📈 INSTITUTIONAL PRE-MARKET PLAN

INSTITUTIONAL NQ TRADING PLAN (NQ=F - E-mini Nasdaq-100)

Generated: 2026-09-22 09:11 ET | Model: gemini-2.5-pro | Data: yfinance 5m & daily

1. PRE-CALCULATED MARKET METRICS SNAPSHOT

NQ (E-mini Nasdaq-100) MARKET METRICS SNAPSHOT

Ticker / Contract: NQ=F
Timestamp: 2026-09-22 09:12 ET (Pre-RTH)
Current Price: 30,768.00 pts

6-Month Macro Structure

6M Range: 22,961.50 - 30,968.00 (Current: Upper 2% of range (Near 6M Highs))
20-day ATR: 433.62 pts
50 EMA: 29,409.94 | 20 EMA: 29,605.93 (50 SMA: 29,316.96 | 20 SMA: 29,493.11)
Major Multi-Month HVNs (Acceptance Nodes): 29,370.00, 29,100.00, 29,550.00, 29,760.00
Major Multi-Month LVNs (Rejection / Vacuum Nodes): 28,860.00, 30,570.00, 24,210.00
Volatility Context: 30-day Realized Vol: 17.0% annualized

3-Month Macro Structure (Quarterly Value Profile)

3M Range: 27,201.50 - 30,916.50 (Current: Upper 4% of 3M range (Near Quarterly Highs))
3M Value Area (70%): VPOC: 29,730.00 | VAH: 29,970.00 | VAL: 29,070.00
3M Volume Nodes: Top HVNs: 29,760.00, 29,550.00, 29,700.00, 29,430.00 | Top LVNs: 28,950.00, 29,040.00, 29,880.00

Prior 24-Hour / Globex Session

ONH (Overnight High): 30,916.50 | ONL (Overnight Low): 30,670.00 | ON Range: 246.50 pts (56.8% of 20d ATR)
Overnight VPOC: 30,780.00 (Developing VAH: 30,870.00 | Developing VAL: 30,750.00)
Overnight Inventory: 79% Net Long
Overnight Relative Volume (RVOL): 57.1% of Globex baseline
Overnight Net Delta Trend: -7,954 contracts (Bearish distribution)
Prior Regular Trading Hours (RTH): Settle: 30,771.00 | Value Area High (VAH): 30,825.00 | Value Area Low (VAL): 30,495.00 | Prior VPOC: 30,795.00
Today's Macro Events: None scheduled (Normal Auction Environment)

Relation: Last 24 Hours vs. 3-Month Macro Structure

Quarterly Value Posture: Trading Above 3-Month Value (+798.00 pts above 3M VAH 29,970.00) - Bullish Quarterly Expansion / Discovery Mode
Quarterly Fair Value Proximity: +1,038.00 pts (+3.49%) above 3M VPOC (29,730.00) - serves as macro mean-reversion magnet if buying exhausts
24H Auction vs. 3M Extremes: Overnight auction traded at/above 3-Month High (30,916.50) - potential multi-month breakout vs. exhaustion sweep
Overnight vs. Quarterly VPOC: Developing Overnight VPOC (30,780.00) is +1,050.00 pts relative to 3M VPOC (29,730.00)

2. INSTITUTIONAL EXECUTION PLAN & SCENARIOS

Of course. Here is the institutional Next-Day Trading Plan for NQ, derived from the provided Market Metrics Snapshot and structured around auction market theory principles.

NQ E-mini Nasdaq-100: Next-Day Execution Plan

Date: 2026-09-22
Author: Lead Institutional Tech Equity Strategist
Focus: Auction Process, Value Migration, Key Inflection Zones

1. Market State & Multi-Timeframe Bias

Opening Context (Short-Term): In-Balance / Rotational. The current price (30,768) is opening inside the prior day's value area (30,495 - 30,825) and very near the prior day's VPOC (30,795). This is an "Open-in-Value, near-POC" scenario, which suggests initial acceptance of yesterday's prices. This type of open often leads to a two-sided, rotational auction early in the session as the market seeks directional conviction.
Macro Context (Quarterly): Out-of-Balance / Bullish Expansion. On a multi-month timeframe, the market is unequivocally bullish and in price discovery. We are trading +798 points above the 3-Month Value Area High (VAH) of 29,970. This signifies a strong rejection of the prior quarter's balance area and an ongoing initiative by buyers to explore higher prices. The overnight session tested and held near the 3-month highs, reinforcing this expansionary phase.
Primary Bias: Cautiously Bullish. The dominant macro structure is a strong uptrend. However, the significant overnight net long inventory (79%) coupled with negative delta divergence presents a notable risk of a short-term inventory correction (long liquidation) at the RTH open. The primary expectation is for buyers to defend key support and eventually attempt a breakout, but we must respect the potential for a flush-out of weak-hand longs first. The day's auction will be defined by the conflict between macro trend continuation and short-term inventory imbalance.

2. Key Inflection Levels

These are the critical price zones where we expect a significant response from market participants, defining the day's potential trajectory.

Daily Pivot Zone: 30,780 - 30,795
- Rationale: Confluence of the Overnight VPOC (30,780) and the Prior Day RTH VPOC (30,795). This is the most recently accepted area of "fair value." How the market treats this zone at the open will set the immediate tone. Holding above is constructive; acceptance below signals weakness.
Primary Resistance (R1): 30,825 | (R2): 30,916.50
- R1 (30,825): Prior Day VAH. A break and hold above this level is the first confirmation that buyers are successfully breaking out of yesterday's balance area.
- R2 (30,916.50): Overnight High / 3-Month High. This is the major upside inflection point. A successful auction above this level confirms trend continuation and price discovery. Failure here would create a significant look-above-and-fail signal.
Primary Support (S1): 30,670 | (S2): 30,495
- S1 (30,670): Overnight Low. This is the first line of defense for overnight longs. A breach here would likely accelerate the inventory correction.
- S2 (30,495): Prior Day VAL. This represents the lower boundary of yesterday's accepted value. A test of this level would signify a full rotation of the prior day's range and a more significant bearish shift in sentiment.

3. Primary Scenarios (If/Then Logic)

A. Bullish Scenario: Breakout Continuation

Trigger: The market holds above the Daily Pivot Zone (30,780 - 30,795) post-open, absorbing any initial selling pressure.
Confirmation: A sustained, volume-supported break and acceptance above R1 (Prior Day VAH at 30,825). This indicates buyers are in control and are ready to challenge the highs.
Target 1: 30,916.50 (ONH / 3M High). Expect initial profit-taking and potential resistance here.
Target 2: 31,000 (Psychological Level). If the auction through 30,916.50 is strong, this becomes the next logical destination in price discovery mode.
Invalidation: The breakout above 30,825 fails, and price is aggressively sold back down through the Daily Pivot Zone (30,780).

B. Bearish Scenario: Inventory Correction / Mean Reversion

Trigger: The market fails to hold the Daily Pivot Zone (30,780 - 30,795) and begins to accept prices below it.
Confirmation: A decisive break and hold below S1 (ONL at 30,670). This confirms the long liquidation is underway and sellers are gaining control.
Target 1: 30,570 (Multi-Month LVN) to 30,495 (Prior Day VAL). This zone represents a full rotation of yesterday's range and a test of its lower value boundary.
Target 2: 29,970 (3-Month VAH). While a significant move, this is the primary macro mean-reversion target if selling pressure is severe and the market begins to repair the excess high prints.
Invalidation: Sellers fail to break the ONL (30,670), and buyers aggressively reclaim the Daily Pivot Zone, trapping shorts.

C. Range / Choppiness Play: Balance Rules

Condition: If the market opens and fails to find directional conviction, remaining contained between the Prior Day VAH and the ONL.
Strategy: Look for responsive (fade) trades. Sell failures at/near R1 (30,825), targeting the developing VPOC (~30,780). Buy failures at/near S1 (30,670), targeting the VPOC.
Invalidation: This strategy is void upon a sustained, accepted breakout beyond either 30,825 or 3