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Gamma




The speed by which delta changes compared with the speed by which the underlying asset is moving.

Gamma is a second order of delta, meaning that the values for gamma come from the result of delta. Gamma measures the change in the delta with the movement of the underlying.


Additional Comments:

Like delta, it is based on $1 or one point of movement in the underlying. A larger gamma indicates that the delta is sensitive to the price movement on the underlying.

Related Terms:

Delta
The amount by which the price of an option changes for every dollar move in the ...

Delta Neutral
Refers to an options position constructed so that the profitability of the position relies on the ...

Delta Hedge
A strategy designed to protect the investor against directional price changes in the underlying asset by ...





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