Quote from jem:
Absolutely fricken best post (for me) I have ever read on ET. I was driven a bit nuts (mentally not financially) by the elusive idea of gamma scalping. I used to trade a few million shares a month and floor guys kept telling me to looking into gamma scalping. It never made sense. I would put the trade and then wonder... What is the point of the option - I trade the corners anyway.
I never saw saliba on trading markets add that little tidbit to his advice about gamma scalping. The guy who ran our llc was a former option trader and he never explained why I did not see the edge.
Now that I see the point of gamma scalping, I almost want to get my series seven again just to see if I could could make this profitable again. I was a profitable stock scalper for about 7 years.
If what is described in Mav's post is the main point you got, I think you would be for a big surprise. The devil is in the details. For instance, when you scalp you remove from the total gamma's you may have dearly paid for , and if the stock continues its march you lose the gamma you initially bought for the larger initial size, and you may get as total reward less than the total premium you paid because of the reduced size due to the gamma scalp done at the wrong time and price. You need to design much more subtle quantifiable criteria to know if and when to scalp. It require a deeper understanding of options, but at least these criteria exist. They are not based on feeling or experience, but on numbers.
You can think of it as buying a number of straddles which you sell as baby straddles. Baby straddles need to be sold at particular prices and times, and subject to what happens next. The timing is even more demanding in scalping, but somehow it may not look so because people "make money" when they scalp.