Vega is at its highest for at-the-money option and decreases with shorter maturity. ... gamma would also benefit from an increase of the realised volatility.

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1. TRADING GAMMA | PRAGMATIC CAPITALISM

   pragcap.com/trading-gammaCached

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   Mar 22, 2012 – Long Gamma – Profit when realized volatility is greater than the implied ... the Gamma is +$149, the Vega is +$318.98 and the theta is -$72.08.
2. Option Strategy: Long Gamma, Short Vega | SurlyTrader

   www.surlytrader.com/option-strategy-long-gamma-short-vega/Cached - Similar

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   Jan 6, 2010 – Option Strategy: Long Gamma, Short Vega ... As long as realized volatility comes in below the 25% that you sold it at, you should have made ...

   You visited this page on 10/17/12.
3. Option Strategy: Long Gamma, Short Vega - Seeking Alpha

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   Jan 7, 2010 – Option Strategy: Long Gamma, Short Vega ... option seller and want to take advantage of implied volatility being higher than realized volatility.
4. Wilmott Forums - implied vol / realized vol convergence

   www.wilmott.com/messageview.cfm?catid=4&threadid=72950Cached - Similar

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   5 posts - 5 authors - Sep 10, 2009

   I am trying to understand an option PnL coming from vega and gamma better. If implied vol (IV) is much higher than realized vol (RV) and ...

   Quantifying Gamma trading‎ - 5 posts - Apr 16, 2011
   vega in term of gamma‎ - 2 posts - Dec 17, 2010
   Relationship between gamma and volatility‎ - 9 posts - Jun 5, 2009
   Gamma vs. Vega Trading‎ - 10 posts - Apr 13, 2008
   

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5. Derivatives And Risk Management - Page 12-12 - Google Books Result

   books.google.com/books?isbn=0070604304

   Verma - 2008 - Business & Economics

   12.5 VEGA Our discussion of gamma focussed on the realized volatility over a holding period. This is adequate if the option is held to maturity. But if an option is ...

6. Trading Options Greeks: How Time Volatility and Other Pricing ... - Google Books Result

   books.google.com/books?isbn=1118238613

   Dan Passarelli - 2012 - Business & Economics

   Time can eat away all a trade's vega profits and more. Realized and implied exposure go hand in hand. The relationship between gamma and vega depends on ...
7. What Is Gamma Scalping?

   www.wisegeek.com/what-is-gamma-scalping.htmCached

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   Brief and Straightforward Guide: What Is Gamma Scalping? ... in the market persisting until the expiration date of the options, when profit can be realized. ... date, and vega, a measure of the decrease in the value of an option with respect to ...
8. Gamma trading and option time decay | volcube.com

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   The trader must believe he can gamma hedge to capture a realized volatility ... as vega risk and skew risk) but when viewed as a straight gamma trading-play, ...
9. Straddles & Strangles - Options Straddles - Straddles and Strangles ...

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   This is a failure to realize that implied volatility is only one part of an option's value. Balancing theta, gamma, and vega and/or isolating your speculation to ...
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    dt - Ericbenhamou.net

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    Vega is at its highest for at-the-money option and decreases with shorter maturity. ... gamma would also benefit from an increase of the realised volatility.

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