Definition
Gamma is an options Greek that measures how much delta changes when the underlying price moves by $1. It's highest for at-the-money options near expiration. High gamma means delta can change rapidly, making the position more sensitive to price movements.
Formula
Gamma = Change in Delta / Change in Stock Price
Example
If a call has 0.50 delta and 0.05 gamma, a $1 stock increase raises delta to 0.55.
FAQ
What is Gamma (Options Greek)?
Measures the rate of change in delta for a $1 move in the underlying.
How do you calculate Gamma (Options Greek)?
A common formula for Gamma (Options Greek) is: Gamma = Change in Delta / Change in Stock Price
Why is Gamma (Options Greek) important?
Gamma (Options Greek) helps investors evaluate options and make more informed decisions.