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I'm looking for some European stocks that has weekly options available. Does anyone know?

I often find my long theta trades getting a small "profit spike" on the open, so I assume some theta is being discounted overnight.

Gamma scalping may be applied to all sorts of trading styles. You can trade it directional by balancing your greeks in a way that makes you directional. For example if you're long biased, rehedge to +100 deltas on every hedge instead of 0 deltas. You can become neutral IV by hedging with...

...what the hell?

Technically it's gamma scalping. I'm also short IV though, since vega is negative when doing this.

It's not unlimited risk if you're actively managing the risk through greek adjustments via either selling/buying options and/or underlying. If you're short a straddle, to delta hedge, you have to go long the underlying if price goes up, and short if it goes down. So buy high sell low, which...

Guess I'll keep shorting straddles then. It has been profitable lately when combined with proper risk management in form of delta hedging etc.

My advice is to kill yourself.

Positively correlated when looking away from plus and minus signs :) As in higher (positive) theta equals higher (negative) gamma, and vice versa.

You're right, I misread. I agree delta-hedging will realize IVs above 0 within expiration. Also, as far as I understand now, IVs wont affect the delta hedging P/L at all, since vega is separate from gamma/delta...but then theres the higher order issues (vanna etc) which we talked about...

I must have misunderstood something. Are you guys saying the delta hedges I make when IV is higher will lose me more money than the delta hedges I make when IV is lower? I always thought gamma/theta were positively correlated. Higher gamma means higher gamma rent, thus higher theta...Now I'm...

What happens then? AFAIK if IV goes up so does theta/gamma. Obv. the increase in theta wont benefit you, but the increase in gamma will make you more losses per delta hedge...if I've understood correctly.

The measurement parts makes sense, but how to translate all this into P/L?

Hypothetically speaking, looking away from black swan scenarios, say I short options at 70% vol, then it jumps to 80% vol, my mtm hurts, but am I right in assuming this wont matter, because the vol will reach 0 at expiration anyways, thanks to theta removing all extrinsic value?

Makes sense. But how can I be sure the surface moves in a parallell fashion? What about skew and convexity risk? How can I measure that? Or maybe those are negligible in vanilla options?

So Vega measures P/L based on a 1% parallell move either up or down in IV accross the entire volatility surface?

Say my aggregate vega is -100 for a position consisting of several options, all with the same underlying. AFAIK vega measures sensitivity to IV changes. Only problem is IV has no aggregate measure accross a portfolio, so how is aggregate vega useful if you have no aggregate IV measure? What am I...

What I'm looking for is basically a way to calculate P/L per scalp when you're long gamma and continuously hedging delta. As far as I understood, 0.5*gamma*S^2 is ~accurate, but I fear there are other factors at play that may influence my P/L per scalp, so my question is what would these other...

Alright thanks Dont have any proof, it's a formula I picked up on the NP forums. I've seen it used elsewhere as well so I just assume its correct.

As you know, the P/L from a gamma scalp is 0.5*gamma*S^2 (where S is spot movement). However isn't delta affected by other factors such as Vanna, thus isn't the formula useless for predicting P/L per scalp (because it only takes gamma into account)?