System Trader

Multi-asset trader.

[System Trader @SystemTrader00]

Long vols paid off. Haven’t booked them though.

The market is offering money in different pockets every day.

Spotting those pockets is the real game.

I still think long vol pays from here, especially in low-VRP stocks.

That’s where I’m positioned.

[System Trader @SystemTrader00]

Tweaked positions a bit. There are a few stocks where vols are closer to the lower band, but still high enough for gamma to be in contention.

Gone long there.

Something is definitely brewing in the Adani group.

[System Trader @SystemTrader00]

Chop. Choppy. Choppier.

Level 3 now.

Keep persisting, lads.

[System Trader @SystemTrader00]

The idea is simple: find good mean points and stay centered around them.

It takes time. It takes patience.

But this market will reward the resilient.

[System Trader @SystemTrader00]

Super choppy. Super tricky.

How to trade this is anyone’s guess.

Said a few days back that short Nifty vol was the trade. It gave a lot of pain yesterday, but made all of it back — and some more — today.

[System Trader @SystemTrader00]

A lot of chatter around LTCG cuts and tax relief. Almost everyone seems to have the news now.

Personally, I don’t think anything happens in the next 2–3 days.

Front spreads are where I’m positioned.

[System Trader @SystemTrader00]

As tricky as markets can get.

Trading front spreads at the moment.

Holding enough puts that my 3% VaR number is comfortably positive. Does that mean I’m expecting a 3% downtick from here? Not really. I’d put that probability somewhere in the 20–30% range.

[System Trader @SystemTrader00]

Carnage for short vol across stocks.

If you’ve been short index vol for a while, this has mostly eaten into profits.

Vega pinching here is both a good and bad sign.

If we expand from here, there’s opportunity.
Just not sure if this is that opportunity yet.

Monday will tell.

[System Trader @SystemTrader00]

@sarcastic_hedgi I think monthlies are offering greater vrp. Selling vega vs gamma, giving me enough time to make up for a wrong view.
Also not a strong believer of letting money sit idle when the market is offering the kind of arbs that it is.

[System Trader @SystemTrader00]

Entered a short vol position there.

Will wait for cleaner opportunities across stocks before building any meaningful positions.

[System Trader @SystemTrader00]

Realized vol coming down. VIX cooling off.

Playing the view from yesterday. Carrying short vols across a few large names, though these aren’t high conviction bets.

The real conviction is in indices. Nifty specifically.

[System Trader @SystemTrader00]

What a couple of days for June RHS short vol.

Feels like markets turn range-bound from here.

Nifty and stock-specific short straddles/strangles should likely start working.

Not too much left to make unless we enter a proper falling vol regime.

Smaller positions from here.

[System Trader @SystemTrader00]

No respite for my RHS short vol stocks.

Very close to accepting that the view was materially wrong.
Part of the process. Head down and back to work.

Converting all positions into vega-neutral June front spreads.

[System Trader @SystemTrader00]

VaR numbers are effectively mirroring a long gamma payoff.
But at the core, it’s still a short vol, long theta position.

[System Trader @SystemTrader00]

At this point, June vols look good in isolation, but from a risk-reward perspective, still struggling to model the probabilities cleanly.
Positioned via BCRs across stocks over the weekend, with decent downside protection.

[System Trader @SystemTrader00]

Painful week. Absolutely wrong on the RHS view. But we reset and move on.

Cash delta reduced to 0.
Short CTM. Short true vega, credit theta.

[System Trader @SystemTrader00]

Probably wrong about RHS short vol in terms of timing.

But I still think it plays out.

If creating fresh positions though, front spreads are the cleaner way to express the view.

June vols, if your bias is for markets to grind higher, are a goldmine right now.

[System Trader @SystemTrader00]

Some counters still have good June vols too.
Will look to build short vol there as well.

June counters: TCS, Shriram, Jiofin, Reliance

[System Trader @SystemTrader00]

Butchered again in RHS short vol.

In hindsight, could probably have structured it better through front spreads.
But hindsight isn’t where we get to live.

Will look to add to current positions near 23100–23000 if we get there. Not too far though.

[System Trader @SystemTrader00]

Counters: Titan, capital market stocks, Jio Financial