The Nasdaq-100 fell 1.39% while the equal-weight RSP rose 0.60%: this was a rotation out of the largest technology names rather than a retreat from risk. The 10-year Treasury yield declined 6 bp to 5.22%, but Fed signals remained hawkish.
Options reacted more than the realized move. VXN rose 0.98 points to 21.98 and QQQ IV30 0.65 points to 19.19%. Ten-session realized volatility climbed to 12.27%, narrowing the gap from 9.16 to 6.92 points: premium remains rich, but its cushion has shrunk.
Demand is concentrated in protection. 25Δ skew at ~30 days rose to 4.91 points: the 10Δ Put gained 1.18 points, the 10Δ Call 0.09. The front end inverted: ATM IV to Friday's expiration is 17.83%, to the October 16 OPEX 16.84%. On our model, dealer gamma turned negative, with QQQ closing 0.33% below the 750.09 flip level.
The volatility regime is Normal, with VIX/VIX3M at 0.852, but gamma is transitional: dealer hedging no longer dampens moves. Next we watch Friday's University of Michigan survey, the October 14 CPI and the QQQ 746.34 level: a close below it triggers the negative-gamma modifier.
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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