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 Buy upside convexity on Brazil June 18, 2018 Short Repsol November 13, 2018 Short Burberry above 2110 for a 1960 target June 20, 2018