Option gamma measures how much Delta changes in relation to the Underlying asset or commodity. A higher gamma value indicates that Delta will move up or down more quickly when the Underlying price fluctuates. Options with higher gammas but the same Delta can be considered generally higher risk than those with lower gamma values and the same Delta.
Contributed by: Ralph Windsor
Related Directory Entries
External Links
How Option Delta and Gamma Influence Each Otherhttp://blog.markettaker.com/2015/10/01/how-option-delta-and-gamma-influence-each-other/
Dan Passarelli explains the relationship between Gamma and Delta
The Greeks: What They Are and How to Use Themhttps://www.thinkorswim.com/tos/displayPage.tos?webpage=lessonGreeks
ThinkOrSwim guide to the Greeks.
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