If you searched for gamma scalping - or for why your delta-hedged straddle made money on a day the market barely closed changed - this is the complete mechanical picture: the identity, the breakeven, the hedging tradeoffs, the entry conditions, and the data to run it on. Gamma scalping, defined in one paragraph: gamma scalping is delta-hedging a long-gamma options position (typically an ATM straddle) so that each move in the underlying forces profitable re-hedges - buying dips and selling...