Index decline outweighed the other factors of the session
The session of 14 October 2026 closed for the Convexa strategy at −9.76% against −1.08% for the SPY benchmark (excess −8.68 pp). The day coincided with the release of September CPI and a dense block of bank earnings; the Nasdaq-100 fell about 2%, and QQQ closed at 728.95 (−1.97%).
Market direction proved the dominant factor in the result. The index move was sharp enough to outweigh what usually supports short volatility: premium decay and the level of implied volatility itself. On the Convexa scale the volatility regime remained normal (VIX/VIX3M 0.898), but the VIX level rose to 16.87, VXN to 22.70, and the SKEW index to 157.30 (Cboe data, session of 14 October 2026).
By own calculations on the QQQ surface, 30-day ATM IV rose to about 20.3% (from ~18.6% on the 13 October session), the skew index (30D put−call) to 31.0, and the implied move to the 16 October expiry was about ±1.35% (ATM straddle / spot at the close). These marks describe the state of the surface at the close and are not a forecast.
It was a heavy day relative to the strategy's own history. The result reflects the combination of a directional decline and a re-pricing of the options surface, not a change in methodology. Since inception (5 August – 14 October) cumulative return was +56.96% versus +0.01% for SPY; from 9 to 14 October (WTD after Friday 9 October) −7.76%; from 1 to 14 October +2.00% (exact compounds of daily returns).
This material is informational. It describes the author's own account. It is not investment advice or an offer. Past results do not guarantee future results. The author is not a licensed financial adviser.
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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