delta-neutral-gamma-scalping

What problem does it solve?

This Skill automates complex delta-neutral gamma-scalping workflows, enabling dynamic hedging, inventory control, and capturing volatility edge while minimizing directional risk and transaction costs.

Core Features & Use Cases

• Dynamic Hedging: Execute real-time hedging strategies to maintain delta neutrality.
• Volatility Capture: Isolate and profit from the difference between realized and implied volatility.
• PNL Attribution: Decompose profit and loss into components like gamma capture, theta decay, and slippage.
• Use Case: Use this skill when you need to monitor and manage a hedged options book, ensuring that hedge errors and cost drag remain within acceptable thresholds during volatile market conditions.

Quick Start

Run the delta neutral gamma scalping diagnostics script with your input data file.