This document provides an overview of various trading strategies that can be employed in a fixed income options and exotics book, including trend following, risk management, systematic macro, systematic gamma, curve risk premia, vega carry and RV, events, and exotics strategies. It discusses indicators, machine learning, risk biases, proprietary indices, gamma versus vega, spread options, market reactions to events like Fed minutes and Brexit, and specific strategies like daily higher options and knock-outs. The strategies aim to capture profits from various sources of risk premia while managing risks.

1. TRADING STRATEGIES
Overview of trading strategies in a Fixed Income Options and Exotics book
Nazim
Benotmane

2. 1
TABLE OF CONTENTS
1 Introduction ....................................................................................................................................2
2 Trend following...............................................................................................................................2
2.1 Indicators ................................................................................................................................2
2.2 Machine learned indicator......................................................................................................3
2.3 Example...................................................................................................................................3
3 Risk management............................................................................................................................3
3.1 Example...................................................................................................................................3
4 Systematic Macro............................................................................................................................3
4.1 Investor cognitive Biases.........................................................................................................4
4.2 The neglected super profitable indicators..............................................................................4
4.3 Macro machine learning .........................................................................................................4
4.4 The Risk ON - OFF Markov-Chain............................................................................................4
5 Systematic gamma..........................................................................................................................5
5.1 Systematic short gamma.........................................................................................................5
5.2 Systematic intraday delta hedging..........................................................................................5
5.3 Systematic low vs high vol ......................................................................................................5
5.4 ASW gamma............................................................................................................................5
6 Curve risk premia ............................................................................................................................6
6.1 IR curve dynamics ...................................................................................................................6
6.2 Proprietary indices..................................................................................................................6
7 Vega carry and rv ............................................................................................................................6
7.1 Vega carry ...............................................................................................................................6
7.2 Gamma vs Vega.......................................................................................................................7
7.3 Cross currencies Vega .............................................................................................................7
7.4 Exchange vs OTC Vega ............................................................................................................7
7.5 Spread options ........................................................................................................................7
8 Events..............................................................................................................................................7
8.1 Bund price action and Fed minutes ........................................................................................7
8.2 Brexit day implied volatility ....................................................................................................7
9 Exotics .............................................................................................................................................8
9.1 Daily FTSE100 Higher ..............................................................................................................8
9.2 Knock-outs ..............................................................................................................................8
10 Conclusion...................................................................................................................................8
References ..............................................................................................................................................9