Rate of change of delta — measures how delta itself changes as the underlying moves.
High gamma = delta changes rapidly = position is highly sensitive to price moves. ATM near-expiry options have highest gamma. "Gamma squeeze" — dealers buying stock to hedge short calls, accelerating the rally.
Rate of change of delta — measures how delta itself changes as the underlying moves. High gamma = delta changes rapidly = position is highly sensitive to price moves. ATM near-expiry options have highest gamma. "Gamma squeeze" — dealers buying stock to hedge short calls, accelerating the rally.
In derivatives, Gamma is one of the building blocks investors use to compare opportunities and assess risk. Understanding it helps you read research notes, earnings reports, and market commentary without getting lost in jargon.
High gamma = delta changes rapidly = position is highly sensitive to price moves. ATM near-expiry options have highest gamma.
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