Great old threads about Gamma scalping

Lucky me ! I was able to recall/delete my post with correct answer when I saw the rest of the "reword"
hahaha

 

Surely model frequency impacts on the replication error as per Ursa. In this instance you want a positive replication error > execution costs in addition to crystalizing the stat/implied differential. What am I missing?

 

There is actually two more reasons.

 

No there isn't dumas; there is one.

 

Nope, I can think of two more, although both are insignificant for the most part. No cookie for you!

 

I can think of one significant advantage [PnL impact] to trading the natural. Free XM satellite "xmtogo" portable to the winner.

 

Yes, so can I, the Dividend!!!!!!!!!!

There is another reason.

 

Replication?
Crystalizing?

hehehe. I needed to read that twice. By replication I assume that you're referring to replicating stat-vol, but your last sentence seems to repeat. Please elaborate.

 

The dividend? Nope. There are occasions in which the impact is < model assumption, but that's not a proof. C'mon, this is easy. If you're right we should delete your post immediately.

 

it's very easy to back test both strategies and find out which one is better :
1.Let the initial position (straddle/strangle) expire.
2. Use stock for adjustments , always close intraday and keep separate PnL ( for stock only)
3. If stock's PnL is negative at exp , the "adjustments free " strategy is better.
Agree ?