25th Feb 2026 – 2nd March 2026
The Week of the “Gamma Surge”
While the previous week was about VIX pressure, this week was a tale of two extremes: massive individual strategy breakouts and sharp structural corrections.
As I reviewed the dashboards, one pattern was obvious:
Mean reversion failed, but momentum and convexity paid off big. This was a week where “playing it safe” in the middle of the range was the riskiest move.
Market Snapshot
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Credit Spreads: Extreme Dispersion (+18% to -20%)
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Straddles/Strangles: Mostly under pressure from overnight gaps.
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Directional Options: Massive 30%+ winners emerged.
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India VIX: Continued to fluctuate, creating “Premium Instability.”
Credit Spread Performance
This week rewarded “Flux” and “Curvature” while punishing “Sync” and “Shift” models. We saw some of the highest weekly returns in specific credit buckets this year, but the drawdowns were equally sharp.
| Strategy | Weekly Return |
|---|---|
| Gamma-Fluxer Credit Spread Overnight | +18.47%  |
| Curvature Credit Spread Overnight | +15.63% |
| Hamilton’s Credit Spread | +8.44% |
| Zen Credit Spread Overnight | +8.41% |
| Delta-Rotation Credit Spread Expiry | +8.26% |
| Theta-Harvest Credit Spread Expiry | +7.61% |
| Drifting Credit Spread Overnight | +5.64% |
| IV-Imbalance Credit Spread Overnight | +5.52% |
| Damper Credit Spread | +4.81% |
| Delta-Ripple Credit Spread Overnight | +4.21% |
| Convex Credit Spread Overnight | +3.08% |
| Wave Return Credit Spread Overnight | +2.81% |
| Delta-Leverage Credit Spread Overnight | +1.79% |
Major Drawdown
| Chain-Sync Credit Spread Overnight | -20.11% |
| Delta-Shift Credit Spread Expiry | -10.61% |
| Theta-Flux Credit Spread Overnight | -6.78% |
| Rolling-Carry Credit Spread Exit-Early | -5.94% |
| Curve-Whisper Credit Spread Overnight | -5.04% |
| Mathematician’s Credit Spread Overnight | -4.54% |
| V-Score Credit Spread Overnight | -4.79% |
| Ratio-Return Credit Spread Exit-Early | -3.59% |
| Warp-Drive Credit Spread Exit-Early | -2.53% |
| Equinox Credit Spread Overnight | -2.52% |
Short Strangle Performance
Strangles faced a “death by a thousand cuts” scenario. Most models struggled to keep pace with premium fluctuations and overnight gaps.
| Strategy | Weekly Return |
|---|---|
| Compressed Strangle | +1.42% |
| Intraday Short Strangle | +0.69% |
| Carry Forward Strangle | +0.68% |
| Holonomy’s Short Strangles | -0.16% |
| Premium-zone Strangle | -4.94% |
| Market-Pulse Short Strangle Overnight | -5.05% |
| Sahi-Nivesh Overnight Strangle | -5.18% |
| Slow-Climb Short Strangle Overnight | -5.20% |
| Homecoming Short Strangle Overnight | -5.84% |
| Bazaar Short Strangle Overnight | -6.58% |
| Theta-zone Strangle | -7.64% |
| Flux Strangle | -7.76% |
| Expiry Short Strangle | -10.29% |
Short Straddle Performance
Straddles were notably weaker this week compared to the previous period, indicating that the market was moving outside of expected ranges too quickly for the “Lattice” systems to adjust.
| Strategy | Weekly Return |
|---|---|
| Lattice Short Straddles | +0.19% |
| Quiet Short Straddle | -6.09% |
| Single Tightgrip Straddle | -7.04% |
| Single Rangetrap Straddle | -7.11% |
| Single Kurtosis Straddle | -7.62% |
| Single Lattice Straddle | -8.51% |
Options & Directional Systems
While the “Sellers” struggled with range expansion, the “High RR Buyers” found their stride in the trending moves.
| Strategy | Weekly Return |
|---|---|
| Fixed RR 1:3 (30% SL) | +33.96%  |
| Burst GRID (30% SL) | +16.98% |
| Vacuum GRID (35% SL) | +3.39% |
| Index Scalper | -5.36% |
| Burst RR 1:2 (25% SL) | -7.63% |
| SkewHunter | -9.04% |
| SkewHunter TSL | -9.33% |
| Index Sniper | -9.55% |
Index Strategies
| Strategy | Weekly Return |
|---|---|
| Stratzy’s Index Strategies | -0.49% |
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Convexity Won: Strategies like Fixed RR 1:3 and Gamma-Fluxer captured the volatility perfectly.
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Overnight Risk is Real: The heavy losses in Chain-Sync (-20%) and Expiry Strangles (-10%) suggest that price gaps are bypassing stop-losses or moving too fast for traditional adjustments.
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Portfolio Stability: Despite the wild swings in individual algos, the overall Stratzy Index Strategies remained stable at -0.49%, proving the power of a multi-algo basket over single-strategy conviction.
Regime Watch: We are seeing a transition where passive decay is being outpaced by directional momentum. Are you tilting your portfolio toward adaptive Greeks, or still relying on pure Theta?