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Editor’s Note · 12 October 2026

Time and Volatility Outweighed a Falling Market

The market moved against the position, yet the account still closed the day positive. On Monday the Nasdaq-100 fell 0.7%, but on our scale the volatility regime remained Calm.

The account turned positive in the first hour of trading. Time and volatility did the main work. Time decay worked strongly in the position's favor throughout the day, and implied volatility on the position declined, which also provided strong support for short volatility.

Direction worked against us. The market's decline pulled hard on the position in the opposite direction, and the sharpness of the move added a modest amount of pressure. By the close, however, the supporting forces proved stronger: time and volatility outweighed the pressure from the market.

What we are watching next. Banks open the earnings season today. On Wednesday September consumer inflation data is released, and in the evening the Fed publishes the Beige Book. Thursday brings producer prices and advance retail sales. These releases could add sharpness to the market and shift volatility. If VIX/VIX3M closes above 0.85, the regime on our scale moves to Normal. The main risk is a sharp move on the data that makes options more expensive.

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 12 October 2026

Technical Analysis

QQQ fell 0.70% to 746.04 on October 12 on heavier volume — 25.1 million shares against 21.2 million on Friday. The Nasdaq-100 lost 0.71% to 30,664.70, while the broad market was little changed: SPY slipped 0.06% to 778.10, the S&P 500 0.06% to 7,807.24, and the equal-weight RSP added 0.07%.

The trend structure is intact. QQQ sits 0.90% above its 20-day average (739.38) and 2.81% above its 50-day (725.68), both still rising, so all six trend horizons on QQQ and SPY remain Bullish. RSI(14) eased to 56.6. The equal-weight QQEW fell 1.11%, indicating pressure broader than the megacaps alone.

Breadth for October 12 was not computed in this run (n/a).

Main technical conclusion: the pullback left the trend structure undamaged. A close below 739.38 would turn the short-term regime Neutral; 762.86 remains the record high.

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Fundamental Analysis

October 12 brought no new fundamental data: the U.S. bond market was closed for Columbus Day and no macro releases were scheduled. Treasury yields are therefore as of October 9 — 4.80% on the 2-year, 5.24% on the 10-year and 2.91% on the 10-year real yield.

Valuation is unchanged, with the S&P 500 at 19.1 times forward earnings (FactSet, October 9), leaving the equity risk premium effectively at zero. High-yield spreads stand at 315 bp (October 8), 45 bp wider over 20 sessions.

Our fundamental scorecard holds at −4 on six components: Moderately Unfavorable. Market-implied Fed expectations remain n/a.

The week turns on September CPI on October 14, followed by PPI and retail sales on October 15, after bank earnings open the season on October 13.

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Volatility

Regime. Options firmed modestly as the Nasdaq-100 fell 0.71% on October 12: VIX rose 0.37 to 15.21, VIX9D 0.42 to 11.68 and VXN 0.29 to 20.84. The Nasdaq premium over the broad market was little changed at 5.63 points, and CBOE SKEW edged up to 155.06.

Short versus long volatility. VIX/VIX3M rose to 0.848, just below the 0.85 boundary, so the regime remains Calm — with a margin of only 0.03 VIX points; a VIX close above 15.24 would move it to Normal. VIX9D/VIX stands at 0.768, so no event modifier applies.

Nasdaq volatility. QQQ 30-day implied volatility rose 0.33 points to 18.34% even as 10-day realized volatility eased to 11.41%, widening the premium over 20-day realized to 3.10 points; the premium remains rich. Expiries spanning CPI, PPI and OPEX (October 14–16) trade at 16.6–17.0%, against 14.6% for October 19, while our skew index stands at +5.16 points.

Principal warning. On our model, net GEX turned negative at −$1.75 billion per 1% move, with zero gamma at 749.40 and QQQ 0.45% below it — within ±0.5%, so gamma remains transitional. Our expected move to the October 16 OPEX is ±1.43%; a close below 745.65 would trigger the negative-gamma modifier. These are model estimates, not observed positions.

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Methodology