The other thing that shocked me was his trade count. Think he said he was on his way to somethin like 10k trades this year. That sounds like a lot of trades for someone selling premium.
From my understanding, Sosnoff has never revealed his performance and there's no real proof that he even trades.
As I said, *change* in gamma aka "speed" and the ability to actually work with a position that's seriously going against you. A trader is duly compensated for being short ATM (peak gamma) - and this has been covered in this thread already.
I was just pointing out that gamma (acceleration) is decreasing--not increasing. I am certainly not arguing that delta (speed) is increasing.
I was literally referring to the 3rd order greek "speed" (aka gamma of gamma, https://www.elitetrader.com/et/threads/calculating-gamma-of-gamma.243458/) not the conceptual "acceleration and speed" of gamma and delta respectively. However, I think we both agree here with what I was getting at in that the closer to the money the less embedded leveraged risk there is to get out of control in the first place. e.g. short OTM crap that can only increase in gamma and vega when it doesn't go your way. Granted, the more time to expiration the more room for error (in the gamma department atleast), but that's not going to make any of these out of the blue huge vol days of the past couple years just turn into a Sunday drive.
I think that thread is mis-titled and is referring to the speed of gamma or d(gamma)/dS. In any event, it doesn't matter because gamma itself is decreasing. You keep saying gamma increases if things don't go your way--that's not the case. However, I will say that the gamma curve flattens as vol picks up and that counter-intuitively ATM gamma decreases. But enough theory. I think we can safely say that theta can be used as a proxy to risk.
Using this strategy (or more generally if a portfolio is short vega), what's the cheapest way to hedge? Buying VIX calls, /VX, going long VXX/UVXY are all pretty expensive.