Gamma Scalping &Reverse Scalping: Strategies for Volatility Traders

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Gamma scalping is an advanced options trading strategy that allows traders to profit from market volatility while managing directional risk.

This article dives deep into what gamma scalping entails, how to construct and execute a gamma scalping strategy using Python, and real-world examples to clarify the concepts. Additionally, we include illustrative diagrams to simplify the understanding of this complex strategy.

Understanding Gamma Scalping

What Is Gamma Scalping?

Gamma scalping is a strategy centered on the gamma (Γ) of options, which measures how much an option’s delta (Δ) changes as the price of the underlying asset moves. By dynamically adjusting a portfolio to maintain a delta-neutral position, traders can exploit price fluctuations, locking in incremental profits over time.