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Gamma Scalping Introduction

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Опубликовано:

22 авг 2024

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Комментарии : 31

@ZachMeissner Год назад

Definitely more gamma scalping videos!! Would love to see a short straddle and strangle variation of this and how you make consistent profits over time. Correct me if I'm wrong, but isn't this essentially what market makers are constantly doing to maintain delta neutral on the trades they take? Thanks Erik!

@OutlierTrading Год назад

More or less. They essentially manage a larger book of options so it’s not really relegated to anyone strategy but the mess of long and short options they accumulate as they make markets. But same concept.

@cavs1899 Год назад

Would love to learn more about gamma scalping

@klpanb Год назад

Really a nice explanation. The first time I heard this strategy is from Dr Ernest Chan with algo trading implementation. Interesed in hearing more from you about Gamma scalping.

@OutlierTrading Год назад

Glad it was useful! I’ll build some more in depth stuff on it

@bigdog6704 3 месяца назад

On the first graph of delta I think you meant to label strike price instead of underlying price on the x-axis. As the underlying increases for a call then the delta should increase

@OutlierTrading 3 месяца назад

not quite. whether that's labeled as strike price or underlying price it doesn't really matter, it's the same thing. think of it this way, imagine the middle of the X axis is ATM and this is a snapshot in time. for calls that are lower than current price, they are ITM, with higher deltas. calls that are higher than current price are OTM with lower deltas.

@Jack-cm5ch 5 месяцев назад

Starts at 7:36

@OutlierTrading 5 месяцев назад

If someone needs the information starting at 7:36, they likely need the information starting at like 60 seconds in lol

@jayviz Год назад

very clear, concise explanation. Thank you. However, having watched many different videos about gamma scalping I have to chuckle over the fact that everybody admits what they are really doing is continually trying to hedge into a DELTA neutral trade. By your own admission, you even said these adjustments have no effect on gamma. so my question is, if we are continually adjusting for Delta, why do people insist on calling this "gamma scalping"???

@OutlierTrading Год назад

The purpose of the adjustments is to adjust risk on set moves bands - not necessarily maintain delta neutrality. Gamma scalpers are capitalizing on the interim stock movement to finance the carrying cost of a trade. Less about delta neutrality - more about making during gamma doesn’t get out of hand because that’s when delta grows teeth. To your point, they’re closely related.

@anilprabhu1706 Год назад

More videos please...also please throw in some pointers on when to deploy long premium strategies (basis ivp, vol forecast math etc..)

@OutlierTrading Год назад

We droppin videos every week!

@kks8673 10 месяцев назад

Kindly clarify why despite taking a straddle position delta is +67. It should be 0 as call and put should neutralize.

@OutlierTrading 10 месяцев назад

Not quite. Short straddles rarely will have have a perfect 50/50 delta between calls and puts and ATM options have very high gamma, so they rarely actually net to zero. There might be periods where it temporarily nets to zero but it won't remain there for any significant period of time. If we take a look at a current example in SPY as of 17Oct (after the close): -The 18Oct (1DTE) ATM 436 short straddle is: > 436C: 0.46 delta; 0.10 gamma >436P: 0.55 delta; 0.11 gamma Going further out to 24Oct in SPY : >24Oct (7DTE) ATM 436 short straddle: >436C: 0.50 delta; 0.04 gamma >436P: 0.50 delta; 0.05 gamma You'll find times where the strangle isn't 50/50 delta call/put where gamma nets to zero and other times where the options are 50/50 and gamma doesn't net to zero. Options don't operate in a vacuum so there are lots of minor variances from theoretical modeling. Hope this helps!

@michaels7730 Год назад

Enjoyed the video, thanks for making it. Would this be a good potential strategy for things like earnings if there is a large swing expected, or would the volatility collapse make it difficult to stay in the green?

@OutlierTrading Год назад

Great question. Not so much (imo) for a binary event. The primary purpose is essentially what I reviewed in the video. For earnings releases, trading things designed to either capture volatility variance or express a directional opinion would be my go tos over gamma scalping.

@MervsServiceSecrets Год назад

Can you explain how people account for all these wash sales over the course of a year? With this many back & forth stock sales in a short period of time it seems reporting would be an absolute nightmare at tax time.

@OutlierTrading Год назад

Hire an accountant.

@MervsServiceSecrets Год назад

@@OutlierTrading And therein lies the fallicy of this strategy. "Spend your profits to hire an accountant"

@OutlierTrading Год назад

Wash sales are simple to track, as you mentioned, just annoying. One doesn’t have to hire an accountant. I choose to. The accountant is a business expense.

@MervsServiceSecrets Год назад

@@OutlierTrading You say they are "simple" yet you don't answer the question. Anyone who researches the wash sale rule soon finds out they are anything but simple. Especially when you are doing a lot of ins & outs each day.

@OutlierTrading Год назад

I guess I don’t understand your confusion with them - is there a particular aspect you find difficult? In general, if you exit a position and re-enter a similar one within 30 days it’s a wash. The rule itself is pretty straightforward - hence why I say it’s simple. But I did in fact answer your question - you just didn’t like the response (which is fine). Most full time equivalent traders hire an accountant. If you’re wanting a more explicit answer on tracking, happy to help. But to track, you can just use the wash sale adjusted 1099 from your broker, hire an accountant, or create a sheet that integrates the rules.