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 Credit suisse below 16.2 and add in SC European longs July 31, 2018 Buy VIX future Nov & close short Kering November 9, 2018 Buy gamma on Nasdaq100 with a 2% net delta short August 6, 2018