╭────────────────────────────────────────────────────── 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