gamma investment & finance definition
A
measure of how quickly an option’s delta will change. Delta measures the change
in the price of a call option when the underlying futures asset price changes.
Gamma is a mathematical formula that is used in pricing options.
See gamma in Wall Street Words
The sensitivity of an option's delta to changes in the price of the underlying asset. The gamma of an option is greatest when an option is near the money (strike price close to market price of underlying asset) and near zero when an option is deep out of the money.
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