Define Gamma Risk and Its Implication for Market Makers during a Crash

Gamma risk is the risk associated with the rate of change of an option's Delta relative to the underlying asset's price. When Gamma is high, Delta changes rapidly, forcing market makers to execute large, frequent trades to maintain a Delta-neutral hedge.

During a crash, high Gamma and high volatility necessitate aggressive selling of the underlying asset as prices fall, which amplifies the market's downward momentum.