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OK, actually just a comment, but it's a good question and lends itself to a post.

Could you clarify what it means to be "long gamma"? What do you buy or sell to establish a long gamma position? In what market conditions is this a desirable or undesirable strategy? What is the breakeven point? What is the repair strategy? Thanks.

OK, when I say I am "long gamma", I mean that I have a position in a stock that gets me longer as it rallies and shorter as it declines. It may involve buying a straddle or strangle. It may involve going short stock vs. going long calls on a greater than 1:1 ratio, et. al.

Is this a desirable strategy right now? Well on one hand, of course yes. We have a VIX essentially at lows not seen since the early 90's. So why wouldn't you want to just load up on *cheap* gamma?

Well, for one thing, stocks themselves are even less volatile than the options. SPY options in Jan have an implied volatility a shade over "9" right now. But the SPY iteslf is only moving at about an "8" volatility clip. And that's actually an uptick of late as it was as low as 6 not that long ago.

And you have to also factor in that we face two full calender weeks of little action ahead until the holiday's pass. So if you buy *time* now you are not getting all of what you pay for. Which is part of why prices look a bit low.

What is the breakeven point of a long gamma strategy? Well, it depends on whether you aggressively hedge or not. If you aggressively hedge, you are using the safety net of your position and fading into moves of either direction, knowing you get longer into rallies and shorter into dips. Your goal is to make more money *flipping* than you lose paying out the daily decay of your long gamma position. So the breakeven here is when the volatility of the underlying is equal to the implied volatility of the options themselves.

If you do not hedge via stock trading, but rather just buy (a straddle maybe) and hold, then it's pretty easy to figure out your breakeven. Let's say you buy the XYZ Jan 50 straddle for $4 and hold it until expiration. You *win* if XYZ closes above $54 or below $46 (forgetting about dividends and cost of carry). You lose anywhere in between.