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Well, isn't that sweet...

Right, I see no point in arguing about this... In my world, if I buy a single OTM option, for whatever reason, I am perfectly entitled to claim that I am long gamma. It doesn't matter what I choose to do with it, whether it's long or short the mkt, etc...

This may be useful: http://www.bloomberg.com/news/articles/2016-03-29/matt-singh-warns-of-brexit-poll-blind-spot

I have no idea what you're asking. What does "function of being long gamma" even mean? There is nothing really to walk through. A portfolio which consists of a single long call option has positive gamma, by definition. That's it.

Totally disagree...

I am sorry to disappoint...

No, you think you are presenting arguments based on math and logic... I am presenting no arguments, but rather suggesting that we defer the discussion.

I don't think there is any point arguing about this now... IMHO, your positions bias you, such that you seek justifications, excuses and benign explanations for the phenomenon that is reasonably clear. Let's talk when/if you're out of the trade.

This position IS long gamma, obviously... Stop being silly.

Given this sort of slippage, wouldn't you generally be better off if you avoided trading at or arnd the open? FWIW, I don't see any fills at 3.29 on the open, just 3.30 and 3.32.

Yes, and/or some big changes in interest rates...

I am reasonably certain the Germans might have a bit of an issue with this whole idea...

Most of the time, it's relatively low, but it depends on a whole variety of factors...

I know quite a few people who used to work at Comac. Things were going downhill well before the CHF debacle. It was a relatively typical progression, where, as time went on, Colm just got too large, too concentrated and too impatient. In the end, that's the sort of thing that kills you. So...

Like you said yourself, there are many factors in play... If I am an algo guy armed with a powerful machine and a fast connection to the trading venue, I would argue that, for me, it's much higher Sharpe to not position for things in advance, even though my entry price might be better. If I...

Unfortunately, things haven't really worked out all that well for Colm...

The mkt repriced the odds of an April hike (and, more generally, of 2 cumulative hikes this year) after Yellen's press conference 2 weeks ago. Since then, some other Fed speakers (e.g. Williams) came out and sounded a little less dovish than Yellen did, which led to some expectations that...

It's the text of the speech, which probably got released around the time she started speaking. The algos parsed it (probably counting the number of times "uncertainty" was mentioned or some such thing) and immediately went into the mkt. So this was, in fact, a very quick reaction to the news...

EURUSD going up means dollar weaker, EUR stronger, which is exactly what you'd expect on the back of dovish commentary by Yellen. EURUSD denotes how many dollars one Euro can buy.

Oh good god... Firstly, Greece is running a primary budget surplus, which isn't quite the same thing as a headline surplus. QE doesn't really have anything to do with Greece. In fact, ECB QE specifically doesn't include GGBs. The Germans are against the accounting change for an entirely...