It depends on froloos' question "market-to-model" or "market-to-market"? I would expect the latter since it's a very liquid product.

Normally I would have thought so. He probably just means what vol to use to calculate delta.

Yes that's what I meant: with the running implied vol (marked to market), or some other vol of one's choice (marked-to-Madoff)

... and another exception is if your position is big enough to move the market. I remember seeing a trader buy or sell 1mln ABN-AMRO stocks at the close of a trading day for weeks. It was a coinflip random choose. I asked "what are you doing??" and he said "I'm shaking the tree, trying to make up for my theta, I'm extremely gamma long".

I suppose this was pre 2008 when long gamma still needed a helping hand?

... and another exception is if your position is big enough to move the market.  I remember seeing a trader buy or sell 1mln ABN-AMRO stocks at the close of a trading day for weeks.  It was a coinflip random choose. I asked "what are you doing??" and he said "I'm shaking the tree, trying to make up for my theta, I'm extremely gamma long".

I suppose this was pre 2008 when long gamma still needed a helping hand?

Yes, a decade before that!
After that he ended up getting fired because he was drunk and got into an ego battle with another drunk trader "That's still your bid?? Fill in the volume you want on this trade ticket and then I'll sign it". They ended up trading ATM index option  with only one day left to  expire.. a 1 billion guilder exposure to the index. He then moved on to selling fake property in Dubai ..and he ripped of Rita Verdonk (Dutch politician) for more than 100k. He's now dean of an international business school,
very rich..

There’s hope for us all.

Yes, "never let a stumble be the end of your journey" and "falling down is an accident, staying down is a choice".