Short Volatility Delivered a Gain for the Account
The Convexa account closed the day positive: both time and lower volatility worked in favor of the positions.
The position moved into positive territory within the first hour of trading. The day ended with a positive result at the close. The backdrop was a decline in the Nasdaq-100.
Volatility helped most: implied volatility on the position declined over the day, which was the main gain for short volatility. Premium decay also helped noticeably.
Tomorrow's calendar is busy. Before the open, PepsiCo reports quarterly results and initial jobless claims are released. During the day, the U.S. Treasury holds a reopening auction of long-dated bonds, and St. Louis Fed President Musalem speaks. It is worth watching how the market reacts to these events and how implied volatility on the position changes.
Editor’s Note reflects the author’s market perspective at the time of publication and should be read as commentary, not investment advice.
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