Gamma
Gamma measures how fast an option’s delta changes for a $1 move in the underlying — the curvature of the position.
High gamma means delta shifts quickly, so the position’s directional exposure changes fast. Gamma is largest for at-the-money options near expiration.
Long options have positive gamma (delta grows in your favor); short options have negative gamma (delta moves against you).
Example. A call with 0.40 delta and 0.05 gamma will have a ~0.45 delta after the stock rises $1 and ~0.35 after it falls $1.
FAQ
When is gamma highest?
For at-the-money options close to expiration, where small price moves can swing delta sharply.
What is the relationship between gamma and theta?
They typically trade off: positions with high positive gamma usually pay high negative theta (time decay), and vice versa.