Gamma
Gamma measures the rate of change of delta as the underlying moves — the “acceleration” of an option’s price sensitivity. It’s highest for at-the-money options near expiry, which makes them whip around fast. Option sellers fear gamma most.
Gamma measures the rate of change of delta as the underlying moves — the “acceleration” of an option’s price sensitivity. It’s highest for at-the-money options near expiry, which makes them whip around fast. Option sellers fear gamma most.