delta-neutral-gamma-scalping

name	delta-neutral-gamma-scalping
description	Delta Neutral Gamma Scalping workflows for dynamic hedging, inventory-neutral options trading, and realized-versus-implied volatility capture. use when tasks involve hedge-frequency design, gamma scalping pnl attribution, delta drift control, or production monitoring of hedged option books.

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.

risk controls

• enforce max absolute delta and intraday hedge-failure limits.
• enforce slippage and turnover ceilings for hedge activity.
• enforce emergency de-risking on data/feed or execution outages.

outputs

• run python scripts/delta_neutral_gamma_scalping_diagnostics.py input.csv --output diagnostics.json and keep the json artifact.
• write an implementation memo using references/delta-neutral-gamma-scalping-playbook.md with assumptions, tests, limits, and rollout plan.

resources

• use scripts/delta_neutral_gamma_scalping_diagnostics.py for deterministic diagnostics.
• use references/delta-neutral-gamma-scalping-playbook.md for the domain checklist and delivery structure.