Trade Nivesh Incremental Harvesting


A widely popular strategy since global rates tanked, systematic harvesting of the volatility risk premia has often been likened to picking up pennies in front of a steamroller – investors build up small incremental gains through the good times, only to have years of profits wiped out by a single shock.



Defences intended to guard against these losses have been varied. Recent innovations include the use of signals to leverage short volatility up or down, intraday delta hedging to reduce risk exposure near to the close, buying back out-of-the-money put options to cap losses, or diversifying the trade across asset classes.

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