Options & derivatives
Gamma
How fast delta itself changes as the underlying moves.
How it works
High gamma means the position’s exposure shifts rapidly, which is why options near the strike and near expiry behave so violently.
For sellers, gamma is the danger: a position that looked balanced can become heavily directional within a single session.
Related terms
- DeltaHow much an option’s price moves for a $1 move in the underlying.
- ExpiryThe date after which an option ceases to exist.
- OptionA contract giving the right, but not the obligation, to buy or sell something at a set price by a set date.
- Implied volatilityThe volatility the market is pricing into an option, derived from its premium.
More in Options & derivatives
- Futures contract
- In the money
- Intrinsic value (options)
- Derivative
- Notional value
- Covered call
- Option spread
- Contract for difference
All 30 Options & derivatives terms · The full glossary, 433 terms
Educational reference only. Nothing here is investment advice or a recommendation to buy or sell anything, and tax treatment depends on your own circumstances and the country you are in.