Gamma (options)

Sun, 21 Jun 2026 00:00:00 +0000

Gamma is the second-order option Greek that measures how fast an option’s delta changes when the underlying moves by one rupee, holding time and volatility constant. Where delta tells you the current directional exposure, gamma tells you how quickly that exposure will shift, so a call with delta 0.50 and gamma 0.02 sees its delta rise to about 0.52 after a one-point rise in the underlying. Gamma is always positive for a bought option, peaks for at-the-money strikes, and rises sharply in the final days before expiry.

Gamma Scalping on WebNotes

Gamma (options)