I am thinking about a delta neutral strategy where you always manage your positons so they are back to delta 0. I would use futures and hedge options against them so that the total position is delta 0.When markets move up or down i would adjust my position by either increasing or decreasing the position, every time i decrease the position i make money. I would be buyer and seller in the market, so it really doesn't matter which direction the market moves, as long as it moves. Now i have heard these strategies are already been used, i am wondering if there people at ET who use such strategies and if they have extra info, experience on the subject.
There were few interesting topics in the past related to gamma scalping. You may search through archive, I have filed some of them myself while opinions were very interesting.
Trading delta neutral can take SOME of the risk out of a trade, but not all. If you are long options, as you said you just need the market to move. If you are short options, you run the risk that even if you are "delta neutral" you can still lose a lot of money on a big move. Like Chris said, do a search and I'm sure you can find a lot of info on the subject, but heed the warning that follows in caps-- BEING DELTA NEUTRAL DOES NOT MEAN THAT YOU DON'T HAVE SIGNIFICANT RISK EXPOSURE AS YOUR POSITION DELTA CAN CHANGE DRASTICALLY DEPENDING ON THE MOVES OF THE UNDERLYING. Vega
Vega nailed it. The other part is it can be quite expensive to continuously make transactions to maintain dn status. It is more difficult than it looks.