Gamma Rent

[Docci]

Credo che tu possa trovare documentazione nei testi di Nassim Taleb ...ma non ne sono certo.

Nassim Taleb discusses this in chapter 10 of his book Dynamic Hedging

Quando Tiziano dice non ne sono certo, e' solo perché non ricorda il numero del capitolo!

@Antonino C
sicuramente avrai già letto, ma nel dubbio copio e incollo:

First of all, realize that you're going to need to be able to hedge this position on a daily basis (at minimum) if you want to really use Taleb's strategy. Which means it can be capital intensive (esp when doing it for options on stock, vs using futures). Anyways, this is your quick & dirty way to calculate your "gamma rent" that pretty much all traders use:

Take the implied vol of the option (really probably just stick to using near ATM options for scalping gamma, unless it's a spread), and divide by 16. Why 16? Because it's roughly the square root of 252, which is the # of trading days in a year. (To be more exact, can use 15.87, but it's not going to make much of a difference in your strategy in the end).

That is the daily average % move/range you need to capture in the underlying to realize the implied vol.

Last step just translate that % move into a $ move and now you know what kind of buy / sell limit orders you need to look to get hit on.

EX:

SPX march ATM implied running about 13.5 right now. That's a 0.85% daily range that you need to capture to break even on the theta. With SPX @ 1140, that's about a $9.5 of SPX points per day you need to scalp vs your gamma.

You can obv do this any way you want: hedge @ eod, try to pick the top/bottom, make small scalps over and over. But the point is this 'quick & dirty' calculation gives you a good idea of what kind of range you need to see in the day to break even on a long gamma position (works for short too, just flip everything).