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Strategies & Market Trends : Booms, Busts, and Recoveries
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To: Haim R. Branisteanu who wrote (38359)9/17/2003 2:48:34 PM
From: gumnam  Read Replies (1) of 74559
 
I agree - the people who were short gamma over the last few days were basically screwed. The realized vol over last 5 days is around 17% - plus slippage - a short gamma guy needs almost 17.5 vol to break even. But vols are now 11.2 -11.8 in the interdealer market - So people still think that vols will come down in the next few days.
If volatility continues at the same level these people will lose more money.
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