...still hearing about systematic long straddles as vol trade with E[R]>0...
But vol is actually a drag and, if E[R]>0, it's just direction
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long story short, you have to scalp enough gamma to pay for the options. Logica is also attempting to capture drift.
“scalping gamma” = making money on your delta hedges. fine, but you need to make enough to compensate for theta, which you won’t on average unless you are very good at predicting realized vol. “capture drift” = adding a beta overlay, again fine but that comes with downside!
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so basically the options for making money on long vol are adding alpha (hard, expensive) or adding beta (easy, cheap, adds downside risk and correlation with the thing you are trying to hedge)
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just listen to the podcast, they describe the various strategies in their own words.
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no a beta overlay, just don't delta hedge so much to the upside you don't need to cover the entire cost of options scalping gamma, just reduce the cost of carry the direction + the scalping then just needs to be more than the option cost the whole is that the calls are cheap
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