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gamma

   Also found in: Dictionary/thesaurus, Medical, Acronyms, Encyclopedia, Wikipedia, Hutchinson 0.02 sec.
Gamma
The rate of change for delta with respect to the underlying asset's price.

Notes:
Mathematically, gamma is the first derivative of delta and is used when trying to gauge the price of an option relative to the amount it is in or out of the money.

When the option being measured is deep in or out of the money, gamma is small. When the option is near the money, gamma is largest.

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
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.
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