Gamma

This compares the change in delta with respect to the change in price of the underlying.
(ie it's the first derivative of the delta)
This is used to gauge the price of an option reletaive to the amount it is in or out of the money.


When an option is deep in or out the money then the gamma is small
When an option is near the money then the gamma is large.


Sensitivity of an options delta with respect to changes in the price of the underlying security




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