Writing options for a living

Would you please give an example of being long theta and gamma at the same time? I think a ratio'd short calender (extra back month short) might do it.

I'm curious has I've always been told that the only way to establish a long gamma and long theta position was to sell a deep ITM put (American). Of course the long theta is only interest...
 
Quote from cohenmichaela:

Would you please give an example of being long theta and gamma at the same time? I think a ratio'd short calender (extra back month short) might do it.
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It comes from the skew. Short high-vol, hedge out with cheap-vol.

But do you really want to sell those OTM puts though? The high-vol may actually be the "cheap" one.

:)
 
Quote from Maverick74:

No, I think you have your facts wrong. I was not banned from ET for attacking people for no reason. I was banned for posting a picture of one of our members on a gay web site. I still think it was quite funny.
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HAHA, that's pretty hilarious, especially coming from someone like Mav. Reminds me of college-we sent out these pictures to print on everyone's printer on the campus network during parents weekend. Real NASTY ones too, probably something you would get arrested for nowadays. Think animals, women, and excrement. It would print out in kids dorm rooms when their parents were visiting!!! HAHA, it was a real dick thing to do in retrospect but man we laughed for days, still chuckling about it now.
 
I don't think it's possible to have a position where it's long gamma and theta at all points in that position since they are opposite of each other. But it's possible to have to be long gamma and theta at a certain point, just not all points.
 
Quote from cohenmichaela:
I'm curious has I've always been told that the only way to establish a long gamma and long theta position was to sell a deep ITM put (American). Of course the long theta is only interest...
More...

No, we are only talking about real theta, carry and roll-down aside. Usually it involves taking advantage of either steep vol term structure or a massive skew. For example, selling a lot of log-dated wings is a good example. In most of these cases you'd be massively short vega in the short option, caveat emptor.

Some times, in very odd situations it is possible to get a vega-neutral position on that is both long gamma and theta - for example, up untill recently in EUR swaptions, you could buy 10y10y straddle and sell 200 wide strangle in vega-neutral amounts to become long gamma and long theta.
 
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