Methodology

Scope

Convexa Daily is the public showcase of one systematic options strategy with verifiable daily results. The strategy is not presented as tied to any single underlying asset. The sole market benchmark is the S&P 500 (shown via SPY for comparative context). Metrics below match the wording already used on the homepage and in Vol Lab; they do not replace the numbered rules on Performance Methodology.

VAMI (Value-Added Monthly Index)

VAMI shows the growth of a normalized index starting at 1,000 on the first session of the published record. On the site it is labeled “Growth of 1,000 · since inception.” A reading of 1,500 would mean +50% since inception (total return, not annualized).

Formula

VAMI starts at 1,000. Each trading day:

VAMI_t = VAMI_t−1 × (1 + r_t)

where r_t is the published daily return for that session. Daily returns themselves follow the Time-Weighted Return rules on Performance Methodology (external deposits and withdrawals are excluded from investment performance).

The public performance record begins on 5 August 2026. Weekends and official U.S. market holidays do not create artificial zero-return observations.

Skew index

The site reports a derived metric labeled Skew index · 30D. Higher values mean downside protection is relatively more expensive versus at-the-money volatility (the same interpretation used for Cboe SKEW context charts in Vol Lab).

Formula

Skew index = 30D put−call skew ÷ ATM vol × 100

“ATM” means at-the-money. Surfaces and smiles in Vol Lab are shown relative to ATM = 100. The skew index is part of Convexa Daily’s own calculations on the published options surface; it is not a raw option price, strike grid, or bid/ask quote.

Separately, Vol Lab may chart the Cboe SKEW index (source: Cboe) for market context. That Cboe series is distinct from the site’s 30D skew index formula above.

Implied move (expected move)

The headline expected-move KPI is the market’s priced move to the nearest expiry (Friday weekly), shown as ±x.x%.

Formula (KPI)

Implied move = ATM straddle ÷ spot × 100%

Horizon chart

The “expected move by horizon” chart uses a different, IV-based construction:

ATM IV (%) × √(days / 365)

Both constructions are stated on the homepage and Vol Lab source lines. They are model estimates derived from the options surface, not observed trade prices.

Data sources

Only sources already stated on Convexa Daily:

• Strategy performance — Interactive Brokers reporting. Confirmed account-value and economic-performance information for the completed U.S. trading session (Performance Methodology §§1–5).
• Benchmark — SPY (SPDR S&P 500 ETF Trust), the sole comparative market benchmark. Where appropriate, SPY comparisons may use distribution-adjusted or equivalent total-return data (Performance Methodology §§10–11).
• Options surface metrics (skew index, implied move, surface relative to ATM = 100) — own calculations, published with a one-session delay (after 9:30 a.m. New York time the next trading day), as stated on the homepage and Vol Lab.
• Market volatility context — VIX, VIX3M, VXN and Cboe SKEW from Cboe, as labeled on Vol Lab and daily records.

How daily results are verified

1. After the U.S. close only. Each published session reflects the most recently completed U.S. trading session (“Last Session”).
2. Broker-confirmed figures. Portfolio value and daily economic performance come from Interactive Brokers reporting for that session—not from modeled, hypothetical or backtested paths, unless a figure is expressly identified as such.
3. Cash flows separated. External deposits and withdrawals are identified and excluded from investment performance; Time-Weighted Return is used when cash flows occur.
4. Same window as the benchmark. Convexa and SPY comparisons always use the same beginning and ending dates.
5. Archive and documentation. Completed sessions are retained in the public performance archive (date, Convexa return, SPY return for the same session). Original Interactive Brokers documents may be published as supporting documentation without modifying their substantive content; that does not imply endorsement by Interactive Brokers.
6. Corrections. If a source, calculation or presentation error is later identified, a corrected version may be published with the original value, corrected value, correction date and reason preserved (see Performance Methodology §16 and the site’s Corrections page).

Reproducibility goal: for every published performance figure it should be possible to identify the measurement period, source data, calculation method, benchmark and publication version.

FAQ

What is VAMI on Convexa Daily?

VAMI (Value-Added Monthly Index) shows the growth of a normalized index starting at 1,000 on the first session of the published record. It starts at 1,000 and each day updates as VAMI_t = VAMI_t−1 × (1 + r_t), where r_t is the published daily return. The figure is total return, not annualized.

How is the skew index calculated?

Skew index = 30D put−call skew ÷ ATM vol × 100. It is shown as “Skew index · 30D” and comes from own calculations on the options surface used in Vol Lab—not from raw option prices.

What does implied move (expected move) mean?

Implied move to the nearest expiry (Friday weekly) equals ATM straddle ÷ spot × 100%, shown as ±x.x%. A separate horizon chart uses ATM IV (%) × √(days/365).

What is the sole market benchmark?

The sole market benchmark is the S&P 500, represented by SPY for comparative context only. Convexa and SPY always use the same beginning and ending dates; they do not share equivalent risk characteristics.

How are daily strategy results verified?

Daily results come from confirmed Interactive Brokers account-value and economic-performance data for the completed U.S. trading session. Published performance is not modeled, hypothetical or backtested unless expressly identified as such. Full calculation rules are on the Performance Methodology page.

Performance record

Convexa Daily publishes the actual historical performance of the private Convexa trading strategy. This section is intended to provide transparency, consistency over time and a clear explanation of the calculations used.

1. Source of Performance Data

The primary source for portfolio value and daily account performance is Interactive Brokers reporting.

For each trading day, Convexa Daily uses confirmed account-value and economic-performance information attributable to the relevant trading session.

Published performance is not modeled, hypothetical or backtested unless expressly identified as such.

2. Strategy Inception

The public performance record begins on:

August 5, 2026.

Initial capital:

Results before this date are not part of the published Convexa performance history.

3. Currency

Portfolio values and dollar P&L are presented in U.S. dollars unless expressly stated otherwise.

Percentage performance is calculated independently of the display currency of individual positions.

4. Daily Return

Last Session represents the result of the most recently completed U.S. trading session.

When there are no external deposits or withdrawals, daily return reflects the change in portfolio value relative to the beginning value of the session.

When external cash flows occur, Convexa Daily uses a Time-Weighted Return methodology intended to separate investment performance from changes in capital unrelated to trading.

Commissions, brokerage fees, interest, dividends, taxes, foreign-exchange adjustments and other economic account effects are included in performance to the extent that they are reflected in portfolio value and attributable to the strategy.

5. External Deposits and Withdrawals

Deposits and withdrawals are not treated as trading profit or loss.

When such transactions occur, they are separately identified and excluded from investment performance.

If an external cash flow occurs intraday and appropriate intermediate portfolio valuations are available, exact subperiod Time-Weighted Return is used.

If sufficient intraday valuation data is unavailable, an explicitly stated methodological convention may be applied. The result should not be represented as more precise than the available source data permits.

6. Weekly Return

Weekly returns are calculated geometrically by compounding daily returns.

Daily percentage returns are not added arithmetically.

A weekly archive entry represents the interval between two weekly measurement points.

For example:

`September 11–18, 2026`

represents performance after the September 11 close through the September 18 close.

The first week of the strategy may be partial because the public record begins on August 5, 2026.

7. Monthly Return

Monthly archive results are calculated using calendar trading months.

The first month is partial and begins on August 5, 2026.

The current incomplete month may be displayed as MTD — Month to Date.

An incomplete month is not included in positive/negative month statistics until the period is final.

8. Homepage “1 Month”

The 1 Month card on the homepage does not necessarily represent a calendar month.

It is a separately approved measurement interval whose exact beginning and ending dates are displayed directly on the card.

For example:

`Aug 18 – Sep 18, 2026`

Readers can therefore identify the exact period associated with the published return.

9. Since Strategy Inception

Since Strategy Inception is calculated from actual beginning capital to actual portfolio value at the stated ending date, adjusted for external cash flows in accordance with this methodology.

When there have been no deposits or withdrawals, the calculation represents the direct change in NAV between the inception and ending dates.

Where exact NAV values are available, Convexa Daily does not derive this result by compounding rounded published daily percentages because rounding may create cumulative error.

10. Benchmark

The primary market benchmark used by Convexa Daily is:

SPY — SPDR S&P 500 ETF Trust.

SPY is used solely for comparative context.

It does not imply that Convexa and SPY have equivalent risk characteristics.

For every comparison, Convexa and SPY must use the same beginning and ending dates.

Performance calculated over different windows must not be presented as directly comparable.

11. SPY Methodology

Where appropriate for a fair comparison of economic investment return, SPY performance may use distribution-adjusted data or an equivalent total-return methodology.

The objective is to compare economic performance rather than only raw market-price movement.

Where price return and total-return presentation differ, the selected methodology should be applied consistently and should not be changed retrospectively without disclosure.

12. Homepage Measurement Periods

The homepage displays four principal performance measures.

Last Session

The most recently completed trading session.

Updated for each new trading day.

1 Week

The most recently approved weekly measurement interval.

It is not recalculated every day and remains unchanged until the next weekly update.

1 Month

The most recently approved one-month measurement interval.

It is not recalculated every day and remains unchanged until the next monthly update.

Since Strategy Inception

Performance from strategy inception through the most recently approved measurement date.

It may be updated with the monthly reporting cycle or when a new reference point is expressly approved.

Each card displays the exact dates of the corresponding measurement period.

13. Daily Performance Archive

Each completed and published trading session is retained in the public performance archive.

For each session the archive may display:

• date;
• Convexa return;
• SPY return for the same trading session.

Weekends and official U.S. market holidays do not create artificial zero-return observations.

14. Positive and Negative Period Statistics

A day, week or month is positive when return is above zero.

It is negative when return is below zero.

A return of exactly 0.00% is classified as neutral and is not counted as either positive or negative.

An incomplete current week or month is not included in final positive/negative period counters.

15. Rounding

Displayed percentages may be rounded for readability.

Where possible, calculations use source values with greater precision.

As a result, manually compounding the rounded daily values displayed on the website may produce a small difference from performance calculated from higher-precision source data.

16. Corrections

If an error is later identified in source data, calculation or presentation, Convexa Daily may publish a corrected version.

Historical publications should not be silently rewritten.

A material correction should preserve the ability to determine:

• the value originally published;
• the corrected value;
• the correction date;
• the reason for the correction.

17. Broker Documentation

Convexa Daily may publish original Interactive Brokers documents or other broker materials as supporting historical documentation.

Such documents are published without modifying their substantive content.

The existence of broker documentation does not imply that Interactive Brokers approves, endorses or validates Convexa Daily, its methodology or its analytical conclusions.

18. Benchmark Comparison Limitations

SPY represents a broadly diversified U.S. equity ETF.

Convexa may employ a materially different risk profile, including derivatives and options.

Performance comparisons therefore provide context only.

Higher or lower return over a specific period is not, by itself, a complete assessment of strategy quality and does not fully reflect differences in:

• volatility;
• maximum drawdown;
• risk asymmetry;
• liquidity;
• leverage;
• tail risk;
• options exposure;
• potential magnitude of loss.

19. Actual and Hypothetical Results

Actual strategy performance must remain clearly distinguished from:

• stress tests;
• scenario analysis;
• forecasts;
• modeled market reactions;
• hypothetical portfolio outcomes.

No such analysis should be presented as actual realized performance.

20. Reproducibility

The objective of the Convexa Daily methodology is to make the performance record understandable and reproducible.

For every published performance figure, it should be possible to identify:

• the measurement period;
• the source data;
• the calculation method;
• the benchmark used;
• the publication version.

Convexa Daily favors methodological transparency over statistics that may be visually compelling but analytically ambiguous.