We have seen markets enter a regime where there appears to be only one direction to price movement. A more accurate way to express this is to say that the return autocorrelation, or price mean aversion [reversion], is high. This was stated in another way in this thread: http://www.elitetrader.com/vb/showthread.php?s=&threadid=193829 Textbooks on options trading will tell you to sell a straddle when you expect the vola to be low. Is this correct? What about in markets that have very little mean reversion and in one direction like we have seen for at least a month? Those sure have low vola. The answer is no, with an explanation detailed below. The problem is that models like Black-Scholes assumes that autocorrelation is zero (it assumes that markets are efficient, i.e., high AC would mean there are predictable trends), and that you should therefore trade as continuously as your trading costs make reasonable. Well, outside of MMs and high frequency firms, costs usually suck the big one and eat into any premium profit pronto. To add insult to injury, the premium you got was probably too little to finance the replication costs of hedging. [Remember, you as an option trader assume markets are efficient. If you don't believe it why the hell trade options? Just trade the underlying if you believe you can predict trends!] These two things taken together spell doom for any strategy that is short gamma in this regime for all but the most sophisticated, well capitalized, low cost structured firm/trader. If this structure is not true for you, guess what, you are also delta trading.