Gamma Scalping Calculator
Calculate gamma scalping profits and delta rebalancing requirements for options trading.
Position Parameters
shares
$
$
$
per share
Gamma Scalping: Profit from delta rebalancing as gamma causes delta to change with underlying price movements.
Gamma P&L (per move)
$100.00
theoretical profit
Shares to Trade
100
Break-even Moves
50
Scalping Analysis
Total Position Gamma50.00
Delta Change per Move100.00
Scalp Profit per Move$100.00
Initial Investment$5,000.00
Gamma ROI (per move)2.00%