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How Is a “Gamma Scalping” Strategy Executed?

Continuously re-hedging a Delta-neutral portfolio to profit from small price movements captured by positive Gamma.
Greeks.Live05.11.25

How Is a “Gamma Scalping” Strategy Executed?

Gamma scalping is a Delta-neutral trading strategy that seeks to profit from an option's Gamma. The trader aims to keep the portfolio Delta-neutral by continuously buying or selling the underlying crypto as its price fluctuates.

This process of re-hedging captures small profits from the option's positive Gamma, effectively turning volatility into profit.

What Is ‘Delta-Neutral’ Hedging and Why Is It Crucial for Option Market Makers?
Define the Term “Gamma Scalping” and How It Utilizes High-Gamma Options
How Does a Market Maker Manage the Risk of Gamma in a Delta-Hedged Portfolio?
What Is a ‘Delta-Neutral’ Trading Strategy?

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