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Futures & Options Quantitative Playbook

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Volatility & Expiry Trading

Futures & Options · Module 3

India VIX & IV Percentile (IVP), volatility skew/crush around events, 0-DTE Gamma scalping, and defensive adjustments.

Sub-Topics in this Module

This module is organized into 2 specialized sub-topics inside Futures & Options Quantitative Playbook.

IV Regimes & Skew

India VIX, IV Percentile (IVP) vs IV Rank (IVR), Put-Call Skew, and post-event IV Crush. (2 topics).

Zero-DTE & Adjustments

Expiry-day 0-DTE Gamma/Pin risk and mechanical rolling/firefighting adjustments for tested spreads. (2 topics).

Topics

  • IV Regimes & Skew

    India VIX, IV Percentile (IVP) vs IV Rank (IVR), Put-Call Skew, and post-event IV Crush.

  • Zero-DTE & Adjustments

    Expiry-day 0-DTE Gamma/Pin risk and mechanical rolling/firefighting adjustments for tested spreads.

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