Option Greeks
Gamma (Γ)
How fast delta itself changes — the Greek that makes options accelerate.
Definition
Gamma measures the rate of change of delta for a 1-point move in the underlying. If delta tells you speed, gamma tells you acceleration — how quickly that speed changes.
Gamma peaks at the money and fades for deep ITM or far OTM strikes — and rises into expiry.
Behaviour
- Highest for at-the-money options and near expiry.
- Low for deep ITM or far OTM options.
- Long options have positive gamma; short options have negative gamma.
A quick example
A call has delta 0.50 and gamma 0.05. If the underlying rises 1 point, the new delta becomes about 0.55. Move another point and it climbs again — that compounding is gamma at work.
Why it matters
High gamma means your position's directional exposure shifts fast — powerful for buyers near expiry, dangerous for sellers. It's the reason expiry-day options can move so violently.
See gamma in action
TradePulse's Greeks calculator plots how gamma changes with price, time and volatility.