This is a list of gamma neutral option strategies:
- Bear Call Spread (also Short Call Spread, Credit Call Spread)
- Bear Put Spread (also Long Put Spread, Debit Put Spread)
- Bull Call Spread (also Long Call Spread, Debit Call Spread)
- Bull Put Spread (also Short Put Spread, Credit Put Spread)
- Long Box Spread (also Box Spread)
- Long Combo
- Short Box Spread
- Short Combo
- Synthetic Long Stock (also Synthetic Stock, Synthetic Long)
- Synthetic Short Stock (also Synthetic Short)
Gamma neutral means that total gamma of the combined position is approximately zero.
Positive gamma means that the position's delta increases as underlying price goes up (so profits accelerate and losses slow down).
Negative gamma means the opposite: Delta goes down as underlying price rises, which results in accelerating losses and decelerating profits.
Gamma Neutrality Can Change
Note that with some gamma neutral strategies (those involving multiple strikes, such as vertical spreads), gamma can become positive or negative when underlying price moves away from its original level.
In case of vertical spreads, total gamma is near zero only when underlying price is about halfway between the two strikes. It becomes positive when the underlying moves closer to the long strike, and negative if it gets closer to the short strike (because both calls and puts generally have highest gamma at the money).
Gamma Neutrality Depends on Strike Selection
This also means that the above listed strategies are gamma neutral only when opened with a particular combination of strikes, relative to current underlying price.
For instance, when you enter a bull call spread with both strikes above the current underlying price, total gamma will be positive, because the lower strike long call will be much closer to the money than the the higher strike short call.