gamma scalping bias after daily settlement

Discussion in 'Options' started by etemtezcan, May 3, 2011.

  1. Hello
    I heard that gamma scalping activity takes place after daily settlement prices of financial instruments are announced. I know that gamma scalping is the activity to balance the delta of options to stay delta neutral. Let's say I am long in EURUSD call and EURUSD rallied today. My long call position gained value thus I am selling some EURUSD to neutralize my delta.
    I wonder how can one forecast the daily bias for gamma scalping activity.