A broad rally and a sharp fall in volatility lifted the account 31.94%
On Monday the market extended Friday's rebound from last week's AI-led sell-off as a sharp drop in oil prices eased inflation worries. The S&P 500 rose 2.35% to 7,549.94, its biggest daily gain since 8 April, SPY 2.37% to 752.69, QQQ 3.54% to 679.35 and the Nasdaq-100 3.40%. The equal-weight S&P 500 (RSP) gained 2.27% and the equal-weight Nasdaq-100 (QQEW) 3.90%; all 11 S&P 500 sectors rose. Chipmakers led: the Philadelphia Semiconductor Index rose 6.9%, AMD about 13% and Broadcom 8.78%, while Nvidia fell 4.27% after its board announced an independent investigation concerning its chief executive. Tesla rose 5.54%, Meta 5.12%, Amazon 2.94%, Microsoft 2.75% and Apple 2.43%. Brent futures settled 5.85% lower after the U.S. President said renewed attacks on Iran were highly unlikely while talks continued. Front-end Treasury yields rose before the October CPI: the 2-year yield rose to 4.56% and the 10-year to 4.88%. Chicago Fed President Goolsbee and Richmond Fed President Barkin both pointed to inflation risk.
Volatility fell sharply. VIX dropped 5.72 points to 19.92 (−22.3%), its lowest close since 4 November, and VXN 5.05 points to 28.97; 30-day QQQ implied volatility (own calculations) fell from 30.03% to 24.89%. Puts fell more than calls: 25-delta puts lost 6.31 volatility points to 29.05%, and 25-delta calls 3.60 points to 21.61%. The 25-delta skew narrowed to 7.44 from 10.15 points, and the skew index to 29.9 from 33.8. The front of the curve was no longer inverted: VIX9D/VIX was 0.998 (prior 1.060) and VIX/VIX3M 0.955 (prior 1.042). On the Convexa scale the regime moved from Stress to Tense, and the event modifier was removed. The negative-gamma modifier remained: QQQ closed 1.84% below the model zero-gamma level of 692.10. The IV below realized volatility modifier also remained, as 30-day implied volatility stayed below 20-day realized volatility (35.87%).
The account closed the session 31.94% higher, against a 2.37% gain in SPY. By model estimate, the directional rise in the Nasdaq-100 and the fall in implied volatility for short volatility were the main contributors in roughly equal measure, and time decay added noticeably; the sharpness of the move worked strongly against the account but was outweighed. Week-to-date (9 November) the result was +31.94%, against +2.37% for SPY; November-to-date it was +50.43%, against −0.40% for SPY. Since the start of the public record on 5 August the result was +58.33%, against −2.19% for SPY.
At the close the weekly QQQ straddle priced a move of ±2.47% to the Friday 13 November expiry (range 662.60–696.11), against ±3.86% a session earlier. QQQ closed 0.27% below its 200-day average (681.17); the long-term regime under section 2.9 stayed Bearish. Ahead were the October CPI on 10 November at 08:30 ET, Veterans Day on 11 November (bond market closed per SIFMA; stock and options exchanges open), weekly jobless claims on 12 November and the October PPI on 13 November at 08:30 ET.
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.