| Hello Friends I am a new member of this group. I do option trading on Nifty options listed in National Stock exchange of India. We try to gain out of the skewed nature of the Implied Volatilities ( Skew Trading) . We generally are theta positive, vega short, delta and gamma neutral. This position becomes gamma positive on the upside and gamma negative on the short side. We dynamically neutralize delta and gamma. For e.g. Nifty Spot:- 4500 and if 4500 Put quotes at 40% IV and 4300 Put quotes at 43% IV, we go short on 4300 puts and long on 4500 puts . The ratio is not 1-1 , but it is the one which make the position gamma neutral. The resultant position delta is neutralized by Nifty futures.By doing this, we gain either out of theta if market doesnt move much or out of contraction of the skewness between IVs of different strikes. This strategy has worked pretty well for us in the past few years. We intend to apply the same strategy in stocks and indices listed on NYSE. I request you all to share your views on this strategy and whether it can work on US stocks and indices or not. Regards Rahul. |
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