Long Gamma Strategy

A long gamma strategy involves holding a net positive gamma position, typically by being long options. This position benefits from large moves in the underlying asset, as the delta increases in the direction of the move, amplifying gains.

The trader effectively sells into strength and buys into weakness to remain delta neutral, capturing profits from the movement. The cost of maintaining this strategy is the theta decay of the options held.

It is an ideal strategy in high-volatility environments where the magnitude of price swings outweighs the cost of the options. Traders must balance the cost of the premium against the expected frequency and size of market moves.