This month’s Futures and Options Trader has an article this month about what they call “gamma scalping”. I have heard this name before, and I never connected it to the thing they are talking about in this article. Essentially – if you are buying options, you have a view on vol, if you are delta hedging, and right about vol – you want big gamma, so you can continually buy low/ sell high.

I have talked about this with a few people lately, I figured posting a pointer to the article would be nice

-Chris

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