Decent Week. Decent Gains. Sharing my #Banknifty strategy for learning purpose. The below positions and P&L are only for reference. Actual trades were done in my account, but would not share actual P&L Screenshots here. 
3. I should have captured initial #Greek positions also, that would have given a good perspective on how the strategy was planned. Will do it next time.
4. The payout curves show that it dips into losses if market moves just outside 1 sigma, and that is the part that needs to be managed when playing this strategy. It is easier to do so because if the index is moving beyond 0.5-sigma, it more or less sets a trend.
6. So, In this strategy, time decay is on your side and trend following (or Gamma) gets active when market moves. The only issue is, which I generally prefer to keep close to neutral is #Vega or volatility. But Double calendars are Vega positive. Something was needed to be done.
7. Along with the core strategy, I sold 3x OTM monthly strangles (19500PE-24000CE) to neutralize #Vega. Short strangles are theta +ve, Vega and Gamma -ve. But Gamma of a monthly/far off expiry is much milder as compared to weekly expiry while Vega is comparatively stronger.
8. So, this worked fine. The whole week, volatility kept trending lower. More so for week2 (9th July) and Monthly expiries, selling strangles proved to be the major differentiator and brought easy money too.
9. Would try to share my options strategies on regular basis now. Aim is not to impress anyone with P&L (or depress) but to engage with like minded people and improve my craft. #OptionsTrading
