0.16 Delta Wings IC
DeltaNeutral
Sell 16-delta IC for ~84% probability of profit at each side
Source: tastyworks
0.30 Delta Short Strangle
DeltaNeutral
Sell 30-delta strangle for ~70% probability of profit
Source: tastyworks
25-Delta Risk Reversal Long
SkewBullish
Long call - short put 25-delta = bullish skew bet
Source: vol skew
25-Delta Risk Reversal Short
SkewBearish
Short call long put 25-delta for bearish skew
Source: vol skew
American Early Exercise Trade
Early ExerciseBoth
Account for early exercise risk in deep ITM American options
Source: options
Asian Option Greeks
ExoticsBoth
Asian options have averaged Greeks, smoother sensitivity
Source: exotics
Barrier Option Greeks
ExoticsBoth
Trade barrier options with discontinuous Greeks at barrier
Source: exotics
Butterfly Skew Trade
SkewNeutral
Trade smile curvature via butterflies, capture skew dynamics
Source: vol skew
Calendar Spread Long
Term StructureNeutral
Long back-month short front-month, profit from contango or steepening
Source: options
Calendar Spread Short
Term StructureNeutral
Long front-month short back-month for backwardation regime
Source: options
Call Skew Steepening
SkewBullish
Long OTM calls during meme/squeeze regime for skew expansion
Source: vol skew
Charm-Aware Weekend Hedge
CharmNeutral
Adjust delta hedge ahead of weekends due to charm acceleration
Source: daytrading.com
Charm-Driven Pinning
CharmNeutral
Charm forces dealer hedging that pins price near expiry on heavy strikes
Source: dealer flow
Color-Aware Gamma Decay
ColorNeutral
Color governs gamma decay over time, important for held positions
Source: environmentaltradingedge.com
Compound Option Greeks
ExoticsBoth
Greeks of compound options (option to buy option)
Source: exotics
Conditional Variance
Vol TradingBoth
Capture realized vol only when underlying in specific range
Source: exotic
Continuous Delta-Gamma Hedge
Greek HedgingNeutral
Combined delta+gamma hedge isolates pure vega for vol traders
Source: options
Corridor Variance
Vol TradingBoth
Variance accumulation only inside corridor, range-bound vol play
Source: exotic
Cross Greeks Multi-Asset
Multi-AssetBoth
Use cross greeks (correlation gamma/vanna) for multi-asset options
Source: daytrading.com
Daily Theta Income Short Strangle
ThetaNeutral
Daily theta from short strangle, target 1-2% account return per month
Source: tastyworks
Delta Hedging Continuous
DeltaNeutral
Continuously buy/sell underlying to keep delta near zero, isolates gamma+vega
Source: quant-next.com
Delta Targeting Long Calls
DeltaBullish
Buy calls at target delta (e.g. 0.30 OTM, 0.70 ITM) for desired exposure
Source: options
Delta-Adjusted Position Sizing
DeltaBoth
Size positions by total delta exposure not contract count
Source: options
Delta-Neutral Setup
DeltaNeutral
Construct option position with net delta near zero, e.g. straddle
Source: options
Diagonal Spread Long
Term StructureBoth
Long ITM back, short OTM front for directional + theta
Source: options
Diagonal Spread Short
Term StructureBoth
Short back, long front for opposite term structure exposure
Source: options
Digital Option Greek Spike
ExoticsBoth
Digital options have spiked delta near strike at expiry
Source: exotics
Discrete Delta Rebalance
DeltaNeutral
Rebalance delta hedge at fixed thresholds (e.g. ±0.05) or time intervals
Source: options
Earnings IV Crush
Implied VolBearish
Sell straddle pre-earnings, buy back post for IV crush profit
Source: earnings
Friday Roll-Off Trade
CharmNeutral
Capture Friday-to-Monday charm decay with positions sized to charm
Source: charm
Gamma Imbalance Reversal
GammaBoth
Trade reversal when net dealer gamma flips sign at key levels
Source: dealer flow
Gamma Pinning Trade
GammaNeutral
Position around strikes with high gamma exposure (dealer pinning)
Source: menthorq.com
Gamma Squeeze Trade
GammaBullish
Buy stock+OTM calls forcing dealer hedge buying (GME-style)
Source: GME 2021
Greek Limits Setting
Position GreeksBoth
Set max net delta/vega/theta limits, hedge if breached
Source: risk
Greek Stops (Vega/Delta)
Position MgmtBoth
Exit position when Greek exceeds stop level (e.g. vega -50%, delta>1.5x)
Source: risk
Greek-Based Stress Tests
Position GreeksBoth
Stress test P&L using Greek shocks (delta+10%, IV+30%, etc)
Source: risk
Greek-Constrained Optimization
Greek HedgingBoth
Optimize portfolio P&L subject to Greek limits via QP solver
Source: risk
IV Percentile Trade
Implied VolBoth
IV percentile 0-100 over 12 months, sell high/buy low
Source: options
IV Rank Trade IVR
Implied VolBoth
Sell premium IVR>50, buy premium IVR<25
Source: tastyworks
IV Skew Steepening Trade
Implied VolBearish
Skew steepens in stress, long puts vs short calls
Source: skew
IV Smile Convexity Trade
Implied VolBoth
Trade smile convexity changes during regime shifts via butterflies
Source: vol modeling
Local Vol Calibration
Vol SurfaceBoth
Use local vol model for pricing path-dependent and barrier options
Source: vol modeling
Long Delta Directional
DeltaBullish
Long calls = positive delta exposure to underlying upmove
Source: options
Long Gamma Pre-Earnings
GammaBoth
Long ATM straddle pre-earnings for vol expansion + gamma scalp
Source: options
Long Gamma Scalping
GammaNeutral
Long ATM straddle delta-hedged, profits when realized vol > IV
Source: quant-next.com
Long Rho Rate Hike Trade
RhoBullish
Long LEAPS calls benefit from rising rates (positive rho)
Source: options
Long Vega Pre-Event
VegaBoth
Long straddle/strangle into binary events for vol expansion
Source: options
Long Volga Wings Trade
VolgaBoth
Long far OTM options for high volga, profit on vol surface convexity
Source: bsic.it
Long-Dated VIX Decay
Vol TradingBearish
Short VXX-style products to capture contango decay
Source: VIX research
Lookback Option Greeks
ExoticsBoth
Lookback option Greeks reflect path-max/min dependence
Source: exotics
Negative Gamma Avoidance
GammaNeutral
Avoid short options near expiry due to gamma blowup risk
Source: options
Net Greeks Portfolio Mgmt
Position GreeksBoth
Manage portfolio net delta/gamma/vega/theta exposure across positions
Source: risk
Opstra Greek Analyzer
Greek Trading ToolsBoth
Opstra computes all Greeks in real-time for Indian F&O
Source: opstra
Optionvue Greek Engine
Greek Trading ToolsBoth
Optionvue analytics for advanced Greek and skew analysis
Source: optionvue
Pin Risk Avoidance
Pin RiskNeutral
Avoid expiring at short strike to prevent assignment uncertainty
Source: options
Pre-FOMC IV Bid
Implied VolBullish
IV ramps into FOMC, long straddle captures pre-event premium
Source: options
Put Skew Steepening
SkewBearish
Long OTM puts during fear regime, capture put skew expansion
Source: vol skew
Realized Vol Mean Reversion
Implied VolBoth
Trade RV mean reversion via gamma scalping
Source: RV mean rev
SPX-VIX Cross Hedge
Vol TradingNeutral
Hedge SPX with VIX position dynamically by beta
Source: VIX hedge
Sensibull Greek Visualization
Greek Trading ToolsBoth
Use Sensibull payoff and Greek charts for strategy design
Source: sensibull.com
Short Delta Bearish
DeltaBearish
Long puts/short calls = negative delta exposure to downside
Source: options
Short Gamma Income
GammaNeutral
Short straddle delta-hedged, profits when RV<IV, theta+vega
Source: options
Short Rho Rate Cut Trade
RhoBullish
Long LEAPS puts have negative rho, benefit from rate cuts
Source: options
Short Vega Post-Event
VegaNeutral
Sell options post-earnings/event for IV crush profit
Source: options
Short Volga Strangle Body
VolgaNeutral
Sell ATM options low in volga, avoid wings, capture stable vol
Source: bsic.it
Smile Vol Arb
Vol SurfaceNeutral
Arb wing strikes vs ATM when smile mispriced relative to historical
Source: vol arb
Speed-Aware Gamma Hedge
SpeedNeutral
Account for speed (3rd order) when hedging large moves
Source: environmentaltradingedge.com
Sticky Delta Regime
Vol SurfaceBoth
Vol surface follows delta (commodities), strategy adjusts to regime
Source: vol modeling
Sticky Strike Trade
Vol SurfaceBoth
Trade assuming vol stays at strike levels (sticky strike) vs sticky delta
Source: vol modeling
Stochastic Vol Models
Vol SurfaceBoth
Heston/SABR stochastic vol models for accurate pricing
Source: vol modeling
Strike Pinning Bet
Pin RiskNeutral
Bet on price pinning at heavy OI strike near expiry
Source: pinning
Tastyworks Curve Plot
Greek Trading ToolsBoth
Tastyworks curve mode for delta/theta/vega visualization
Source: tastyworks
Term Structure Curve Trade
Term StructureBoth
Trade vol curve flattening/steepening across multiple expirations
Source: vol surface
Theta Decay Calendar
ThetaBoth
Long back-month + short front-month, capture front theta differential
Source: options
Theta Harvest Short Premium
ThetaNeutral
Sell options to collect theta as time passes, monetize time premium
Source: options
Theta Iron Condor
ThetaNeutral
IC monetizes theta + vega while limiting tail risk via wings
Source: tastyworks
Theta Roll-Down
ThetaNeutral
Roll short options to next cycle to continuously harvest theta
Source: options
Ultima Tail Vega
UltimaBoth
Ultima 3rd order capturing extreme volatility shifts on wings
Source: environmentaltradingedge.com
VAR via Greeks
Position GreeksBoth
Compute portfolio VAR analytically from Greeks under multivariate normal
Source: VaR
VIX Calendar Spread
Vol TradingBoth
Long/short different VIX months, capture roll yield differentials
Source: VIX
VIX Futures Curve Trade
Vol TradingBoth
Trade VIX futures contango/backwardation across expirations
Source: VIX
VIX Spike Mean Reversion
Vol TradingBearish
Short VIX after spike >30 expecting mean reversion
Source: VIX
VVIX Mean Reversion
VegaBoth
Trade VVIX (vol of VIX) extremes via VIX options
Source: VIX
Vanna Flow Direction
VannaBoth
Track vanna exposure direction, dealers buy when IV rises = bullish push
Source: vanna flow
Vanna-Charm Confluence
VannaBoth
Trade where vanna and charm flows align for stronger directional bias
Source: vanna+charm
Variance Swap Buy
Vol TradingBullish
Buy variance swap to capture realized vol > strike
Source: variance swap
Variance Swap Sell
Vol TradingBearish
Sell variance swap to collect VRP (IV>RV)
Source: variance swap
Vega Bucket Hedging
Greek HedgingNeutral
Hedge vega bucket-by-bucket across maturities
Source: options
Vega Selling High IVR
VegaNeutral
Sell premium when IVR>50%, exploit IV mean reversion
Source: tastyworks
Vega Smile Skew Trade
VegaBoth
Trade put-call skew flattening or steepening via 25-delta strikes
Source: vol skew
Vega Targeting Long Volatility
VegaBoth
Long vol when VIX/IVR <30%, target macro volatility expansion
Source: VIX
Vega Term Structure Trade
VegaBoth
Trade vol surface term steepness/flatness across expirations
Source: vol surface
Vega-Neutral Calendar
VegaNeutral
Calendar spread sized to neutralize vega, isolate term structure
Source: options
Veta-Driven Vega Decay
VetaBoth
Veta tracks vega decay, manage long-vol positions for veta erosion
Source: environmentaltradingedge.com
Vol-Up Spot-Down Vanna Buy
VannaBullish
Vanna effect: rising IV with falling spot triggers dealer buying support
Source: vanna
Volatility Risk Premium VRP
Implied VolBearish
Long-term VRP harvest: IV consistently > RV by ~3-5%
Source: VRP research
Volatility Swap Trade
Vol TradingBoth
Trade actual volatility (no convexity adjustment unlike var swap)
Source: vol swap
Vomma-Aware Vega Hedging
VommaNeutral
Hedge vega with second-order vomma to maintain accuracy
Source: macroption.com
Weekly Theta 0DTE Strangle
ThetaNeutral
0DTE short strangle for accelerated theta extraction (high gamma risk)
Source: options
Zomma Vol Skew Trade
ZommaBoth
Trade zomma changes for skew positioning
Source: environmentaltradingedge.com
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.