In this episode of Excess Returns, Matt Zeigler sits down with Kris Abdelmessih and Matt Cashman to break down one of the most important — and often misunderstood — concepts in options: gamma. They explore what gamma really is, how it interacts with delta and theta, why gamma scalping (a.k.a. delta hedging) matters, and what both individual traders and professionals need to know about it. If you’ve ever wondered how options traders actually make money from volatility, this is your guide.Topics CoveredWhy understanding gamma is critical to options tradingThe relationship between gamma, delta, and thetaUsing physics and middle school math to explain gamma’s roleHow gamma P&L works and why it creates curvature in returnsWhere gamma “lives” (at-the-money vs. in/out of the money, short vs. long dated)The mechanics of gamma scalping and delta hedgingWhy option trading is really volatility tradingThe practical applications for retail traders and professionalsCommon misconceptions about “income from options”Timestamps00:00 – Why gamma matters in options trading02:22 – Defining gamma and its sensitivity to price moves05:04 – Practical explanation: delta vs. gamma09:00 – Physics/acceleration analogy for gamma P&L18:00 – Mapping acceleration math to options gamma23:30 – Where gamma lives: at-the-money and near-expiry options29:00 – Introduction to gamma scalping (delta hedging)36:00 – When gamma trading works best (volatility path dependence)41:00 – Real-world applications for individuals and professionals47:14 – Why selling options isn’t “guaranteed income”

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