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The only position I can think of that's both delta neutral and gamma neutral is a box spread. But unfortunately it's also vega neutral so you wouldn't benefit from rising IV. Perhaps the easiest way would be to do something with VIX futures or options ?

opt789 "...conditionally biased" in what way I wonder ? If this were true then it would imply an edge.

GARCH is unreliable as it cannot take into account future events like.... earnings releases / trading statment / key economic data releases, etc, etc. The best forecast of future volatility is... the option implied volatility, IMHO.

Don't kid yourself - I was replying to Atticus. Next time, try wearing glasses.

Very well said. I particularly liked the paragraph below !

Personally I think it's too rigid to say never. There is a best time and place for every strategy, including selling naked Puts. The muppets (I'm being generous now) at T2W were selling cheap Vol, when Vol could realistickly only go one-way - UP. They had no concept of the risk(s) involved...

You are embarrassingly transparent. Once again you talk about everything and anything except.... options. your pretence of seeking advice cuts no ice with me - all you seek is attention, in whatever form it may come, as did Socrates, until he was exposed as a lieing cheat. You are almost at...

His only wish is to disrupt and destroy constructive dialogue. Read his posts - he has no interest whatsoever in learning anything about options. I urge the moderators to ban this arsehole.

TraderMojo has it bang to rights. It ain't difficult to spot guys !

Yes, a very sad individual. Let's just hope he gets the help he needs and learns how to lead a fulfilling and useful life.

I think Taleb ran a fund on the basis that the fund was planning for doomsday. I guess they're still waiting for their pay-off.

First time I've used the ignore function on ET today and have to say it works a treat, not least because you don't even know if/when he/she/it has posted - they just disappear into oblivion - brilliant ! These goons have managed to completely destroy option threads at T2W, I only hope they...

Worry-ye-not derivman, for it will not happen again. For I promise thee that yow have been placed on ignore.

Derivman You will find everything you need to help you here; http://www.coffeemarket.options/

Daddy I take your point, but I wouldn't say an increase in IV "has the same effect as increasing time". Adjusting one or both parameters to arrive at an option price maybe do-able, but there will be significant differences in the greeks, especially Theta.

DB I guess it must be dead over at the Bulldozer loony asylum :D

"Synthetic time" Please explain ?

Regardless of ATM or OTM, time decay is not linear, it’s exponential. The difference between ATM and OTM decay only becomes apparent in the last few days of option life. ATM has the most time value, so the decay will be rapid as expiry approaches, and will look like a fat tail if you graph...

Statistic / realised / actual / historic vol means the same thing to me - Namely the volatility of the underlying, when looking back over a given period. I stand by the original statement regarding expectancy.

Shorting straddles = small but frequent profits, with occassional large losses. Buying straddles = small but frequent losses, with occasional large profits. Where implied vol = stat vol the expectancy over many, many trades, will be the same for selling straddles as it would be for buying...