Gamma Scalping

Gamma scalping is an advanced options trading strategy where a trader holds a delta-neutral position — typically long an at-the-money straddle or strangle — and continuously rebalances the delta by buying and selling the underlying asset as prices move, to profit from the realised volatility of the underlying. The strategy earns money from the gamma of the long options position: each time the underlying moves significantly in either direction, the delta shifts, and the trader rebalances by selling high and buying low in the underlying, harvesting small profits from each oscillation. Gamma scalping profits when realised volatility exceeds implied volatility (the premium paid for the options). It requires frequent rebalancing, tight execution, and careful cost management to be profitable.