Gamma Scalping
Professional dynamic hedging strategy for gamma profits.
Master
Market Outlook
market-neutral
Family
exotic
Capital Req
very-high
Risk Profile
volatile
Strategy Overview
Key characteristics and when to use
Structure
Long Options + Dynamic Delta Hedging
Greek Profile
Gamma positive, delta neutral through hedging
Characteristics
DynamicGammaProfessionalInstitutional
Profit & Loss Formulas
Mathematical breakdown
Max Profit
(Realized vol - Implied vol) × Vega × Time
Max Loss
Premium paid + hedging costs
Breakeven
Realized volatility = Implied volatility + costs