
Fan chart
Track record
╭──────────────────────────────────────────────────── Track record ────────────────────────────────────────────────────╮
│ 2 logged forecast dates 2026-09-16 to 2026-09-17 | 0 scoreable so far | /data/logs/forecast_log.csv │
╰──────────────────────────────────────────────────────────────────────────────────────────────────────────────────────╯
note: nothing to score yet: the shortest horizon has not elapsed since the first logged date