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Yes. This categorization of trading is very clear and insightful. Since most of us can't trade like market makers, perhaps the only way to profit is to untilize the risk premium. Behavioral finance has lots of theories on this. I think the premium of vix futures is simply because of the...

But doing that means you have unlimited risk on both sides. If the spx rise rapidly you will be hurt seriously.

Many people had found that shorting vix futures is a strategy with a positive edge. You can simpy look at the performance of CBOE's VPD index, which tracks the result of systematically shorting vix 1-month futures. This index had risen from the initial 100 to 215 in 5 years. This year, the index...

No, that's not a continous thing. If the stock is moving in a strong trend you will get opposite results. I will not hold vix futures for long time. But if I'm pretty sure there will be a burst in volatility, I will try to hold it for a short period.

Yes that's true. But in most time the market has a mean reverting characteristics. In a trending market gamma scalping doesn't work.

That's not necessarily true. If spx goes down in a slow way, vix will probably stay same. In general vix has a negative correlation with spx, but that's not a strict delta relationship.

Let me give you an example. Suppose stock x moves within a range for a month, everyday the close price range from 99 to 101, the volatiliy based on daily closed price is quite low. But in this period, the highest and lowest price may be 110 and 90. So the volatility based on minute price is much...

30% intraday vol is just an assumption. I think you don't have to buy a straddle and sell it at the same time. Simply buy a straddle and hedge it every minute will be the same. I wonder where did you do the back test. I want to do that but cannot find a proper software. I will appreciate if...

Thank you! Thinkorswim is really a generous and powerful broker!

Hi everyone, I want to know where can I find real time option price data to put into excel. If it charges a monthly fee, which one is the cheapest one? Thank you!

How can I feed live data into excel? Where is the source of live data?

It's strange that I can't open optionstar's website. I have download hoadley trial version and didn't find there any scan function. Can you do it with full version?

Hi everyone, I wonder if I can find a software/website which could do some basic options analysis. I'm trading spreads, therefore I want to be able to scan the market to find options that meet specific critiria. For example,if I trade calendars, I want to find a high IV front month option...

Thank you cdcaveman.That is exactly what I mean. My idea of gamma scalping is that you long a straddle and use limit orders to scalp the underlying, by doing so you can "sit on" bid- ask spread, which will also bring you some edge. It seems that the key of this strategy is to find a...

Thank you kapw7. I will try to find the book you recommended. Well, I definitely understand the difference between implied and realized volatility. My point is that, the realized volatility will be different if you measure it in different time scale. In most time the realized volatility on...

I've read some threads about gamma scalping, and I find those who familiar with this strategy believe that, when you long straddle and scalp the underlying, the low implied volatility is the key to profit. Because you are trading the realized volatility against the implied volatility. This is...