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 · 16 October 2026
A second losing session, smaller than Thursday's
The market fell and protection grew dearer. On Friday the Nasdaq-100 declined 2.5%, VIX rose to 19.99, and on the Convexa scale the volatility regime moved from normal to tense (VIX/VIX3M 0.975).
This was the first session under the risk framework revised on Thursday, and it also closed lower. The account held near flat in the morning; pressure built towards midday and did not ease into the close. The main damage came from the sharpness of the move and the rise in implied volatility: gamma and vega worked against the strategy at the same time.
Market direction also weighed, and time decay helped, but only slightly. Unlike Thursday, when vega rose without market movement, options repriced higher on a sharp decline. The loss was smaller than Thursday's, but the author regards drawdowns of this size as unacceptable, and risk was reduced at the cost of part of the expected return.
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 16 October 2026
Technical Analysis
QQQ closed at 709.80 (−2.50%). SPY closed at 763.25 (−1.11%).
Trend horizons: short Neutral, medium Neutral, long Bullish.
Nasdaq-100 share above the 50-day average: n/a (NDX/S&P breadth not computed in this run).
Main technical conclusion: horizons follow section 2.9 of the methodology (price versus the average, and the five-session slope where the scale uses it).
10-year yield 5.09% as of 2026-10-16. Real 10-year 2.74%.
Fed funds range 3.75–4.00%. Three-meeting path n/a (CME fed-funds futures path not available for this session).
Fundamental scorecard: Neutral (-1 on 5 components).
Coming sessions: 2026-10-19 10:00 NAHB Housing Market Index (Oct); 2026-10-20 08:30 Housing starts and building permits (Sep); 2026-10-20 10:00 Pending home sales (Sep); 2026-10-20 after close Netflix earnings; 2026-10-21 after close Tesla and Meta Platforms earnings (also IBM, Texas Instruments, Lam Research); 2026-10-22 08:30 Initial jobless claims; 2026-10-22 10:00 Conference Board Leading Economic Index (Sep); 2026-10-23 09:45 S&P Global flash PMIs (Oct); 2026-10-23 10:00 University of Michigan consumer sentiment, final (Oct); 2026-10-23 QQQ weekly options expiry.
Regime. NDX closed at 29187.55 (−2.50%). VIX 19.99 (+3.53). The volatility regime is Tense.
Short versus long volatility. VIX/VIX3M is 0.975.
Nasdaq volatility. Weekly expected move to 23 October is ±2.63%; skew index is 36.7; 10-day realized is 17.63%. Source: own calculations.
Principal warning. Distance from QQQ to the model zero-gamma level is −3.79%. Dealers long calls / short puts versus clients; call gamma positive, put gamma negative. Not observed positions.