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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:

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