Delta Neutral Gamma Scalping

objective

Execute dynamic-hedging workflows that isolate volatility edge while controlling directional exposure and transaction costs.

workflow

1. define target neutrality bands, hedge cadence, and execution constraints.
2. compute live delta, gamma, vega, theta, and hedge quantities per rebalance point.
3. execute hedge trades with slippage-aware routing and inventory controls.
4. attribute pnl into gamma capture, theta decay, vega move, and hedge slippage.
5. release only when hedging errors and cost drag stay within policy thresholds.

required diagnostics

• delta-neutrality drift and hedge error distribution.
• gamma-capture contribution versus transaction-cost drag.
• realized-versus-implied volatility spread sensitivity.
• hedge-frequency impact on pnl stability.
• tail behavior during gap moves and volatility jumps.