What is Gamma?
How much Delta changes when the underlying moves $1; the higher the Gamma, the more often a Delta hedge needs adjusting.
Learn “Gamma” in an animated lesson
- Hedging StrategiesDelta Hedging and Dynamic Rebalancing
After selling an option, use the stock to offset its price risk. But Delta changes with the stock price, so the hedge has to keep adjusting.
- Advanced Option StrategiesDelta and Gamma: An Option's Speed and Acceleration
For every $1 the stock moves, how much does the option move? That "speed" is Delta. The speed itself changes too, and how fast it changes is Gamma.
Related terms
See how “Gamma” works for yourself with an animation you can drag and play.
Go to “Delta Hedging and Dynamic Rebalancing”