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 →
The September 30 session was calm. Implied volatility at longer tenors continued to rise, while volatility in the upper wing of the surface, at strikes above the current price, also moved higher.
The repricing of volatility resulted in an expected small loss for the portfolio on the session.
Editor’s Note reflects the author’s market perspective at the time of publication and should be read as commentary, not investment advice.
Nasdaq outperformed again on September 30, but the session closed weakly. QQQ rose 0.25% to 739.77 and the Nasdaq-100 gained 0.23% to 30,408.50, while SPY fell 0.21% to 762.63 and the S&P 500 declined 0.25% to 7,651.54. QQQ traded up to 745.10 before a late reversal left it 0.04% above the session low; SPX and NDX closed at their lows.
QQQ remains above all principal averages: 2.10% above its 20-day (724.54), 3.47% above its 50-day (714.93) and 10.87% above its 200-day, with both shorter averages rising. RSI(14) stands at 60.2. SPY closed 0.01% below its 50-day (762.74), moving its medium-term trend from bullish to neutral.
Participation deteriorated sharply. Only 20.96% of S&P 500 members trade above their 50-day averages (prior 24.75%) and 47.52% of Nasdaq-100 members. Equal-weight RSP fell 0.71% and QQEW 0.07%, while QQQ/SPY has gained 4.42% over 20 sessions.
Main technical conclusion: the QQQ uptrend is intact on all three horizons but rests on megacap leadership rather than broad participation. The close sits on the 739.46–740.58 cluster; above it lie 745.10 and the 748.35–748.65 record zone, below it modeled zero gamma at 737.18 and the 727.81–730.00 support cluster.
Read full analysis →Inflation surprised to the downside on September 30 while growth surprised to the upside. Core PCE rose 3.0% year on year against 3.3% expected, but second-quarter GDP was revised up to 2.2% and ADP private payrolls rose by 90,000.
For bonds, growth mattered more. The 2-year yield was little changed at 4.88% while the 10-year rose 3 bp to 5.29%, its highest since 2002, and the 30-year reached 5.64%; 2s10s widened to 41 bp. The 10-year real yield stands at 2.93%. CME FedWatch odds of an October hike fell to 34.9% from 70.9% a week earlier (as reported by Babypips), a delay of tightening rather than easing.
The S&P 500 forward earnings yield of 5.21% (forward P/E 19.2) now sits 0.08 pp below the 10-year yield. High-yield spreads widened to 308 bp, up 45 bp over 20 sessions. Forward EPS revisions (+1.40% over four weeks) remain the principal offset, and Micron's results and guidance after the close underscored AI-memory demand.
Main fundamental conclusion: the scorecard improved to −5 of ±14 on six of seven components, a moderately unfavorable backdrop. The change is technical — the five-session rise in the 10-year eased to +18 bp as the base date rolled forward — while real rates, credit and oil continue to outweigh resilient earnings momentum.
Read full analysis →Regime. Volatility firmed on September 30 even as QQQ rose 0.25% to 739.77. VIX closed at 16.34 (+0.30) and VXN at 22.46 (+0.39), widening the Nasdaq premium over the broad market to 6.12 points, while VIX9D was unchanged at 14.20.
Short versus long volatility. The curve remained in contango: VIX/VIX3M was little changed at 0.889, within the Normal band, and VIX9D/VIX fell to 0.869. October VX futures settled at 17.868 (+0.192), less than the rise in spot, and the M2 − M1 spread narrowed to 0.59 — demand shifted toward one-month protection rather than near-dated event hedges.
Nasdaq volatility. QQQ 30-day implied volatility rose to 19.53% against 15.11% realized over 20 sessions, a premium of 4.42 points (prior 3.24). Put skew steepened: 25Δ skew rose to +4.81 points and the 10Δ put to 26.79% (+0.61), while CBOE SKEW for the S&P 500 declined. The October 2 weekly (payrolls) trades at 20.89% and its straddle implies ±1.24%.
Principal warning. On our model, net GEX rose to +$1.22 billion per 1% move, with zero gamma at 737.18, 0.35% below the close. The profile is asymmetric: a 1% decline would take modeled GEX to −$2.16 billion, so a close below 733.49 would place the market in negative gamma, while a close above 740.87 would turn it positive. Put wall 730 and call wall 760 are model estimates, not observed positions.
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