Define the Greek “Gamma” and Its Role in Relation to Delta and Moneyness

Gamma is the second-order derivative of the option price and measures the rate of change of Delta for a $1 change in the underlying asset's price. It indicates how quickly an option's Delta will change.

Gamma is highest for ATM options and decreases as an option moves deeper ITM or OTM. High Gamma means Delta is highly sensitive to price changes, which is a key factor in moneyness transitions.