To put it simply, you open a delta neutral position(buy ATM straddle) and then adjust your deltas by buying/selling the underlying as it moves down/up. Traders mainly use gamma scalping of different kinds to offset the theta decay of their long premium position while they wait for 1) big move to happen or 2) vega explosion. Theres alot more to it and that wasnt the best example but I am sure riskarb or mo can give a more detailed explanation if they come accross this post.
Not much to add over and above what has already been said. Cottle's treatment of gamma scalping is as good as it gets IIRC. Here's some more information, largely extolling the virtues of haircut with ulterior motive , but valid nonetheless: http://www.vtradergroup.com/VTraderPro/EducationCourse1.aspx If you are not able to follow Cottle then this won't be much better :eek: Persevere. You can't read Cottle as you would read a fiction novel and expect it to go in (Stating obvious? Sorry ) If/when Cottle does another version, he may offer the opportunity for feedback on the draft as he did with his latest version. You might want to take that opportunity based on your experiences so far. IV_Trader appears to be a big fan of gamma scalping at the moment AFAIK: Playing straddles on volatility build-ups prior to reports in an attempt to have IV gains as report approaches offset/mitigate any decay; gamma scalping all the while as a bonus on top....or vice versa. He appears to have a solid methodology for selecting appropriate issues to execute this strategy with....he might share his secret sauce if you ask nicely Given this is probably OT for this thread (is that possible?), suggest start a new thread in the Options Forum to get access to a wider range of expertise. Good luck. MoMoney.
On the retail side, InteractiveBrokers and Tradestation are the best two I know for options on futures.
For trading ES futures, thinkorswim has a great platform AND live charting and trading off the charting. That makes it better in my opinion than IB for trading the ES. The other alternative with ES and charting is Tradestation. Great charting platform and good fills on ES when I traded through them. TS is $5.00 a roundtrip per contract which is reasonable for retail. I forget what ToS is. OX has static windows and you have to refresh or change windows to place orders or check positions. Not my top choice for futures trading. They are still a little new to it.