Gamma Scalping/ TradingOctober 16th, 2011 by Kara in Dictionary, Financial Terms
Also known as volatility trading, traders attempt to construct delta (and gamma) neutral positions. For instance, one could first create a straddle of call and put options that have D = 0. If the market moves sufficiently in either direction, then the value of the position will become positive, as one can exercise one of the options. There are many varieties of Gamma trading.