Realised volatility sat above implied on every session of April 2026, the reverse of the usual gap
Gamma scalping starts with a long gamma position, usually a straddle bought at the money, and then keeps the position close to delta neutral. When the index rises, the position gains delta, so the hedge sells futures. When the index falls, the hedge buys them back. Each adjustment locks in a small gain from the move, and the process repeats as the index swings.
The arithmetic is simple. Over a holding period the gains from re-hedging add up to roughly half the gamma times the squared moves, and the cost is the time decay the option loses each day. So the strategy is a comparison of realised movement with the movement the option premium was paying for at entry, not a view on direction.
The chart puts the two sides next to each other. Implied is the constant thirty day at the money volatility from the NSE chains, and realised is the twenty day close to close figure from the index file. On most sessions in the series from 1 Jul 2025 to 15 Sep 2026 implied sat above realised, which is the premium a long gamma position pays. In April 2026 realised ran above implied on every session of the month, the reverse case.
Costs come on top. Each re-hedge needs futures trades, and each trade carries brokerage and statutory charges, so frequent adjustments can absorb a gain that looked clear on the chart.
Gamma is largest near the money and near expiry, which is where scalping produces the most re-hedges and the most decay at once. A calm month gives little movement to harvest, and the premium is then spent with nothing to offset it.
Before you trade. Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. Read the SEBI study