Paul, this sounds very interesting and realistic. Thanks for all insights. How would You figure real expectations towards performance using this technique ? What ups and downs might be realistic to accept ?
During "normal" markets, breaking even might be difficult. But this year, there have been lots of opportunities. Earlier in the year, you could buy lots of cheap options, so the volatility in the market after that was gravy. Now, things are a bit expensive. I'm not saying we won't have enough vol. in the future to be profitable scalping gamma if you buy options today, but the risk/reward is not where it was. I don't mind breaking even or losing a bit for 3 or 4 months scalping gamma, it's being long gamma when the markets go a bit crazy that's fun for me. It's hard to put a # on the ups and downs...everyone's performance will be different even if they have the same position. I suggest you start with a really small position and then see what your thoughts are when you're losing money via time decay. The hardest part for me is sticking to my plan in terms of where to hedge. Sometimes my plan works, sometimes my intuition to override the plan works.
I trade also futures systems so I know the pain The last one thing which hits me in my studies: many times hedging on one side e.g. starting from long call gives almost same results as starting from straddle ???
Yes, they are the same, assuming the same # of options per strike. SPX, e.g., five 775 calls and five 775 puts acts the same as ten 775 calls, as long as they're hedged. If you know the synthetics then you already know this.