
Hi everyone,
Recently, I came across an interesting video about gamma scalping:
https://www.youtube.com/watch?v=w51bWtYlbDg
As I understand it, the gamma scalping strategy aims to maintain a delta-neutral position. For example, one could open a call option position with a delta of around 80–100 and simultaneously sell 100 shares of the same underlying stock.
The idea is to adjust the stock position each day based on movements in the underlying asset, in order to stay as close to delta-neutral as possible.
Does this strategy actually work in practice?
Gamma Scalping: Too Good to Be True?
byu/BagNo8671 inoptions
Posted by BagNo8671