Options & Derivatives

Gamma Scalping

Profiting from a long-gamma position by rehedging, which mechanically buys low and sells high.

The stock rises, delta rises, you sell shares to rehedge. It falls back, delta falls, you buy. Sold high, bought low, and the price ended where it started.

The trade in one sentence: you profit if realised volatility exceeds the implied volatility you paid.

Short gamma inverts everything - each rehedge buys high and sells low, and the losses accelerate exactly when volatility spikes, which is what makes short-gamma positions dangerous in fast markets.

Interview form: volatile day, price unchanged, long gamma and hedged - P&L is positive. The path pays, not the endpoint.

Full guide

Gamma Scalping

How a long-gamma position converts movement into profit through rehedging, and why it is a bet on realised versus implied volatility.

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