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 →
21 September 2026
Editor’s Note
Yesterday the market produced one of the least favorable scenarios for our portfolio construction: a strong rise in the underlying index accompanied by a material increase in implied volatility.
Nasdaq volatility rose by more than one volatility point, a meaningful move in its own right. The far-dated upside wing moved even more sharply: calls became materially more expensive, increasing pressure on the portfolio.
Against that backdrop, the structure required substantial rebalancing to keep directional exposure within its target range. That process also generated additional execution costs through commissions and bid-ask spreads.
Given the combination of a strong market advance, higher volatility, and the need for rapid portfolio rebalancing, I view the day’s result as acceptable under the circumstances.
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 21 September 2026
Technical Analysis
The September 21 session materially strengthened the short-term price structure of the U.S. market, but internal confirmation remained incomplete. The S&P 500 rose 1.49%, the Nasdaq-100 gained 2.83%, while the Russell 2000 advanced only 0.52%.
Market breadth improved but remained weak relative to the move in the headline indices. Only 26.04% of S&P 500 constituents were above their 20-day moving averages, while the McClellan Oscillator, despite improving, remained negative at −21.76.
New lows continued to outnumber new highs: 29 versus 7 in the S&P 500 and 127 versus 64 on the Nasdaq. At the same time, VXN rose 5.70% while the Nasdaq-100 advanced 2.83%.
Main technical conclusion: the short-term structure strengthened materially, but medium-term breadth, new-high/new-low participation and volatility behavior have not yet fully confirmed the strength of the major indices.
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Fundamental Analysis
The fundamental backdrop improved moderately on September 21. The principal support came from a 3.4% decline in Brent crude, a fall in the U.S. 10-year Treasury yield from 5.01% to 4.96%, and a decline in the 10-year real yield to 2.62%.
Corporate earnings remain strong. Expected S&P 500 earnings growth for the third quarter has been raised to 28.79%, while the full-year 2026 growth forecast has increased to 31.8%.
The principal countervailing development is in the fourth quarter, where expected earnings growth has been reduced from 31.6% to 26.5%. At the same time, the cost of capital remains elevated, while the spread between the forward earnings yield and the 10-year Treasury yield is only approximately 0.25–0.30 percentage points.
Main fundamental conclusion: earnings and credit conditions continue to support equities, but the high cost of capital and the downward revision to fourth-quarter earnings growth limit the market’s fundamental margin of safety.
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Volatility
Regime.
The broad volatility market remains calm, but Nasdaq experienced a pronounced local expansion in volatility alongside a strong advance in technology shares.
Short versus long volatility.
VXN rose from 19.29 to 20.39 and VIX9D increased to 13.14, while VIX3M declined to 18.08 and VIX6M to 20.16. The increase in near-term volatility did not propagate into longer maturities.
Surface.
QQQ rose 2.77% while VXN increased 5.70%, but SKEW declined from 148.10 to 142.19. The center and upper portion of the surface became more expensive relative to the extreme downside tail; 84% of QQQ option premium turnover was concentrated in calls.
Principal warning.
A low VIX no longer implies low volatility inside the technology market. For now, this is a localized repricing of Nasdaq volatility and upside convexity rather than a systemic repricing of long-dated or tail risk.
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Methodology