Case Study: Building and Scaling a Volatility Arbitrage Desk

A case study that follows a two-person Mumbai prop desk from a first delta-hedged Nifty straddle to a fifty crore volatility book. You build the pricing and Greeks toolkit, run the core short gamma book and the relative value overlays (skew, term structure, dispersion), design the risk limits and margin discipline that keep a short volatility desk alive on gap days, move from Excel to a production stack on broker APIs, and work through SEBI's F&O and algo framework, taxation, and entity structure. Every chapter closes with a case drawn from real NSE events, and every number is worked in INR on Nifty and Bank Nifty options.