Spread - Long Gamma

1. Intra Day Fade (Mean Reversion)
Long Volatility Exposure In Nifty
Index
19th August 2015

2. Short Term Technical Analysis

3. Intra Day Technical Analysis

4. Intra Day Technical Analysis

5. Trade Management
• I bought the spread at the market when future
was 8463
• I scaled out of the spread at 8487 -8505

6. Intuition
• No

7. Review
• It was one good trade
• I made a fat finger error for intial position so I would have to pay
double the cost which would make this trade a scratch
• Overall in “actual” trade performance IF I hadn’t made any error it
would have been a nice trade
• The premise of this trade is to be hedged while taking a directional
view.
• Essentially it is a long gamma trade where theta doesn’t affect as
much as it does if held overnight.
• Long delta is hedged and effectively we are market neutral to
“some” extent
• This provides asymmetry as we can potentially make more than
loose however downside is additional cost to put on the spread