@outrun : If only we could accurately predict trending markets (or mean-reverting)....
Yes indeed! Or any other deviation from unconditional distributions!
I once just started trading fresh from school and was forced into a *huge* gamma long position (compared to my average and risk limits) ..and right then the market crashed! (maybe the 1997 mini crash?)
I was very inexperienced and eveyone was shouting like crazy and I was just standing there "OMG I'm 100.000 stocks short now, my delta risk limit is 20.000,, oh 150.000 now, ... oh 200.000". My boss walked up to me and said "T, .. shouldn't you hedge?" so I said "ok" and I bought half my delta back at the low of the day. I tried to buy more but *maybe* because of my bids the stock kept going up and up and up again. .. and then I was long and had to sell! This was probably my best "gamma scalp" ever!
I've also had lot of bad days of course. What's interesting from a personal perspective the few exceptional successes/lucky days give you good stories that last a lifetime, and you quickly forget about the bad ones. (unless they are life changing bad, something I've never experienced). I had a very fun boss who factored these things in, not just position P&L but he also recognised the important of "story value" (and non-fake risk management!)