Long Gamma Captures Excess Realized Volatility: Understanding Gamma Scalping vs. Static Tail Protection

How volatility arbitrage works through two distinct mechanisms — and why conflating them leads to implementation failure

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CRITICAL CLARIFICATION

This article explains gamma scalping mechanics. Universa Investments’ 3,612% March 2020 return came from static tail protection, not gamma scalping. These are fundamentally different strategies with distin…