A second losing session, smaller than Thursday's
The market fell and protection grew dearer. On Friday the Nasdaq-100 declined 2.5%, VIX rose to 19.99, and on the Convexa scale the volatility regime moved from normal to tense (VIX/VIX3M 0.975).
This was the first session under the risk framework revised on Thursday, and it also closed lower. The account held near flat in the morning; pressure built towards midday and did not ease into the close. The main damage came from the sharpness of the move and the rise in implied volatility: gamma and vega worked against the strategy at the same time.
Market direction also weighed, and time decay helped, but only slightly. Unlike Thursday, when vega rose without market movement, options repriced higher on a sharp decline. The loss was smaller than Thursday's, but the author regards drawdowns of this size as unacceptable, and risk was reduced at the cost of part of the expected return.
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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