September 18, 2026
Below is the full Convexa volatility report for Friday, September 18, 2026, the most recent completed U.S. trading session.
The report follows the approved framework: short-term volatility, the longer-dated term structure, the QQQ volatility surface, material options flows and gamma dynamics, followed by the final market diagnosis and a concise summary.
Key development of the session: near-term volatility continued to decline rapidly following the Federal Reserve meeting, while the longer-dated portion of the volatility surface largely stopped falling and the premium for extreme tail risk increased. In other words, the market became more comfortable with the immediate horizon without becoming materially more comfortable with the next several months.
1. Short-Term Volatility
VIX closed at 14.81, declining 4.08% from 15.44. VXN finished the session near 19.29, down 3.36%. The spread between Nasdaq volatility and broad-market volatility remained almost unchanged at approximately 4.5 points, indicating that the Nasdaq-specific volatility premium remained intact.
The shortest part of the curve contracted even more sharply. VIX9D declined from 13.39 to 12.27, a decrease of 8.36%. This represented a second consecutive session of substantial event-premium compression following the Federal Reserve decision.
However, VVIX, which reflects the price of volatility in VIX options, did not continue to decline. It increased from 87.72 to 88.64, or approximately 1.05%. This is a modest but relevant divergence. Ordinary near-term volatility became cheaper, while uncertainty regarding future volatility spikes was no longer declining.
Diagnosis: near-term event premium has largely normalized. However, the move is no longer a uniform decline across all measures of risk.
2. Longer-Dated Volatility and the Term Structure
The divergence became even more pronounced further along the curve.
VIX3M declined only 1.67%, to 18.24. VIX6M lost just 0.44%, finishing at 20.21. One-year volatility, VIX1Y, effectively stopped declining and ended the session near 21.74, slightly above the previous reading.
The term structure therefore formed an almost textbook progression:
VIX9D 12.27 → VIX 14.81 → VIX3M 18.24 → VIX6M 20.21 → VIX1Y 21.74.
The nearest liquid VIX futures contract was also trading around 18, materially above the spot VIX. This represents pronounced contango, with the market demanding an increasingly large volatility premium as the maturity horizon extends.
The most important feature is not the absolute level of these readings but the difference in their rate of change. The front end continues to reprice sharply lower, three-month volatility is declining considerably more slowly, six-month volatility is nearly unchanged, and one-year volatility is no longer falling.
Longer-dated volatility diagnosis: post-event normalization has occurred predominantly at the front of the curve. Longer-horizon risk remains persistently expensive.
3. Nasdaq Volatility and the QQQ Surface
QQQ closed near 721.45, gaining approximately 0.63%. The Nasdaq Composite rose approximately 0.40%, while VXN declined another 3.36%. The advance in the underlying index was therefore again accompanied by compression in the central portion of implied volatility.
However, the entire surface did not shift downward in parallel.
For the January 2027 expiration, the lower put wing continues to steepen materially as strikes move further below the current underlying price:
put 700 — 19.32% put 650 — 23.07% put 600 — 27.10%
On the upper call wing:
call 800 — 19.07% call 850 — 18.82% call 900 — 19.35%
This is not a comparison of identical delta points, and the figures therefore should not be interpreted mechanically as a precise put-call skew measurement. Nevertheless, the shape across representative fixed strikes is clear: the far downside tail remains materially steeper than the upside wing.
More importantly, an independent measure confirms the same structural development: CBOE SKEW increased from 145.70 to 148.10, a rise of 1.65%, even as VIX and VXN declined.
This is precisely the regime in which ordinary expected market movement becomes cheaper while the relative price of protection against an extreme move increases.
Surface diagnosis: the center and short-dated portion of the QQQ surface became cheaper, while the tail-risk premium remained intact and increased relative to the center. The far put wing remains particularly persistent.
4. Options Flows and Gamma
Friday was a quarterly simultaneous options and futures expiration session, which requires particular caution when interpreting headline trading volumes.
QQQ options volume reached approximately 7.20 million contracts, compared with 7.04 million the previous day:
- call volume: approximately 3.51 million;
- put volume: approximately 3.70 million;
- put/call ratio by contract count: 1.05, down from 1.33.
The premium-based structure changed much more dramatically.
Total options premium volume increased to approximately $1.82 billion. Of this amount, approximately $1.58 billion, or 87%, was associated with call options, while only approximately $234 million was associated with puts. Call premium volume more than tripled relative to Thursday, while put premium volume declined by almost 45%.
At the same time, total open interest increased by only 0.43%.
The exceptionally large turnover therefore cannot be interpreted as evidence that a comparable amount of new directional call exposure was created. On a quarterly expiration session, a substantial portion of this activity is associated with position closing, rolling, exercise-related activity, and intraday repositioning.
A verifiable public SpotGamma Synthetic Open Interest snapshot for this specific session was not available, so the report does not attempt to make a more precise distinction between opening and closing activity without supporting evidence.
The scale of the expiration itself was substantial. Approximately 2.51 million contracts of open interest were concentrated in the September 18 QQQ expiration.
Trading activity was also exceptionally concentrated around the prevailing underlying price, with individual strikes in the 717–720 area recording volumes in the hundreds of thousands of contracts.
Gamma
Model-based providers differed materially in their precise levels, which itself illustrates why these figures should not be treated as directly observable accounting facts.
ZeroGEX estimated the zero-gamma level near 716.91, with a call wall around 725 and a put wall near 715.
GEXBoard estimated the zero-gamma level near 720.29 at the close, with a call wall around 721 and a put wall near 700.
The absolute levels differ substantially and should therefore not be treated as exact. However, both models agree on the more important structural conclusion: by the end of the session, QQQ was operating in a positive-gamma regime and was near or above the gamma-flip level, with the principal gamma concentration located close to the prevailing market price.
This is consistent with observed market behavior: exceptionally high options turnover was accompanied by a relatively limited move in the underlying index.
5. Drivers of Volatility
Two opposing forces were operating simultaneously.
On one side, the completed Federal Reserve meeting continued to lose its event premium, while quarterly expiration created substantial mechanical gamma concentration near prevailing market levels. Both factors exerted downward pressure on near-term implied and realized volatility.
On the other side, the broader fundamental environment was far from benign.
The ten-year United States Treasury yield moved back toward 5%, oil remained above $100 per barrel, and the market was pricing approximately a 55.4% probability of another Federal Reserve rate increase in October.
At the same time, the Nasdaq advanced on strength in semiconductor shares, even though declining stocks outnumbered advancing stocks within the Nasdaq by approximately 1.42 to 1.
Total United States equity-market volume reached approximately 25.29 billion shares, compared with a twenty-session average of approximately 16.19 billion. A substantial portion of this excess activity was associated with expiration and rebalancing flows, so Friday's volume should not be interpreted as a conventional measure of directional conviction.
Oil eased somewhat during the session. Brent finished near $104.87 per barrel, while United States crude ended near $100.30, partially reducing immediate inflationary pressure without eliminating it.
6. Final Diagnosis
On September 18, the volatility regime became even more differentiated across maturities and risk dimensions.
The front of the curve has largely returned to a calm regime: VIX at 14.81, VIX9D at 12.27, and VXN at 19.29.
The longer-dated portion, however, is no longer following the front end lower. Six-month volatility was almost unchanged, one-year volatility remained effectively stable, and SKEW increased.
Friday should therefore not be characterized simply as another session of declining volatility.
A more precise description is:
short-term volatility is inexpensive, longer-dated volatility remains persistent, and relative tail-risk pricing is increasing.
This is no longer a broad post-event compression of the entire volatility surface. It is an increasing divergence between near-term calm and the price of risk at longer horizons.
There is one additional consideration. Friday's market microstructure was heavily distorted by quarterly expiration. The next full session, following the removal of approximately 2.5 million contracts of September open interest, should provide a materially cleaner reading of the new QQQ gamma regime.