Great old threads about Gamma scalping

[riskarb]

Quote from momoneythansens:

True. Infact, net debit on the long dispersion is small in the first place so no need to mitigate decay on the component straddles.

True, and you're leaving yourself horrifically-short net gammas.

 

[IV_Trader]

Quote from riskarb:

IV -- awesome, congrats.

riskarb, the Patron Saint of the short dispersion trade.

Riskarb > King of short dispertion
IV_Trader > a Mini Me

 

[IV_Trader]

Quote from momoneythansens:


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


Close and reopen again at the new/current ATM strike.

 

[momoneythansens]

Re-straddling is something I looked at in backtesting but got worse PnL for the period I tested with...but probably need to go through again with more accurate numbers.

Quote from IV_Trader:

Quote from momoneythansens:


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


Close and reopen again at the new/current ATM strike.

 

[IV_Trader]

Quote from momoneythansens:

Re-straddling is something I looked at in backtesting but got worse PnL for the period I tested with...but probably need to go through again with more accurate numbers.

if stock with IV of 15 moves form 60 to 65 , what are you holding...practically a stock. By exiting and re-straddeling again( cheap , less days left at this point) how can you lose ? If stock keeps going up u are ok and if stock reverse , you are a big winner (vs holding the original 60 straddle). I'm not sure if pros doing it the same way , but it's always worked for me (in the long dispersion)

 

[riskarb]

Quote from IV_Trader:

Riskarb > King of short dispertion
IV_Trader > a Mini Me

hahaha. I've seen IV, he's like 6'6" =)

 

[IV_Trader]

Quote from IV_Trader:


With existing vols skew for OTM puts&ITM calls , do I have a small edge in scalping if I take the under market position like ITM put+OTM call ?

I wish I would of enter this position on the day of the post...wow

 

[riskarb]

Quote from IV_Trader:

Quote from momoneythansens:


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


Close and reopen again at the new/current ATM strike.

Best advice on trading -disp, extant. Where did you get this idea?

 

[tman]

IV, I really like your method of comparing h to l vol vs. close to close vol for finding possible gamma scalp candidates. Have you done any screening based on that ratio?? How have your results been?? I think I may give that a try for June expiration. I will share my findings if there is any interest...........tman

 

[IV_Trader]

Quote from riskarb:

Best advice on trading -disp, extant. Where did you get this idea?

hahaha ... I got my connections ; the advise also came with free latte , lol