Technical Analysis
The September 29 session saw Nasdaq outperform again. QQQ rose 0.19% to 737.93 and the Nasdaq-100 gained 0.21% to 30,339.33, while SPY slipped 0.18% to 764.20 and the S&P 500 fell 0.17% to 7,670.84. Equal-weight QQEW led with +0.67%; RSP declined 0.11%.
QQQ remains above all principal averages: 2.07% above its 20-day (722.94), 3.31% above its 50-day (714.31) and 10.68% above its 200-day, with both shorter averages still rising. RSI(14) stands at 59.2. SPY closed 0.11% below a flat 20-day average (765.02) and only 0.23% above its 50-day, leaving its short-term trend neutral.
Participation remains the weak point. Only 46.53% of Nasdaq-100 members and 24.75% of S&P 500 members trade above their 50-day averages, and the QQQ advance came on 27.05 million shares versus 41.78 million in the September 28 decline. Over 20 sessions, QQEW has lagged QQQ by 4.20%.
Main technical conclusion: the QQQ uptrend is intact on all three horizons but remains unconfirmed by breadth. Price is contained between modeled zero gamma at 737.11 and the 740.58–741.42 cluster; above it lies the 748.35–748.65 record zone, below it the 730–731.63 support cluster.
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Fundamental Analysis
Labor and consumer data disappointed on September 29. JOLTS job openings came in at 7.079 million against a 7.225 million consensus, and Conference Board consumer confidence fell to 81.9 from 88.6, well below the 89.2 expected.
The Treasury curve bear-steepened. The 2-year yield fell 3 bp to 4.89% while the 10-year rose 2 bp to 5.26% and the 30-year reached 5.59%, a 24-year high; 2s10s widened to 37 bp. Over five sessions the 10-year has risen 30 bp, almost entirely in real terms (10-year real yield 2.91%). New York Fed President Williams said there is no urgency for the next hike, while Chicago Fed President Goolsbee warned that persistent inflation is "playing with fire."
The S&P 500 forward earnings yield of 5.21% (forward P/E 19.2) now sits 0.05 pp below the 10-year yield, a negative nominal equity risk premium. High-yield spreads widened to 302 bp, up 42 bp over 20 sessions. Forward EPS revisions (+1.40% over four weeks) remain the principal offset.
Main fundamental conclusion: the scorecard totals −6 of ±14 on six of seven components, an unfavorable backdrop. The improvement from −8 is technical — Fed futures pricing was unavailable for the session and the component is excluded — while real rates, credit and oil continue to outweigh resilient earnings momentum.
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Volatility
Regime. Volatility held steady on September 29 as QQQ edged 0.19% higher to 737.93. VIX closed at 16.04 (−0.03), VIX9D at 14.21 (−0.18) and VXN at 22.07 (−0.06), keeping the Nasdaq premium over the broad market at 6.03 points.
Short versus long volatility. The curve remained in contango: VIX/VIX3M edged up to 0.887, within the Normal band, as VIX3M declined more than spot. October VX futures settled at 17.677 (−0.032) and the M2 − M1 spread narrowed to 0.70, consistent with a volatility market pausing after the September 28 spike.
Nasdaq volatility. QQQ 30-day implied volatility rose to 19.26% against 16.02% realized over 20 sessions, a premium of 3.24 points; 10-session realized volatility eased to 17.90%. Event premium sits in the front expiries: 20.42% for September 30 (PCE) and 20.81% for the October 2 weekly (payrolls), versus 18.52% for the October 16 monthly. The weekly straddle implies ±1.51%.
Principal warning. On our model, the roll-off of the September 29 expiry flipped net GEX from −$2.23 billion to +$0.46 billion per 1% move, and zero gamma moved down to 737.11, just 0.11% below the close. The profile is asymmetric: a 1% decline would take modeled GEX to −$3.20 billion, so a close below 733.42 would place the market in negative gamma, while a close above 740.80 would turn it positive. Put wall 730 and call wall 760 are model estimates, not observed positions.
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