Gamma
Gamma is the rate at which an option's delta changes for a one-unit move in the underlying asset's price; it is the second derivative of the option's price with respect to the underlying price.
Example: A portfolio contains a long at-the-money call option with delta around 0.50 and gamma around 0.05. If the underlying rises by $1, the option's delta would be expected to move toward 0.55, illustrating gamma's effect on delta.
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