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 ?
About 880 kilometers away from Los Alamos, perched atop Mount Hopkins in southern Arizona, lies another type of detector, sensitive to the lowest-energy gamma rays that can be indirectly detected on Earth.
This Whipple Observatory telescope, like several other similar instruments around the world, infers the presence of gamma rays at slightly lower energies -- 100 to 10,000 GeV -- from a telltale, forward-directed beam of extremely faint light several hundred meters in diameter and about one meter thick.
Because the particles emit light along their direction of motion, scientists can trace their path and that of their parent gamma rays.
In fact, reconstructing the path of gamma rays has, not surprisingly, proven a primary focus of these studies.
Using the Cerenkov telescope, Weekes and his colleagues identified a region near this isolated X-ray-pulsing neutron star three years ago that appears to emit 1,000 GeV gamma rays.
While these data suggest that gamma rays may not emanate from the pulsar itself, he says the Crab nonetheless represents the only undisputed source of high-energy gamma rays.
Goodman and other researchers have speculated about what type of violent collisions might trigger the production of these gamma rays.
Indications that gamma rays also emerge from Cygnus X-3, an X-ray-emitting binary star system, appear less compelling.
Some researchers speculate that matter drawn from the lower-mass companion and falling onto a hot disk surrounding the neutron star may accelerate fast enough to produce very-high-energy protons and gamma rays.
9] GeV gamma rays, a 1989 air shower observed by detectors at Havarah Park, England, showed no such evidence.
During 1986, separate teams of researchers working at the CYGNUS project, at the Whipple Observatory, and at the Haleakala Gamma Ray Observatory in Maui, Hawaii, independently reported signs of mysterious cosmic-ray bursts that maintained a period just slightly shorter than the neutron star's X-ray pulsing cycle.