Great old threads about Gamma scalping

I run the small universe of stocks (high option's volume) based on some criterias that I mentioned before. The top gamma scalping candidate(without expectations if future vols rise)... SNDK. While current HV and IV is absolutely even (around 39 each) , the HV including intraday hi-lo is 57 (!). SNDK has the highest Open - YesterClose % change , its around 1.2%. The possible reason : unusual amount of up(down) grades , which stands at seven per month. SNDK has very high % of price reversals from intraday hi-lo to mean. All those numbers are 50% better when comparing to GOOG.
Another gamma "favorable" stock is CAT.
 
Quote from volatilitypimp:

Is it feasible or even advantageous to scalp downside compontent gamma in the dispersion trade?
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definetly much more complex that on a stand alone trade , imo
 
I would say yes! In a long dispersion portfolio, your basket should be a selection of stocks that have the highest probability to disperse i.e. end up having a stat vol > implied.

Therefore, they make good candidates to gamma scalp going by recommendations in this thread if you can deal with the practicalities.

As IV_trader and I have discussed though, now is not a good environment for long dispersion IMO.

I believe IV_trader is running a short dispersion portfolio at the moment. I personally am waiting for a better set up for long dispersion as I don't want to deal with the gap-risk inherent in short dispersion. You can however, attempt to gamma scalp the index straddle instead.

MoMoney.

Quote from volatilitypimp:

Is it feasible or even advantageous to scalp downside compontent gamma in the dispersion trade?
More...
 
No, you would be flattening your deltas on your long portfolio and therefore limiting your +dispersion gammas. The last thing you would want to see in any dispersion trade. The -dgamma doesn't play much of a role, so I am lost with that comment.
 
Quote from momoneythansens:

I would say yes! In a long dispersion portfolio, your basket should be a selection of stocks that have the highest probability to disperse i.e. end up having a stat vol > implied.

Therefore, they make good candidates to gamma scalp going by recommendations in this thread if you can deal with the practicalities.

As IV_trader and I have discussed though, now is not a good environment for long dispersion IMO.

I believe IV_trader is running a short dispersion portfolio at the moment. I personally am waiting for a better set up for long dispersion as I don't want to deal with the gap-risk inherent in short dispersion. You can however, attempt to gamma scalp the index straddle instead.

MoMoney.
More...


btw , Mo , I'm having the best month ever so far on the reverse ( but still six long days to go). Only one (!) basket component is ITM , XOM . At the beginnig of the position , I collected the record ratio : for every 10k of short component's puts , I paid only 4500$ for correspondent portion of DIA puts.
 
True. Infact, net debit on the long dispersion is small in the first place so no need to mitigate decay on the component straddles.

Quote from riskarb:

No, you would be flattening your deltas on your long portfolio and therefore limiting your +dispersion gammas. The last thing you would want to see in any dispersion trade.
More...
 
Congrats.

Are you straddling/strangling or just playing puts?

What criteria are you choosing for your basket?

I can't justify the short dispersion to myself. Isn't index put skew working against you on this strategy? Or is it arbed away.


Quote from IV_Trader:

btw , Mo , I'm having the best month ever so far on the reverse ( but still six long days to go). Only one (!) basket component is ITM , XOM . At the beginnig of the position , I collected the record ratio : for every 10k of short component's puts , I paid only 4500$ for correspondent portion of DIA puts.
More...
 
OK big brain, I have a question for you: if you were running a long dispersion portfolio, would you negative gamma scalp the index straddle?

OR, in general, if you accumulate too many deltas on the index straddle what is best practice in the land of Riskarb?

Also, if you get a dispersion in component do you lock in profits on the straddle and close?

Lastly, how much are you going to charge me for this info? LOL

Quote from riskarb:

No, you would be flattening your deltas on your long portfolio and therefore limiting your +dispersion gammas. The last thing you would want to see in any dispersion trade. The -dgamma doesn't play much of a role, so I am lost with that comment.
More...
 
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