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Please be a little more specific so I can learn. Also, don't hesitate posting any links if you have interesting materials for me to read. I find it hard to find anything interesting on the subject. What does "OP" means? Thanks to all of you for all your replies.

Ok. So, I am asking myself the following: 1- Generally do we use options that have 1 month less to expiration, 3 months, 6 months... do we use a ratio IV/theta to determine which options to choose in the option chain? 2- Is the maximum potential loss equal to the amount of time decay in...

Hi cvds, I think I got it now. Let me tell you what I understood, and please correct me if I am wrong. We purchase a straddle at t=0. We want the IV to be "low" in order to spend "little" money. From t>0, we want the realized volatility on the underlying to be "high", so we make a lot of...

The article you posted is very good. Still, I am confused about few things. 1) To make money gamma scalping you have to buy underpriced options. Thus far, is my readings I saw that an option would be considered underpriced either if its IV was historically low or if its IV was lower than...

Thanks a lot for the article. I will read it and be back with questions tomorrow.

I used to build trading systems on stocks, as a hobby. I have never found any interesting system so I stopped. Recently, I started to get interested at options strategies and I read a thread about gamma scalping. I remembered that I had found a trading system on stocks which was working well as...

How do you calculate the scalping gains then, without historical action price data? Could you illustrate your statement by an example?

Thanks for the reference. The Backtrader module is for the historical data? Are you using option vue yourself? Is it a hard task to backtest a gamma scalping strategy on option vue (in regard to programing skills needed)? Are there any other software can do it?

That's if we hold the option position until expiration, no? But, if we actually get out of the position before expiration then wouldn't it just be a bet that the IV now is lower than when we will get out of the position? That would make two different alternatives, no? (but, i might...

I want to make sure that I am not missing anything. From my understanding of the information I have had on the suject I came to the conclusion that gamma scalping was a bet on a rise of the implied volatility. Since you mention that gamma scalping is a bet on the underlying volatility I get a...

Thanks for this first reply. I want to add to my question that all the purchase/sale oo the underlying would be fully automatic and that i have no problem with the backtest of this part. The issue is that I don't know whether the part concerning the purchase of the straddle can be backtested...

Dear All, I was wondering whether it is possible to backtest a gamma scalping strategy? Any links on how it is done? Thanks, Rudolf.

dmo, could you please clarify one last thing for me? What is it that you call a "volatility skew anomaly"? I would think that the presence of a volatility skew is an anomaly in itself, isn't it?

How about trading the volatility skew?

I really appreciate all your replies. Also, I need to tell you more about the situation so you can advise me knowing the ful picture. I am trying to diversify my assets as much as I can to build a diversified market portfolio.@‚h@have invested in diverse ETFs (domestic, foreign, stocks...

Xflat, your message makes a lot of sense. I was looking for a non directional strategy and dispersion trading sounded appealing for that matter. But, indeed it might not be a strategy for the individual trader. Knowing that I am looking forward to learn a non (price) directional strategy...

Thanks for all your replies. I am studing the article mentioned above. I need a little more time to figure out the whole thing.

Indeed, I am trying to get familiar with the dispersion trading strategy and that is exactly the reason why I was asking the question above. Options are new to me and, therefore, it is a little bit challenging.

Dear all, I would really appreciate if those you can could provide me with answers to the two questions I have. S&P 500 stocks are rather well correlated to the performance of the index itself (S&P500). My main question is: how about IV? On average, is the IV of S&P500 stocks options...

Hello, New to option I was wondering what software one can use for dispersion trading. On Ivolatility.com there is an application that can be used for dispersion trading and that cost $400/month. What about software such as ProfitSource, OptionVue, Optionetics... Can those software provide...