Gamma
The rate of change for delta with respect to the underlying asset's price. Investopedia Says:
Mathematically, gamma is the first derivative of delta and is used when trying to gauge the price of an option relative to the amount it is in or out of the money.
When the option being measured is deep in or out of the money, gamma is small. When the option is near the money, gamma is largest. Related Terms:
Delta
Gamma Neutral
Greeks
In the Money
Option
Out of the Money
Strike Price |