Gamma scalping:what volatility are you trading?

[cdcaveman]

Wouldn't there be a better way to scalp more gamma then just by some descrete fixed time interval.... your scalping fluctuating gamma not time... I am a beginner to. So a lot of what is talked about I need clarification so I appreciate your help

 

[TskTsk]

Quote from sle:

No, because it's not free money - in a sustained move (a la last August) you get hurt holding daily over weekly variance.

Makes sense

 

[kapw7]

Quote from cdcaveman:

Wouldn't there be a better way to scalp more gamma then just by some descrete fixed time interval.... your scalping fluctuating gamma not time... I am a beginner to. So a lot of what is talked about I need clarification so I appreciate your help

The equation is not the most general form but I used it just to show how P/L depends on gamma. Maybe it's better to think about dt as a very small amount of time where gamma is (almost) stable. So it doesn't necessarily mean that you scalp on fixed times. For example you might do the first hedge at 1000*dt then the 2nd at 1500*dt the 3rd one at 4000*dt and so on.