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 →

Editor’s Note · 15 October 2026

A return to neutrality

The session of October 15 unfolded under conditions that were far from ordinary. The market opened with a sharp decline amid elevated volatility, then recovered nearly all of the morning's loss over the course of the day.

At the height of the decline, as volatility peaked, the position was brought back to delta neutrality. The decision was taken within the strategy's risk-management rules: in such a market, directional exposure ceases to be controllable, and limiting further loss takes priority. The cost of that decision emerged in the afternoon, when the neutral position did not participate in the recovery and the loss accumulated up to the rebalancing remained realized.

A drawdown of this magnitude lies beyond what the author regards as acceptable for the strategy, and the session is treated as such. It nonetheless reflects a choice in favor of risk discipline in an unusual market, not a departure from the rules.

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 15 October 2026

Technical Analysis

QQQ slipped 0.13% to 728.00 on Oct 15 after opening near 718.55 and touching 715.43, recovering most of the early decline. The Nasdaq-100 ended −0.05% at 29,935.59; the broad market rose: SPY +0.28% to 771.79, the S&P 500 +0.33% to 7,744.06 and equal-weight RSP +1.37%.

QQQ closed 2.03% below its 20-day average (743.10), keeping the short-term regime Neutral, and 0.16% above the 50-day (726.87); the intraday low fell below that level before the recovery. RSI(14) stood at 44.1. NVDA −1.84% and TSLA −1.29% weighed among the largest members, while MSFT gained +1.08%.

Breadth for Oct 15 was not computed in this run (n/a).

Main technical conclusion: the session tested and reclaimed the 50-day average; the medium- and long-term structure held. A close below 726.87 would turn the medium-term regime Neutral; a close back above 743.10 would restore the short-term Bullish reading.

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Fundamental Analysis

September PPI rose far faster than forecast on Oct 15: 1.3% month over month against 0.5%, core 0.7% against 0.3%. Treasury yields nevertheless fell: 2-year 4.77% (−5 bp), 10-year 5.10% (−9 bp), 10-year real 2.78%; the 2s10s curve flattened to 33 bp.

Retail sales rose 0.8% in September and jobless claims were in line. PNC, U.S. Bancorp, BNY and Charles Schwab reported. With the S&P 500 at 19.1 times forward earnings (FactSet, October 9), the equity risk premium stood at +0.14 pp. High-yield spreads were 323 bp (Oct 15), 53 bp wider over 20 sessions.

Our fundamental scorecard improved to 0 from −2 on six components, Neutral, as the 10-year fell 18 bp over five sessions. Market-implied Fed expectations remained n/a.

Main fundamental conclusion: lower nominal yields offset hotter producer prices in the scorecard, while real rates above 2.75% and wider credit spreads still weigh on the backdrop.

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Volatility

Regime. Volatility eased slightly on Oct 15 as stocks recovered from a sharply lower open: VIX fell 0.41 to 16.46 and VIX9D 0.62 to 13.97, while VXN edged up 0.19 to 22.89. CBOE SKEW rose to 160.45. Source: Cboe.

Short versus long volatility. VIX/VIX3M eased to 0.890 from 0.898, inside the Normal band; a VIX close above 17.57 (ratio above 0.95) would turn the regime Tense. VIX9D/VIX stood at 0.849, with no event modifier.

Nasdaq volatility. QQQ 30-day implied volatility was little changed at 20.36% against realized RV20 of 16.03%, a premium of 4.33 points. The overnight Oct 16 expiry carried 22.28% ahead of the monthly expiration. Our skew index fell to 26.8 from 31.0. Source: own calculations. Session of 2026-10-15.

Principal warning. On our model, net GEX was −$5.73 billion per 1% move, and QQQ closed 0.94% below zero gamma (734.92), so the negative-gamma modifier remained active. Our expected move to the Oct 16 expiry was ±0.93% (±1.35% a session earlier). These are model estimates, not observed positions.

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Methodology