Gamma
Also called: option gamma
How much an option's delta changes for a ₹1 move in the underlying.
Gamma makes option values change faster than delta alone suggests. It is highest for at-the-money options near expiry, when small moves can swing deltas and values sharply. It helps option buyers and hurts option sellers.
Learn more in these lessons
- Options Greeks: delta and gammaHow much does an option's price change when the share price moves?
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