Why Is It Difficult to Maintain a Perfectly Delta-Neutral Position in a Highly Volatile Crypto Market?

It is difficult to maintain a perfectly Delta-neutral position in a highly volatile crypto market due to high Gamma and transaction costs. High volatility leads to rapid price movements, which, combined with high Gamma, causes the Delta to shift constantly.

This requires continuous re-hedging. The high transaction costs (fees and slippage) associated with frequent re-hedging make maintaining perfect neutrality uneconomical and practically impossible.