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Back to Glossary
OptionsG

Gamma

Measures the rate of change of delta for every $1 move in the underlying. High gamma means delta can change rapidly. Highest for at-the-money options near expiration.

Example

“An options trader holding at-the-money calls expiring in two days noticed the gamma was extremely high, meaning even a small move in the stock would dramatically shift the delta of the position.”

Related Terms

DeltaThe GreeksGamma Squeeze