Delta neutral strategy on the ES sounds good to me. I'm running with it now and two months out on expiration. Hey thanks man!!
This is a question for you folks: When I bet on the direction of volatility, would creating a delta and gamma neutral trade be more stable and higher chance of making a profit compare to just delta neutral. In my mind, to create both neutral conditions, I first create a ratio spread that is net zero gamma, then create delta neutral with the underlying, so it is a trade with three components. Can I find a two component trade that is both gamma and delta neutral?
Ironchef, having a position with gamma = 0 kind of defeats the purpose of doing volatility trading as you won't be able to profit from changes in implied vol, and you won't be able to profit from the differences between implied and realized vol either (just lookup the basic equations for european options and you'll see).