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.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.

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.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved

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.
Wall Street Words: An A to Z Guide to Investment Terms for Today's Investor by David L. Scott. Copyright © 2003 by Houghton Mifflin Company. Published by Houghton Mifflin Company. All rights reserved. All rights reserved.
References in periodicals archive ?
where [n.sub.0] is the number density of electrons in the core, L is the core length, v is the fraction of electrons that are magnetized, and [[sigma].sub.c] is the Compton scattering cross section due to the circular polarization of the gammas. In principle it is possible to calculate [eta]; however, in practice it is more accurate to measure it using the actual polarimeter.
We have built two transmission gamma ray polarimeters that will be used to measure the circular polarization of 6.2 MeV gammas from the capture of polarized neutrons on deuterium.
Using ground-based telescopes that detect visible light produced when high-energy gamma rays self-destruct in Earth's atmosphere, astronomers had previously examined likely extragalactic sources of this radiation, including quasars and active galaxies.
When the Earth-orbiting Compton Gamma Ray Observatory (GRO) recently detected lower-energy gamma rays from 14 objects outside our galaxy, Trevor C.
Rapid fluctuations in gamma rays emitted by the blazars and BL Lacs support this model.
The other two gamma-ray pulsars emit their gamma flashes twice during each rotation; scientists have speculated that one flash comes from the north magnetic pole, the other from the south.
Data gathered by another GRO instrument, the Energetic Gamma-Ray Experiment Telescope, show that three previously discovered quasars are spewing so many gamma rays that each quasar emits about 10 million to 100 million times the total gamma-ray output of the Milky Way, reports Carl E.
The paraffin and lithium carbonate mixed neutron shield is used to protect the detector against neutrons while lead shielding provides detector protection against gamma rays.
Also, Si(1274) and Al(1766) prompt gamma rays are shown along with hydrogen H(2223) capture peak.
Examining emissions from a solar flare that erupted last year, Kundu and his colleagues compared the timing of radio waves recorded by BIMA with that of gamma rays detected by the Earth-orbiting Compton Gamma Ray Observatory (GRO) (SN: 6/22/91, p.388).
In fact, since 1988 researchers have puzzled over observations that suggest very-high-energy gamma rays have properties similar to energetic ions.
Gamma rays of lower energy (around 1 million or 10.sup.6 electron-volts) have been recorded from SN 1987A (SN:1/2/88, p.5).