Gamma

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Gamma

The ratio of a change in the option delta to a small change in the price of the asset on which the option is written.

Gamma

A measure of how fast the delta changes. That is, gamma is a mathematical measurement of how fast the price of an option contract changes for each unit of change in the price of the underlying asset. The larger the gamma, the more volatile the option contract is. If an option is at the money or near the money, gamma is large, but if it is deep in or deep out of the money, gamma can become quite small. This is because when an option is near the money, a small change in the underlying asset's value can greatly change the level of demand for the contract. This is not the case for deep in and deep out of the money options.

gamma

The sensitivity of an option's delta to changes in the price of the underlying asset. The gamma of an option is greatest when an option is near the money (strike price close to market price of underlying asset) and near zero when an option is deep out of the money.
References in periodicals archive ?
It allowed for the stacking of 200 separate observations on top of each other to re-create the image of a gamma-ray burst in much better quality - yet, no trace of a radio afterglow was found.
Hancock said that gamma-ray bursts are thought to mark the birth of a Black Hole or Neutron Star - both of which have super-dense cores.
The Gamma-ray Burst Monitor (GBM) aboard NASA's Fermi Gamma-ray Space Telescope captured the initial wave of gamma rays from GRB 130427A shortly after 3:47 a.
NASA's Swift Gamma-ray Burst Mission detected the burst almost simultaneously with the GBM and quickly relayed its position to ground-based observatories.
LAT is the modern-day version of the Energetic Gamma-Ray Experiment Telescope (EGRET) instrument, which flew more than a decade ago on CGRO.
It has 16 tower-shaped gamma-ray detectors, each consisting of thin tungsten foils interleaved with silicon strips, giving a total collecting area of about 35 square meters.
NASA's Compton Gamma-Ray Observatory, which operated in the 1990s, detected high-energy flares, but the galaxy was quiet during Fermi's first two and a half years in orbit.
This renewed activity came after a long slumber, and that's important because it allows us to explicitly link the gamma-ray flares to the rising emission observed by radio telescopes," David Thompson from NASA's Goddard Space Flight Center in Greenbelt, Md, said.
Fermi's LAT detects changes in Cygnus X-3's gamma-ray output related to the companion's 4.
By studying the shape of gamma-ray lines, we're learning a lot about the explosion itself," Barthelmy says.
Only about 3 percent of the gamma-rays reaching Solar Max come directly from the Soviet reactors.
In his talk, Bouvier announced that the LAT had recorded the highest-energy emissions ever detected from gamma-ray bursts.