Gamma Scalping
Gamma Scalping — Trading realized vol against a long gamma book via delta hedging.
Definition
Gamma Scalping refers to trading realized vol against a long gamma book via delta hedging. Keep that definition fixed when comparing series, managers, or regimes — renaming the same tape does not create a new signal.
Why it matters
Options and futures embed views on vol, skew, and path that cash markets only hint at. When trading realized vol against a long gamma book via delta hedging shifts, related hedges, limits, and narratives usually need an explicit update rather than a quiet assumption.
Case
Suppose a desk is positioned for the opposite of what gamma scalping is saying. If trading realized vol against a long gamma book via delta hedging moves against that book, the first question is not “is the story clever?” but whether size, hedges, and stop logic still match the observation.
How to read it
State the expiry and Greek exposure; unmarked vol or pinning effects rewrite the thesis. Prefer a short written null hypothesis for Gamma Scalping: what would falsify the current reading in the next window?