Adding convexity in Nasdaq100 Nasdaq is back near to the top of its annual range and implied vol at the low (strangle July 7050 call – 6960 put at 14% Ivol), versus a realized vol around 20% Look like a great level to initiate cheap gamma exposure to Fang You Might Also Like Short Macys(M US) & take profit November 14, 2018 We close our long in ABI BB at 85 August 28, 2018 Vix is back to low range of the new Vol regime: Buy convexity May 26, 2018