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 box below 25.5 May 31, 2018 Short XLU above 54.6 for a 51 target September 6, 2018 close our 2nd short on S&P500 October 30, 2018