Convexa versus SPY
Performance shown reflects the actual historical results of the private Convexa strategy for the periods stated. SPY is provided solely as a comparative benchmark and has a materially different risk profile. Past performance is not indicative of future results. Performance Methodology →
18 September 2026
Editor’s Note
The session was broadly calm despite the expiration of a very large volume of options. No major market event disrupted trading, and realized movement remained limited.
The far upside wing of the volatility curve moved during the day but eased somewhat into the close. Overall, this was a fairly standard low-stress session.
Strategy profit was modestly below its usual daily level because hedging costs were unusually high. Protection had been increased ahead of Friday’s expiration due to the risk of a larger market move. That move did not occur, so the additional hedge reduced the final result.
Editor’s Note reflects the author’s market perspective at the time of publication and should be read as commentary, not investment advice.
Market
Session of 18 September 2026
Technical Analysis
the advance in the S&P 500 and Nasdaq-100 was not confirmed by market breadth; internal market structure continued to deteriorate despite declining VIX and VXN.
headline indices remained stable, led primarily by the largest technology companies, while market breadth weakened again.
The September 18 session was not a broad-based recovery; it was a concentrated advance in selected large-cap stocks against a backdrop of continued deterioration across the broader equity universe.
S&P 500+0.17%
Nasdaq-100+0.67%
Breadth · 20D19.08%
VIX14.81 · −4.08%
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Fundamental Analysis
Corporate earnings continue to show strong momentum, while the cost of capital has once again approached critically elevated levels.
The full-year 2026 earnings estimate has been raised by 6.1%.
No material widening has been recorded.
Q3 EPS$89.69
2026 revision6.1%
Forward P/E19.1
10Y yield5.01%
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Volatility
The market is rapidly reducing the price of ordinary near-term movement, but it is not reducing the price of longer-dated and extreme risk to the same extent.
Near-term event premium continues to dissipate rapidly.
The term structure has become even steeper.
VIX14.81
VXN19.29
VIX9D12.27
SKEW148.10
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Methodology