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Has anyone had success gamma scalping?
- Thread starter robert111
- Start date
Yes. You are losing money because realized vol is less than implied. If you were short you would make money. With weekly options you have to concern yourself with some third order greeks because large moves in spot will cause your gamma to change materially.
Personally, I don't think it's worth it for a retail account. Balance sheet becomes a limiting factor and quality of execution matters as pennies on your stock leg add up to vegas over time and there aren't generally that many vegas of alpha to be had (especially in index).
Personally, I don't think it's worth it for a retail account. Balance sheet becomes a limiting factor and quality of execution matters as pennies on your stock leg add up to vegas over time and there aren't generally that many vegas of alpha to be had (especially in index).
Tough to win this game. In addition to the theta decay, transaction friction can be hard to overcome if your trade triggers are tight.Quote from robert111:
Hi, gamma scalping looks appealing to me, but when trying it in my practice account, so far I have not had much luck. I was practicing using weekly spy options near expiration, but theta decay seems to be too much to overcome.
Has anyone had success doing this, any pointers?
Thanks
Yes. Hundreds of times.
But you do not know my costs, Computing infrastructure, disposition or any of the other things which separate every single market participant. Let alone the particular market opportunities where "it worked", this is not a gearbox. What a stupid question, i have literally been sitting here for 20 minutes thinking about why someone would ask it in the way you have phrased it, and with no real detail. I could understand if you asked something along the lines of "will a 220 film fit in this Mamiya RB67 pro SD camera" you know, i could say yes it works it has that capability, and i could point out things that you should watch out for. Someone else may chip in and say i'm wrong, but either way it would be a constructive dialogue based on fact.
Let me ask you, before you posted, did you look back at the book or infomercial which originally got you interested in gamma scalping and examine the strengths and weaknesses of the strategy? Or consider what variables would determine success and under what conditions.
Give yourself a scenario, or maybe use historical data, but do the working on paper and go through it step by step. Start with zero transactions costs and a choice underlying, then look at different IV and price vol situations.
I'm sorry
But you do not know my costs, Computing infrastructure, disposition or any of the other things which separate every single market participant. Let alone the particular market opportunities where "it worked", this is not a gearbox. What a stupid question, i have literally been sitting here for 20 minutes thinking about why someone would ask it in the way you have phrased it, and with no real detail. I could understand if you asked something along the lines of "will a 220 film fit in this Mamiya RB67 pro SD camera" you know, i could say yes it works it has that capability, and i could point out things that you should watch out for. Someone else may chip in and say i'm wrong, but either way it would be a constructive dialogue based on fact.
Let me ask you, before you posted, did you look back at the book or infomercial which originally got you interested in gamma scalping and examine the strengths and weaknesses of the strategy? Or consider what variables would determine success and under what conditions.
Give yourself a scenario, or maybe use historical data, but do the working on paper and go through it step by step. Start with zero transactions costs and a choice underlying, then look at different IV and price vol situations.
I'm sorry
Quote from RPEX:
Yes. Hundreds of times.
But you do not know my costs, Computing infrastructure, disposition or any of the other things which separate every single market participant. Let alone the particular market opportunities where "it worked", this is not a gearbox. What a stupid question, i have literally been sitting here for 20 minutes thinking about why someone would ask it in the way you have phrased it, and with no real detail. I could understand if you asked something along the lines of "will a 220 film fit in this Mamiya RB67 pro SD camera" you know, i could say yes it works it has that capability, and i could point out things that you should watch out for. Someone else may chip in and say i'm wrong, but either way it would be a constructive dialogue based on fact.
Let me ask you, before you posted, did you look back at the book or infomercial which originally got you interested in gamma scalping and examine the strengths and weaknesses of the strategy? Or consider what variables would determine success and under what conditions.
Give yourself a scenario, or maybe use historical data, but do the working on paper and go through it step by step. Start with zero transactions costs and a choice underlying, then look at different IV and price vol situations.
I'm sorry
+1