A fall in implied volatility and a tech rebound lifted the account 12.80%
On Friday the market partly reversed Thursday's technology sell-off even as a much stronger-than-expected October employment report lifted Treasury yields and rate-hike odds. Nonfarm payrolls rose by 165,000 versus a Dow Jones consensus of 59,000, the unemployment rate edged down to 4.1%, average hourly earnings rose 0.4% month over month and 3.1% year over year, and August–September payrolls were revised up by a combined 84,000. The S&P 500 gained 0.31% to 7,376.86, SPY 0.31% to 735.29, QQQ 1.40% to 656.10 and the Nasdaq-100 1.35%. The equal-weight S&P 500 (RSP) fell 0.38%. Chipmakers led the rebound: AMD rose about 11.0%, Nvidia 2.78%, Tesla 4.23% and the Philadelphia Semiconductor Index about 4.2%; Microsoft fell 0.99%, Apple 0.52% and Amazon 0.35%, while Meta rose 0.84%. The 2-year Treasury yield rose to 4.51% and the 10-year to 4.86%.
Volatility eased but stayed elevated. VIX fell 2.54 points to 25.64 (−9.0%) and VXN 4.24 points to 34.02; 30-day QQQ implied volatility (own calculations) fell from 34.21% to 30.03%. Puts fell more than calls: 25-delta puts lost 4.77 volatility points to 35.36%, and 25-delta calls 3.26 points to 25.21%. The 25-delta skew narrowed to 10.15 from 11.67 points, and the skew index to 33.8 from 34.1. The front of the curve stayed inverted: VIX9D/VIX was 1.060 (prior 1.159) and VIX/VIX3M 1.042 (prior 1.103). On the Convexa scale the regime remained Stress, and the event modifier stayed on. The negative-gamma modifier remained: QQQ closed 5.29% below the model zero-gamma level of 692.72. The IV-above-RV modifier was replaced by IV below realized volatility, as 30-day implied volatility fell below 20-day realized volatility (32.69%).
The account closed the session 12.80% higher, against a 0.31% gain in SPY. By model estimate, the main contribution came from the fall in implied volatility for short volatility; the directional rise in the Nasdaq-100 also helped, and time decay added a little, while the sharpness of the move worked slightly against the account. The account moved into positive territory in the first hour and held the result into the close. Week-to-date and November-to-date, the result was +14.01%, against −2.70% for SPY. Since the start of the public record on 5 August the result was +20.00%, against −4.46% for SPY.
At the close the weekly QQQ straddle priced a move of ±3.86% to the Friday 13 November expiry (range 630.75–681.45), against ±2.45% to the prior Friday expiry a session earlier. QQQ closed 3.64% below its 200-day average (680.89); the long-term regime under section 2.9 stayed Bearish. Ahead were Fed speakers on 9 November, the October CPI on 10 November at 08:30 ET and Veterans Day on 11 November (bond market closed per SIFMA; stock and options exchanges open).
Options trading carries a high risk of loss. Past performance is not a reliable indicator of future results. This is a record of a personal account, not investment advice or an offer of any service. The author is not licensed.
Editor’s Note reflects the author’s market perspective at the time of publication and should be read as commentary, not investment advice.