Income trades w/ + Gamma?

Does anyone know of an income trade that has both, positive Theta and positive Gamma?

 

Locally: yes.

But as market moves the greeks of such positions can reverse quickly.

 

Pure arbitrage, but rho risk will be large.

 

Care to explain the mechanics behind the greeks and a hypothetical arb scenario where this would be the case? Would be much appreciated

 

Financing arbs like conversions, boxes and rolls (especially the latter). Theta is unimodal, but gamma(dgamma) can flip modality if the edge(spread) on rates, relative to un-leveraged public rates (LIBOR), is large enough. Gamma will always be fractional in exposure when compared to rho.

It's not a practical concern unless you're in danger of pinning on certain arbs. The var on rates tied to the arb's duration is the critical risk, then pinning.