Convexa is one systematic options strategy, run on the author's own account. This page describes its method at the level of principles. Positions, strike prices, sizes and account amounts are not disclosed.
What the strategy earns on
The strategy is not built on predicting market direction. Its returns have come mainly from the passage of time (option time decay) and from the gap between implied volatility, the volatility priced into options, and the volatility the market subsequently realised.
Asset-agnostic by design
The method does not depend on a particular underlying. It is currently implemented on options on QQQ; the same rules can be applied to other liquid index underlyings. Results are measured against a single benchmark, the S&P 500 (SPY).
When it struggles
The strategy has historically had its weakest periods during sharp, fast market moves, especially when implied volatility rose quickly at the same time. September 2026 was such a period: the strategy returned −17.0% for the month, and the maximum drawdown since inception was recorded then. These periods are shown in the record on the same terms as positive ones.
How risk is bounded
Market exposure is assessed continuously and adjusted systematically as conditions change. Risk is limited through position structure and exposure limits rather than through forecasts. The volatility regime (Calm, Normal, Elevated, Stress), the volatility surface in Vol Lab and the weekly Risk Map are part of the working view on which these decisions are based.
Tools behind the decisions
Vol Lab, the Risk Map and the Editor's Notes show the market view the strategy works from. They describe conditions as observed at the time of publication and are not recommendations or forecasts.
Important
This page is information only. It describes the author's own account and is not investment advice or an offer or solicitation of any kind. Past performance is not indicative of future results. The author is not licensed to manage money or to provide investment advice.