gamma scalp

[Mikey12345]

can anyone recommend books/websites or software regarding gamma scalp.

best regards,

mikey

 

[option911]

Mikey

http://www.optionpit.com/option-education/gamma-scalping-part-one-pay-the-day

http://www.optionpit.com/option-education/gamma-scalping-part-two-deltagamma-ratio-hedging

a couple of pieces I wrote a while back.

 

[Mikey12345]

Hi Option911,

I looked at those articles which were great. I was trying to plug the formula in excel but i could not seem to work out the 2.8 figure. My math is not that great im afraid. How do you arrive at that number. Also from your extensive experience is it really worth me trying to master gamma scalping as a retail player. I am willing to put a lot of effort into learning but am afraid that the costs and rewards may not be worth the hours sitting in front of the screen. Are there non professionals making good money gamma scalping?

Thanks for your patience
Mikey.

 

[option911]

There are non pro's doing it, but you have to be able to sit infront of a cpu to do so. That can be the problem. If you arent their to scalp, then the money is tough. It also takes a touch to figure out when to let it run, and when to scalp tight.

The formula to cover decay is

7/5*theta=1/2gamma*(change in price)^2

 

[Mikey12345]

Thanks Option911 for your help.

best regards,

mikey.

 

[option911]

Glad I could help, if you have any other questions feel free to shoot me a line!

 

[maxima]

could you please give a rough indication what the max commission has to be to keep your pay the decay strat profitable ?

 

[option911]

could you please give a rough indication what the max commission has to be to keep your pay the decay strat profitable ?

It depends how wide one is trading, I would consider adding it into the equation