Options Greeks
What is Gamma and how does it measure the acceleration rate of Delta?
By Easy Money Scanner · Educational reference · Not investment advice
The short answer
Gamma measures the rate of change of delta for every $1 move in the underlying, representing the second derivative of the option's price relative to the stock price.
How it works
High gamma means delta shifts quickly as the stock moves, making the position's directional exposure change rapidly, which is most pronounced in at-the-money options near expiration.
An example
If an XYZ option has a delta of 0.50 and a gamma of 0.05, a $1 stock increase would move delta to approximately 0.55.
Risk & limitations
High gamma positions require closer monitoring since directional risk can escalate suddenly with small underlying price moves, especially in the final days before expiration.
Examples are hypothetical, not trade recommendations. US contract and regulatory references do not automatically apply in Canada. Rules, margin requirements and broker policies can change; confirm them with the relevant authority and your broker.