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 adding long gamma trade in dax June 5, 2018 Buy STM FP August 31, 2018 we take profit on our nasdaq convexity June 28, 2018