It is not. It is a nice basic overview, but I believe that I understand the basics and am looking for more details.
Gamma scalping with negative transaction costs
- Thread starter burtgummer
- Start date
It is not. It is a nice basic overview, but I believe that I understand the basics and am looking for more details.
Me too, but do you think there is some sort of science in it? Imho, all you are doing is trading a swing mean reversion strategy on the underlying while in long straddle/strangle.
What kind of info are you looking for?
Here is a book for example with more detail:
But I am curious about more details as well. Discussion on which options positions other than long a straddle are good for gamma scalping, how far out should options be purchased (and closed?), when to scalp vs let it run, gamma/theta ratios, and importantly, how to determine these sorts of things for a particular underlying instrument.
But I am curious about more details as well. Discussion on which options positions other than long a straddle are good for gamma scalping, how far out should options be purchased (and closed?), when to scalp vs let it run, gamma/theta ratios, and importantly, how to determine these sorts of things for a particular underlying instrument.
I am obviously not an expert, so this is just my 2c. I don't think anyone can give you this info. It's like asking - for vertical debit spread, what are the best strikes? If you are into back-testing, you could come up with a simple mean reversion strategy (like Bollinger Bands fade) and try to curve fit it to a particular stock. For example, high IV stock vs medium IV stock. Add VIX overlap on top of that for context. These back-tests should give you an idea about all the things you listed above.
I doubt very much deeper knowledge of options would give you any edge with this (except maybe taking skew into consideration) but would like to hear from more experienced options traders. Very little info I came across with gamma scalping, except that it's a very frustrating way of making money
I doubt very much deeper knowledge of options would give you any edge with this (except maybe taking skew into consideration) but would like to hear from more experienced options traders. Very little info I came across with gamma scalping, except that it's a very frustrating way of making money
How do you determine if flow is balanced ahead of time?
For gamma scalping? Could you please elaborate?
Classic example of putting the horse before the cart. Using rebates to reduce your cost of gamma hedging is an okay idea if you understand what gamma hedging is.
that’s when we did it.
I dont think I am a gamma scalping expert, but I believe I understand what gamma hedging is. I am soliciting feedback from this community regarding more details/resources/things to think about regarding gamma scalping strategies, and potential considerations on rebates in that context as well.