When I tell them I'm a scalper they think I stand at the street corner and sell tickets to mass entertainment events at elevated prices. I've always liked "independent securities liquidity provider", but when I have to be serious I usually say I work with computers, write software, or work on the internet. "I run a hedge fund" is also a good one. When I have to write it I sometimes put "date raider", but not on my tax returns.
But I believe the most honest and least deceptive answer would be "I trade". Of course, the huge portion of the populace endowed with enough intelligence to articulate words, but not enough to understand that "what someone does for a living" really isn't that interesting a topic, will start drilling if you give them an opening like that.