I think this is the article that was mentioned in the earlier post http://www.thestreet.com/comment/harrison/1059205.html
I started to read the dairy when Todd started writing it and have my copies and my correspondence with him in a different order than by date so I can't find alot of articles, here are the ones I found, not as helpful as starting at the beginning but maybe you could run a key word search of the site............Pat Style check http://www.thestreet.com/p/td/archives/HarrisonDiary/2001_1_18/HarrisonDiary_page_2.html#post0 gamma goblin http://www.thestreet.com/p/td/archives/HarrisonDiary/2001_1_19/HarrisonDiary_page_3.html#post2 gamma trade http://www.thestreet.com/p/td/archives/HarrisonDiary/2001_2_15/HarrisonDiary_page_5.html#post0 pressershttp://www.thestreet.com/p/td/archives/HarrisonDiary/2001_3_14/HarrisonDiary_page_7.html slice and dice http://www.thestreet.com/p/td/archives/HarrisonDiary/2001_4_17/HarrisonDiary_page_3.html looking for gamma leg http://www.thestreet.com/p/td/archives/HarrisonDiary/2001_4_17/HarrisonDiary_page_3.html step function http://www.thestreet.com/p/td/archives/HarrisonDiary/2001_9_24/HarrisonDiary_page_2.html turning the page http://www.thestreet.com/p/td/archives/HarrisonDiary/2001_9_24/HarrisonDiary_page_3.html
GATrader: Diffusion trading is extremely difficult to manage on the retail level. We've run analysis of the option market spreads on the buy and sell side and the conclusions aren't good -- diffusion trading is best done on the floor. FWIW -- Not to infer that you're running diffusion trade on the retail level. w.r.t. gamma trading. Earning the daily theta is not that difficult. The initial edge has to hold up -- and it often doesn't. Buying 5 bp in edge won't help if the spot vols deteriorate. Hence the problem with any negative "static" return scenario over time. I wrote a piece on gamma-trading strangles to long flys -- I will try to find it if anyone is interested. Best, riskarb
btw, this is a great thread... have not really heard many people mention gamma scalping except for derivatives professionals, market makers, etc...I know that someone mentioned the Charles Cottle book about "gamma scalping" and I have read Natenberg and McMillan, but COttle really gets into this stuff...REgardless of how people regard him or the book,(some people think it is heavy on theory and light on application except for market makers), I honestly believe it is extraordinarily detailed, which is a far cry from so many of these new "how I trade options" type of stuff...Seems like the industry has made a concerted effort to sell the wares of options as insurance in the bear market, either because people don;t have enuf money for stocks or whatever... But the gamma scalping that I have seen is really a very dynamic way to approach the markets because of the ways that u can structure the position...I also believe that it enforces a certain amount of discipline because it forces you to take action at specific levels for very specific reasons...It is much more of a "job" so to speak, instead of the typical fare of just buying and selling stocks, futures, options on speculative whims, etc... You mention Talib...He mentions many times in his book that he is willing to absorb the theta decay of many of his positions because his philosophy/strategy is to position himself for the outlier events...sort of like a LTCM "hedge", he bets that many people underestimate the outlier risk at all times...His cynical nature tends to serve him well for this type of trading philosophy