Gamma (Options Greek)
Options & Volatility
Gamma is the rate of change of an option's delta relative to a $1 move in the underlying asset's price. It measures the curvature of the option's value relative to the underlying price.
Gamma tells you how fast delta changes as the stock moves. Near-term, at-the-money options have the highest gamma — they react most explosively to stock movement.
Further reading: Wikipedia
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