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Well, could you prove this to me via historical backtesting? I would be very, very inclined to say that the edge between selling gamma and buying gamma at all times is very slim to none. Maybe if you went and used some sort of smart delta hedging engine that hedges near-continuously and only...

The stuff he did was incredible. For example, he sold 15 and 20 year worst-of cross puts on S&P, nikkei and sx5e (i was on the other side, so I have the very, very gory details). As you can imagine, everything went against him on thouse - FX, rates, spot, vol. But since he does not need to worry...

Someone is asking me to join a start-up upstairs market making firm, I'm just trying to do some due dilligence and understand the proces better. So far, I was not able to find anything on the web, so decided to ask here: What goes into starting an upstairs futures-options market making firm...