Exploits mispricings across the implied volatility surface (strikes and expiries)
| Strategy Type | Volatility Surface Analysis and Arbitrage Trading |
| Market Outlook | Exploits mispricings across the implied volatility surface (strikes and expiries) |
| Risk Profile | Medium to High - requires sophisticated understanding of volatility dynamics |
| Reward Profile | Consistent alpha through volatility arbitrage; profits from surface normalization |
| Time Horizon | Intraday to Weekly depending on the volatility anomaly identified |
| Capital Requirement | High (₹5,00,000 - ₹15,00,000) for meaningful surface trading |
| Margin Type | SPAN margin with benefits for hedged spread positions |
| Best Used When | Volatility surface shows anomalies, skew is extreme, term structure inverted |
| Nse Website | India VIX, option chain with IVs |
| Broker Terminals | Real-time IV calculations per strike |
| Third Party | Sensibull, Opstra for surface visualization |
| Skew Behavior | Typically negative skew (puts more expensive than calls) |
| Event Impact | RBI policy, election results cause surface distortions |
| Expiry Dynamics | Weekly expiry creates unique term structure opportunities |
| Liquidity Concentration | ATM options most liquid, far OTM/ITM less liquid |
| NIFTY | 25 units per lot |
| BANKNIFTY | 15 units per lot |
| FINNIFTY | 25 units per lot |
| 0 | RBI Monetary Policy (bi-monthly) |
| 1 | Union Budget (February) |
| 2 | Election Results |
| 3 | Global Risk Events |
| 4 | Index Rebalancing |
| 5 | Quarterly Expiry (last Thursday of March, June, Sept, Dec) |
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