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on the other hand, the USD has been rising over the last two weeks ... so one might just say the inverse. We'll know in an hour and a half :D I got no positions on going into the number however.

rudolf, I understand your questions, but I am afraid, from reading them, that this is way over your head at this moment. Like someone allready said: gamma-scalping is not really for beginners in options. First you got to read up on options and how dynamic delta neutral hedging really works. Read...

you can do it with IB, get ninjatrader (= free) and backfill with IB and you will get what you want.

I think I understand what you are trying to do, but I doubt is this is very meaningfull. are you going to scalp at fixed points or ... ?

actual volatility and implied volatility are kind of correlated but they don't have to be. Actual vol can go up, while implied goes down, or vice versa. the best thing that can happen if you buy a straddle (you can do this with any option btw) is for implied vol to go up, so you can sell it at a...

gamma scalping is basically betting that the realised future volatility of the underlying is going to be higher than the implied volatility now. Although what you write is often true as a consequence, it doesn't necesarily has to be the case.

yes, I was mainly talking about the underlying. Real gamma-scalping is only worth it's while if you think underlying vol of the straddle is rather low. This is another subjective element imo. You could use historical options prices (although I don't know where to get them) for the prices of...

lots of people doing gamma scalping add a subjective element to it, so that's hard to backtest.

it's like selling a straddle

you have got a lot's of things mixed up in your head. If you think in terms of delta it's easy to see you do care. This 'covered call' thinking doesn't really help you ... it's not a covered call.

I am european, no idea how that effects things.

your call has delta too

it's all in the mind: meaning if you add the two strategies up you have two posities if they are on the same side, you have none if they counter each other, you have one if one is closed and the other is open. You don't need two accounts, you can do it in one, you just have to keep track over...

the short answer is yes, problem is you are really making your life difficult this way. The problem lies with your broker: they should let you sell the stock, so the real solution is, if they don't let you: find another broker.

think I misunderstood the original poster at first, but the answer is no, you don't create a call. Options can only be 'created' by dynamic delta neutral hedging. This position would have a gamma, meaning you have to readjust. The positions you talk about don't have gamma.

you are missing a lot ! it doesn't matter what instrument you use you have to keep on adding the delta's to get your total delta, although with short ETF's you use negative delta, if you short 'short ETF's' you get positive delta, it can get confusing if you start shorting calls on your short...

it's all in your mind

if you want to trade you can do it, if you don't you can do that too.

regarding this last book: http://www.elitetrader.com/vb/showthread.php?s=&threadid=130898

it's just two bad weeks, overall he is doing great.