Gamma Scalping

Neutral on direction, Bullish on realized volatility

Quick Reference

Strategy Type	Volatility Arbitrage - Long Gamma with Delta Hedging
Market Outlook	Neutral on direction, Bullish on realized volatility
Risk Profile	Limited to premium paid for options
Reward Profile	Unlimited if large oscillations occur
Time Horizon	Intraday to weekly - active management required
Capital Requirement	Straddle premium plus margin for futures hedges
Best Used When	Expecting high realized volatility with oscillation, IV is low (cheap options), can monitor and hedge frequently

When to Use This Strategy

Expecting high realized volatility with oscillation, IV is low (cheap options), can monitor and hedge frequently

India-Specific Notes

Nse Considerations

Trading Hours	9:15 AM - 3:30 PM IST
Weekly Expiry	Thursday (NIFTY, BANKNIFTY, FINNIFTY)
Monthly Expiry	Last Thursday of the month

Margin Framework

Straddle Margin	Premium payment only for long options
Futures Margin	₹1,00,000 - ₹1,50,000 per lot for NIFTY futures
Combined Requirement	Option premium + Futures margin for hedging
Margin Efficiency	Long options don't require margin, but hedging does

Taxation

Stt On Options	0.05% on sell side
Stt On Futures	0.01% on sell side
Frequent Trading	Multiple transactions increase STT burden
Income Classification	Business income for active trading
Gst On Brokerage	18% - significant with frequent trades

Execution Considerations

Futures Liquidity	NIFTY and BANKNIFTY futures highly liquid
Slippage	1-2 points typical for futures, more for options
Transaction Costs	Critical factor - brokerage + STT + GST
Scalping Threshold	Need sufficient move to overcome costs

Example Pricing

Atm Straddle Cost	₹540 per share = ₹13,500 per lot
Futures Lot Value	24500 × 25 = ₹6,12,500