Finance glossary
Gamma
Definition
The rate at which an option delta changes as the underlying moves.
Gamma measures how fast delta changes when the underlying price moves. High gamma means delta shifts quickly, making positions harder to hedge. Gamma is largest for at-the-money options near expiration, which is why those positions can swing sharply in value.
In a sentence
Near expiration, the option's gamma spiked, so its delta swung wildly with each price tick.
Get a word like this every morning
Word of the Day on your Home Screen, with quizzes and flashcards. Get the app →